| By: |
Guglielmo Maria Caporale;
Luis A. Gil-Alana;
Kefei You |
| Abstract: |
This paper examines stock market integration between the ASEAN five and the US
and China, respectively, over the period from November 2002 to March 2018. The
linkages between both aggregate and financial sector stock indices (both
weekly and monthly) are analysed using fractional integration and fractional
cointegration methods. Further, recursive cointegration analysis is carried
out for the weekly series to study the impact of the 2007-8 global financial
crisis and the 2015 China stock market crash on the pattern of stock market
co-movement. The main findings are the following. All stock indices exhibit
long memory. There is cointegration between the ASEAN five and the US but
almost none between the former and China, except between Indonesia and China
in the case of the financial sector. The 2007-8 global financial crisis and
the 2015 Chinese stock market plunge weakened the linkages between the ASEAN
five and both China and the US. The implications of these results for market
participants and policy makers are discussed. |
| Keywords: |
Asian stock markets, financial integration, fractional integration, fractional cointegration |
| JEL: |
C22 C32 G11 G15 |
| Date: |
2019 |
| URL: |
http://d.repec.org/n?u=RePEc:ces:ceswps:_7537&r=all |