Majeed, Ayesha and Masih, Mansur (2016): A study of long- run theoretical relationship between ASEAN stock market indices and developed stock market indices of US and Japan.
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Abstract
Over time the current world financial markets have become more closely correlated and interdependent due to increased market integration. One of the important outcomes of globalization has been economic cross-linkages and the increased co-movement of asset prices across international markets. This paper studies the long run relationship of five founding members of ASEAN-5, namely Malaysia, Singapore, Indonesia, Philippines & Thailand (referred to as ASEAN-5) and developed stock market indices of US and Japan. After the 1997 Asian Financial crisis, the stock markets in this region are expected to open up and become more interdependent. An Autoregressive Distributed Lag Model (ARDL) has been used to empirically test if a long run relationship exists among these indices. Our study finds that the ASEAN-5 stock markets are co-integrated along with developed stock markets of US and Japan which is in line with many studies.
| Item Type: | MPRA Paper |
|---|---|
| Original Title: | A study of long- run theoretical relationship between ASEAN stock market indices and developed stock market indices of US and Japan |
| English Title: | A study of long- run theoretical relationship between ASEAN stock market indices and developed stock market indices of US and Japan |
| Language: | English |
| Keywords: | ASEAN-5, ARDL, Co-integration, Granger-causality |
| Subjects: | C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial Econometrics E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets |
| Item ID: | 79724 |
| Depositing User: | Professor Mansur Masih |
| Date Deposited: | 16 Jun 2017 13:23 |
| Last Modified: | 03 Oct 2019 07:16 |
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| URI: | https://mpra.ub.uni-muenchen.de/id/eprint/79724 |
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