Integration of ASEAN-5 stock markets: A revisit

Bakri Abdul Karim, Zulkefly Abdul Karim

Research output: Contribution to journalArticle

16 Citations (Scopus)

Abstract

This study re-examines the integration among five selected ASEAN emerging stock markets (Malaysia, Thailand, Indonesia, the Philippines and Singapore) based on Autoregressive Distributed Lag (ARDL) bound testing approach proposed by Pesaran, Shin and Smith (2001). This study finds that the stock markets in the ASEAN region are integrated during the pre-, post-1997 and post U.S. subprime financial crisis. In line with many studies on international interdependences of stock markets, our study finds that the ASEAN stock markets are moving towards more integration among themselves, especially following the global financial crisis. This implies that the long-run diversification benefits that can be earned by investors across the ASEAN markets tend to diminish. In addition, there is a need for policy coordination among ASEAN region to mitigate the impact of financial fluctuations, as the stock markets are interdependent.

Original languageEnglish
Pages (from-to)21-41
Number of pages21
JournalAsian Academy of Management Journal of Accounting and Finance
Volume8
Issue number2
Publication statusPublished - 2012

Fingerprint

Stock market
Policy coordination
Diversification benefits
Integrated
Singapore
Thailand
Global financial crisis
Distributed lag
Financial crisis
Indonesia
Subprime
Interdependence
Investors
Malaysia
Emerging stock markets
Fluctuations
Philippines
Bounds testing

Keywords

  • ARDL
  • ASEAN-5
  • Diversification benefit
  • Financial integration

ASJC Scopus subject areas

  • Accounting
  • Finance

Cite this

Integration of ASEAN-5 stock markets : A revisit. / Karim, Bakri Abdul; Abdul Karim, Zulkefly.

In: Asian Academy of Management Journal of Accounting and Finance, Vol. 8, No. 2, 2012, p. 21-41.

Research output: Contribution to journalArticle

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