Stock market integration in ASEAN after the Asian financial crisis

Journal of Asian Economics

Volumn 16, Issue 1, 2005, Pages 5-28

  Click, Reid W ^a   Plummer, Michael G ^b  

^a GEORGE WASHINGTON UNIVERSITY   (United States)

^b JOHNS HOPKINS UNIVERSITY   (United States)

Author keywords

ASEAN financial integration; Cointegrating vectors; Cointegration; Common trends

Indexed keywords

EID: 16244408633     PISSN: 10490078     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.asieco.2004.11.018     Document Type: Article

References (36)

1. Bank Negara Malaysia The central bank and the financial system in Malaysia 1999 Bank Negara Malaysia Kuala Lumpur
2. T. Bayoumi B. Eichengreen & P. Mauro On regional monetary arrangements for ASEAN Journal of the Japanese and International Economies 14 2000 121-148
3. T. Bayoumi & P. Mauro The suitability of ASEAN for a regional currency arrangement The World Economy 24 2001 933-954
4. P. Cecchini The costs of non-Europe 1988 Commission of the European Communities Bruxelles
5. G.-m. Chen M. Firth & O. Meng Rui Stock market linkages: Evidence from Latin America Journal of Banking & Finance 26 2002 1113-1141
6. P.J. Chung & D.J. Liu Common stochastic trends in Pacific Rim stock markets Quarterly Review of Economics and Finance 34 1994 241-259
7. R.W. Click & J.D. Coval The theory and practice of international financial management 2002 Prentice-Hall
8. A. Corhay A. Tourani Rad & J.-P. Urbain Common stochastic trends in European stock markets Economics Letters 42 1993 385-390
9. A.F. Darrat & M. Zhong Permanent and transitory driving forces in the Asian-Pacific stock markets The Financial Review 37 2002 35-52
10. R.A. DeFusco J.M. Geppert & G.P. Tsetsekos Long-run diversification potential in emerging stock markets The Financial Review 31 1996 343-363
11. A. Dekker K. Sen & M. Young Equity market linkages in the Asia Pacific region: A Comparison of the orthogonalized and generalised VAR approaches Global Finance Journal 12 2001 1-33
12. B. Eichengreen & T. Bayoumi Is Asia an optimum currency area? Can it become one? Regional global and historical perspectives on Asian monetary relations In S. Collignon J. Pisani-Ferry & Y.C. Park (Eds.) Exchange rate policies in emerging Asian countries 1999 London, New York Routledge 347-366
13. W. Enders Applied econometric time series 1995 John Wiley & Sons Inc.
14. J.L. Fernández-Serrano & S. Sosvilla-Rivero Modelling evolving long-run relationships: The linkages between stock markets in Asia Japan and the World Economy 13 2001 145-160
15. Freeman J. (2000). A regional platform for trading Southeast Asian equities: Viable option or lofty "Red Herring"? Institute of Southeast Asian Studies Working Paper No. 4. Available at http://www.iseas.edu.sg/rpapers.html.
16. H. Jang & W. Sul The Asian financial crisis and the co-movement of Asian stock markets Journal of Asian Economics 13 2002 94-104
17. S. Johnson & T. Mitton Cronyism and capital controls: Evidence from Malaysia Journal of Financial Economics 67 2003 351-382
18. Kaplan, E., & Rodrik D. (2001). Did the Malaysian capital controls work? National Bureau of Economic Research Working Paper 8142.
19. K. Kasa Common stochastic trends in international stock markets Journal of Monetary Economics 29 1992 95-124
20. S. Kleimeier & H. Sander Regionalisation versus globalisation in European financial market integration: Evidence from co-integration analyses Journal of Banking & Finance 24 2000 1005-1043
21. H.Y.P. Ling Optimum currency areas in East Asia ASEAN Economic Bulletin 18 2001 206-217
22. Madhur, S. (2002). Costs and benefits of a common currency for ASEAN. Working Paper, Asian Development Bank. Available at: http://www.adb.org/Documents/ERD/Working_Papers/wp012.pdf.
23. N. Manning Common trends and convergence? South East Asian equity markets 1988-1999 Journal of International Money and Finance 21 2002 183-202
24. A.M.M. Masih & R. Masih Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets Pacific-Basin Finance Journal 7 1999 251-282
25. Phylaktis, K., & Ravazzolo, F. (undated). Stock market linkages in emerging markets: Implications for International portfolio diversification. Unpublished working paper. Available at http://www.staff.city.ac.uk/~sj377/workingpapers/working_papers.html.
26. M.G. Plummer Structural change in globalized Asia: Macro trends and US policy changes Journal of Asian Economics 14 2 2003 243-281
27. Plummer, M. G., & Click, R. W. (2003). Bond market development and integration in ASEAN. International Center for the Study of East Asian Development Working Paper No. 2003-11. Available at http://www.icsead.or.jp/indexe.htm.
28. J. Rangvid Increasing convergence among European stock markets? A recursive common stochastic trends analysis Economics Letters 71 2001 383-389
29. A.J. Richards Comovements in National stock market returns: Evidence of predictability, but not cointegration Journal of Monetary Economics 36 1995 631-654
30. S.C. Sharma & P. Wongbangpo Long-term trends and cycles in ASEAN stock markets Review of Financial Economics 11 2002 299-315
31. Standard and Poor, 2001 Standard & Poor's Emerging stock markets factbook 2001 Standard & Poor's New York
32. Q. Sun Y.-K. Tang & W.H.S. Tong The impacts of mass delisting: Evidence from Singapore and Malaysia Pacific-Basin Finance Journal 10 2002 333-351
33. Tan, K.B., & Tse, Y.K. (2002). The integration of the east and south-east Asian equity markets. International Center for the Study of East Asian Development Working Paper No. 2002-11. Available at http://www.icsead.or.jp/indexe.htm.
34. Wellons, P. (1997). Integration of stock exchanges in regions in Europe, Asia, Canada, and the U.S. Consulting Assistance on Economic Reform II Discussion Paper No. 14, Harvard Institute for International Development. Available at http://www.cid.harvard.edu/caer2/htm/framsets/ fr_auth.htm.
35. World Bank. (2002). World development indicators. Washington, DC, World Bank.
36. Zhang, Z., Sato, K. & McAleer, M. (2001) Is East Asia an optimum currency area? International Center for the Study of East Asian Development Working Paper No. 2001-37. Available at http://www.icsead.or.jp/indexe.htm