ASEAN5 Equity Market Linkages

Richard Heaney; Zarina M. Nor

ASEAN5 Equity Market Linkages

Accounting and Finance

Research output: Chapter in Book/Conference paper › Conference paper

Abstract

ASEAN5 equity markets have experienced the ‘Asian Miracle’, survived the 1997 crisis, and are now re-building their strength in the region. This paper examines the short-run and long run linkages that exist between the ASEAN5 equity markets over the period from 1990 to 2006. Analysis of correlation coefficients between the ASEAN5 equity markets suggests an increase in correlation following the 1997 crisis. Further, cointegration is evident over both the full period and in the pre and post 1997 crisis periods. Finally, the influence of the US, Japan and Australia equity markets is also examined with evidence of a strong exogenous US equity market effect over the 16-year period of the study.

Original language	English
Title of host publication	European Financial Management Association 2009 Annual Meetings
Number of pages	32
Publication status	Published - 2009
Event	European Financial Management Association 2009 Annual Meetings - Milan, Italy Duration: 24 Jun 2009 → 27 Jun 2009

Conference

Conference	European Financial Management Association 2009 Annual Meetings
Country/Territory	Italy
City	Milan
Period	24/06/09 → 27/06/09

Access to Document

http://www.efmaefm.org/0EFMAMEETINGS/EFMA%20ANNUAL%20MEETINGS/2009-Milan/papers/389.pdf

Cite this

@inproceedings{afc703c996c3443f934981f7f2855e26,

title = "ASEAN5 Equity Market Linkages",

abstract = "ASEAN5 equity markets have experienced the {\textquoteleft}Asian Miracle{\textquoteright}, survived the 1997 crisis, and are now re-building their strength in the region. This paper examines the short-run and long run linkages that exist between the ASEAN5 equity markets over the period from 1990 to 2006. Analysis of correlation coefficients between the ASEAN5 equity markets suggests an increase in correlation following the 1997 crisis. Further, cointegration is evident over both the full period and in the pre and post 1997 crisis periods. Finally, the influence of the US, Japan and Australia equity markets is also examined with evidence of a strong exogenous US equity market effect over the 16-year period of the study.",

author = "Richard Heaney and Nor, {Zarina M.}",

year = "2009",

language = "English",

booktitle = "European Financial Management Association 2009 Annual Meetings",

note = "European Financial Management Association 2009 Annual Meetings ; Conference date: 24-06-2009 Through 27-06-2009",

}

TY - GEN

T1 - ASEAN5 Equity Market Linkages

AU - Heaney, Richard

AU - Nor, Zarina M.

PY - 2009

Y1 - 2009

N2 - ASEAN5 equity markets have experienced the ‘Asian Miracle’, survived the 1997 crisis, and are now re-building their strength in the region. This paper examines the short-run and long run linkages that exist between the ASEAN5 equity markets over the period from 1990 to 2006. Analysis of correlation coefficients between the ASEAN5 equity markets suggests an increase in correlation following the 1997 crisis. Further, cointegration is evident over both the full period and in the pre and post 1997 crisis periods. Finally, the influence of the US, Japan and Australia equity markets is also examined with evidence of a strong exogenous US equity market effect over the 16-year period of the study.

AB - ASEAN5 equity markets have experienced the ‘Asian Miracle’, survived the 1997 crisis, and are now re-building their strength in the region. This paper examines the short-run and long run linkages that exist between the ASEAN5 equity markets over the period from 1990 to 2006. Analysis of correlation coefficients between the ASEAN5 equity markets suggests an increase in correlation following the 1997 crisis. Further, cointegration is evident over both the full period and in the pre and post 1997 crisis periods. Finally, the influence of the US, Japan and Australia equity markets is also examined with evidence of a strong exogenous US equity market effect over the 16-year period of the study.

M3 - Conference paper

BT - European Financial Management Association 2009 Annual Meetings

T2 - European Financial Management Association 2009 Annual Meetings

Y2 - 24 June 2009 through 27 June 2009

ER -

ASEAN5 Equity Market Linkages

Abstract

Conference

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