Capital Market Integration of ASEAN-6 Countries and Investment Implication
25 Pages Posted: 18 Dec 2012
Date Written: December 17, 2012
This paper uses weekly data from 31 Dec 1999 to 31 Dec 2010 to investigate the time varying integration of six ASEAN stock markets (Indonesia, Malaysia, Philippines, Singapore, Thailand and Vietnam) with four international stock markets (US, ASEAN bloc, Asia and world) and the interaction channels between domestic and international stock markets. Based on the findings of integration/segmentation and interaction channels, the paper recommends investors to diversify their investment portfolios by combining assets from each ASEAN6 country and from other international stock markets.
Keywords: capital market integration, ASEAN, emerging market, investment
JEL Classification: F15, G15
Suggested Citation: Suggested Citation