Since 2014
Stock Market Linkages among the ASEAN 5+3 Countries and US: Further Evidence
Management and Administrative Sciences Review
View Archive Info| Field | Value | |
| Title |
Stock Market Linkages among the ASEAN 5+3 Countries and US: Further Evidence
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| Creator |
Mandigma, Ma. Belinda S.; University of Santo Tomas, Manila,
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| Subject |
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Stock market interactions, global financial crisis, international portfolio diversification, econometrics |
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| Description |
This study is an attempt to analyze the linkages among the stock markets of the ASEAN 5+3 countries and the U.S. before the 2008 global financial turbulence and the ensuing recovery period. Data consisted of weekly stock index closing prices over the period January 07, 2005 to December 28, 2007 (pre-crisis period) and the period January 15, 2010 to January 25, 2013 (recovery period). Econometrics tools were used to examine (1) short-term dynamic stock returns relationships (2) individual stock market efficiency (3) long-term stock market linkages, and (4) short-term influence on stock returns among the subject stock markets. Results indicate that the short-term dynamic linkages among the markets were strengthened during recovery except for China. In addition, there exists a long-term co-integrating relationship among the markets after the crisis. Interestingly, results show the significant influence of China in almost all the markets before and after the financial turmoil. Further, the unidirectional causal relationship running from the U.S. to the Philippines and Indonesia somehow dissipates and curiously shifted to China during recovery. Policy makers may use the results of this study as a spring board for adopting programs in response to increasing financial interactions across borders. Likewise, international investors may be guided by the findings in the choice of stocks for portfolio diversification.
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| Publisher |
Academy of Business & Scientific Research
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| Contributor |
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| Date |
2014-01-03
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
http://absronline.org/journals/index.php/masr/article/view/132
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| Source |
Management and Administrative Sciences Review; Vol 3, No 1 (2014): January; pp. 53-68
2308-1368 2310-872X |
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| Language |
eng
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| Relation |
http://absronline.org/journals/index.php/masr/article/view/132/152
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| Rights |
Copyright (c) 2014 Management and Administrative Sciences Review
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