O'Reilly logo

Emerging Markets and the Global Economy by Duc Khuong Nguyen, Sabri Boubaker, Mohammed Hedi Arouri

Stay ahead with the world's most comprehensive technology and business learning platform.

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, tutorials, and more.

Start Free Trial

No credit card required

Chapter 25

Stock Market Co-movement in ASEAN and China

Hooi Hooi Leana and Russell Smythb,    aEconomics Program, School of Social Sciences, Universiti Sains Malaysia, Malaysia,    bDepartment of Economics, Monash University, Australia,    E-mail: hooilean@usm.my, russell.smyth@monash.edu

Abstract

Using daily data from January 2001 to December 2012, we examine the extent to which the stock markets of the ASEAN-6 (Malaysia, Singapore, Indonesia, Thailand, the Philippines, and Vietnam) are integrated with each other and with the Shanghai stock exchange in the long run and short run. We find that the ASEAN-6 and Shanghai stock markets are cointegrated in the long run and that shocks to one market are quick to reverberate in other markets in the ...

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, interactive tutorials, and more.

Start Free Trial

No credit card required