Financial integration and the ASEAN-5 equity markets

W. N.W. Azman-Saini, M. Azali, M. S. Habibullah, K. G. Matthews

Research output: Journal PublicationArticlepeer-review

48 Citations (Scopus)

Abstract

The existence of long-run relationships among the ASEAN-5 equity markets is empirically investigated. This study utilized weekly data spanning January 1988 to August 1999. The results of Granger noncausality test due to Toda and Yamamoto (Journal of Econometrics, 66, 225-50, 1995) reveal that the Singapore equity market was not affected by other markets except by the Philippines in the long run. This result shows that there exist opportunities for beneficial international portfolio diversification within the context of the Asean-5 equity markets.

Original languageEnglish
Pages (from-to)2283-2288
Number of pages6
JournalApplied Economics
Volume34
Issue number18
DOIs
Publication statusPublished - 15 Dec 2002
Externally publishedYes

ASJC Scopus subject areas

  • Economics and Econometrics

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