Co-movement among sectoral stock market indices and cointegration among dually listed companies

This paper analyzes the co-movement between sectoral stock indices of the US and Singapore, through examining whether the S&P 500 Electronics (Semiconductor) Price Index leads Stock Exchange of Singapore's Electronics Price Index. The article also examines price co-movement of stocks liste...

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Main Authors:	Ramin Cooper Maysami, Loo, Sze Wee, Koh, Tat Koon
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2004
Online Access:	http://journalarticle.ukm.my/8063/ http://journalarticle.ukm.my/8063/ http://journalarticle.ukm.my/8063/1/1245-2397-1-SM.pdf

id	ukm-8063
recordtype	eprints
spelling	ukm-80632016-12-14T06:46:05Z http://journalarticle.ukm.my/8063/ Co-movement among sectoral stock market indices and cointegration among dually listed companies Ramin Cooper Maysami, Loo, Sze Wee Koh, Tat Koon This paper analyzes the co-movement between sectoral stock indices of the US and Singapore, through examining whether the S&P 500 Electronics (Semiconductor) Price Index leads Stock Exchange of Singapore's Electronics Price Index. The article also examines price co-movement of stocks listed dually in Singapore and the US. Using Johansen's (1988) Vector Error Correction Model (VECM), the paper concludes the existence of long-run cointegrating relationship both between the US and Singapore electronic sectors in general, and more specifically among the three dually listed stocks under consideration. However, the results point to a short-term disequilibria in the prices of dually listed stocks, leading to the conclusion that short-run arbitrage opportunities may exist. Penerbit Universiti Kebangsaan Malaysia 2004 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/8063/1/1245-2397-1-SM.pdf Ramin Cooper Maysami, and Loo, Sze Wee and Koh, Tat Koon (2004) Co-movement among sectoral stock market indices and cointegration among dually listed companies. Jurnal Pengurusan, 23 . pp. 33-52. ISSN 0127-2713 http://ejournal.ukm.my/pengurusan/index
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Kebangasaan Malaysia
building	UKM Institutional Repository
collection	Online Access
language	English
description	This paper analyzes the co-movement between sectoral stock indices of the US and Singapore, through examining whether the S&P 500 Electronics (Semiconductor) Price Index leads Stock Exchange of Singapore's Electronics Price Index. The article also examines price co-movement of stocks listed dually in Singapore and the US. Using Johansen's (1988) Vector Error Correction Model (VECM), the paper concludes the existence of long-run cointegrating relationship both between the US and Singapore electronic sectors in general, and more specifically among the three dually listed stocks under consideration. However, the results point to a short-term disequilibria in the prices of dually listed stocks, leading to the conclusion that short-run arbitrage opportunities may exist.
format	Article
author	Ramin Cooper Maysami, Loo, Sze Wee Koh, Tat Koon
spellingShingle	Ramin Cooper Maysami, Loo, Sze Wee Koh, Tat Koon Co-movement among sectoral stock market indices and cointegration among dually listed companies
author_facet	Ramin Cooper Maysami, Loo, Sze Wee Koh, Tat Koon
author_sort	Ramin Cooper Maysami,
title	Co-movement among sectoral stock market indices and cointegration among dually listed companies
title_short	Co-movement among sectoral stock market indices and cointegration among dually listed companies
title_full	Co-movement among sectoral stock market indices and cointegration among dually listed companies
title_fullStr	Co-movement among sectoral stock market indices and cointegration among dually listed companies
title_full_unstemmed	Co-movement among sectoral stock market indices and cointegration among dually listed companies
title_sort	co-movement among sectoral stock market indices and cointegration among dually listed companies
publisher	Penerbit Universiti Kebangsaan Malaysia
publishDate	2004
url	http://journalarticle.ukm.my/8063/ http://journalarticle.ukm.my/8063/ http://journalarticle.ukm.my/8063/1/1245-2397-1-SM.pdf
first_indexed	2023-09-18T19:51:23Z
last_indexed	2023-09-18T19:51:23Z
_version_	1777406242782707712

Co-movement among sectoral stock market indices and cointegration among dually listed companies

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