International transmission of stock price movement: Evidence from ASEAN plus 3 and the world’s most advanced markets

Ruzita Abdul Rahim, Abu Hassan Shaari Abu Hassan

Research output: Chapter in Book/Report/Conference proceedingChapter

Abstract

This study investigates whether stock price movements in the ASEAN-5 (Association of South East Asian Nations) markets are driven primarily by the regional markets of China, Korea, Japan and Hong Kong or the world market of the US. Utilising monthly macro levels data from January 1991 to December 2006, a ten-market vector auto-regression system is estimated, such that the extent to which innovation in stock price of the leader market is transmitted to followers can be examined from the impulse response function and variance decomposition. The empirical results indicate that stock prices in ASEAN markets respond to one another and are highly influenced by other more developed Asian markets than by the world’s most developed markets. Information flows from the US and Japan to the ASEAN markets are weak and only confined to the period of crisis. The findings imply that investors in ASEAN equity markets can obtain some profit using signals from more developed regional markets.

Original languageEnglish
Title of host publicationWorld Sustainable Development Outlook 2007
Subtitle of host publicationKnowledge Management and Sustainable Development in the 21st Century
PublisherTaylor and Francis
Pages355-365
Number of pages11
ISBN (Electronic)9781351280235
ISBN (Print)9781906093020
DOIs
Publication statusPublished - 1 Jan 2017

Fingerprint

Stock prices
International transmission
Japan
Asia
Variance decomposition
Profit
Hong Kong
Korea
World market
Follower
Innovation
Investors
Empirical results
Vector autoregression
Equity markets
Information flow
Impulse response function
China

Keywords

  • 1997 asian crisis
  • Information leadership
  • International portfolio diversification
  • Stock market integration

ASJC Scopus subject areas

  • Economics, Econometrics and Finance(all)
  • Business, Management and Accounting(all)

Cite this

Rahim, R. A., & Abu Hassan, A. H. S. (2017). International transmission of stock price movement: Evidence from ASEAN plus 3 and the world’s most advanced markets. In World Sustainable Development Outlook 2007: Knowledge Management and Sustainable Development in the 21st Century (pp. 355-365). Taylor and Francis. https://doi.org/10.4324/9781351280242-34

International transmission of stock price movement : Evidence from ASEAN plus 3 and the world’s most advanced markets. / Rahim, Ruzita Abdul; Abu Hassan, Abu Hassan Shaari.

World Sustainable Development Outlook 2007: Knowledge Management and Sustainable Development in the 21st Century. Taylor and Francis, 2017. p. 355-365.

Research output: Chapter in Book/Report/Conference proceedingChapter

Rahim, RA & Abu Hassan, AHS 2017, International transmission of stock price movement: Evidence from ASEAN plus 3 and the world’s most advanced markets. in World Sustainable Development Outlook 2007: Knowledge Management and Sustainable Development in the 21st Century. Taylor and Francis, pp. 355-365. https://doi.org/10.4324/9781351280242-34
Rahim RA, Abu Hassan AHS. International transmission of stock price movement: Evidence from ASEAN plus 3 and the world’s most advanced markets. In World Sustainable Development Outlook 2007: Knowledge Management and Sustainable Development in the 21st Century. Taylor and Francis. 2017. p. 355-365 https://doi.org/10.4324/9781351280242-34
Rahim, Ruzita Abdul ; Abu Hassan, Abu Hassan Shaari. / International transmission of stock price movement : Evidence from ASEAN plus 3 and the world’s most advanced markets. World Sustainable Development Outlook 2007: Knowledge Management and Sustainable Development in the 21st Century. Taylor and Francis, 2017. pp. 355-365
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