Capital Market Integration of ASEAN-6 Countries and Investment Implication

25 Pages Posted: 18 Dec 2012

See all articles by Hung Quang Do

Hung Quang Do

LaTrobe University - School of Economics and Finance

Laszlo Konya

La Trobe University - School of Economics

Date Written: December 17, 2012

Abstract

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

Do, Hung Quang and Konya, Laszlo, Capital Market Integration of ASEAN-6 Countries and Investment Implication (December 17, 2012). 2013 Financial Markets & Corporate Governance Conference, Available at SSRN: https://ssrn.com/abstract=2190273 or http://dx.doi.org/10.2139/ssrn.2190273

Hung Quang Do (Contact Author)

LaTrobe University - School of Economics and Finance ( email )

Bundoora
Bundoora, Victoria 3083 3086
Australia

Laszlo Konya

La Trobe University - School of Economics ( email )

Bundoora, Victoria 3086
Australia

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