Financial integration and international portfolio diversification: US, Japan and ASEAN equity markets

Journal of Asia-Pacific Business

Volumn 7, Issue 1, 2006, Pages 5-23

  Ibrahim, Mansor H ^a  

^a INTERNATIONAL ISLAMIC UNIVERSITY MALAYSIA   (Malaysia)

Author keywords

ASEAN; Cointegration; Impulse response functions; International diversification; Variance decompositions

Indexed keywords

ASEAN; COINTEGRATION ANALYSIS; ECONOMIC INTEGRATION; EMPIRICAL ANALYSIS; FINANCIAL PROVISION;

ASIA; EURASIA; FAR EAST; JAPAN; NORTH AMERICA; UNITED STATES;

EID: 33746487865     PISSN: 10599231     EISSN: 15286940     Source Type: Journal    
DOI: 10.1300/J098v07n01_02     Document Type: Article

References (30)

1. Ahmed, H. & Tongzon, J. L. (1998). An investigation of economic linkages among the ASEAN group of countries, ASEAN Economic Bulletin, 15(2), 121-136.
2. Arshanapalli, B. & Doukas, J. (1993). International stock market linkages: Evidence from pre- and post-October 1987 period, Journal of Banking and Finance, 17, 193-208.
3. Azman-Saini, W. N. W. et al. (2002). Financial integration and the ASEAN-5 equity markets, Applied Economics, 34, 2283-2288.
4. Cha, B. & Oh, S. (2000). The relationship between developed equity markets and the Pacific Basin's emerging equity markets, International Review of Economics and Finance, 9, 299-322.
5. Cheung, Y. W. & Lai, K. S. (1993). Long-run purchasing power parity during the recent float, Journal of International Economics, 34, 181-192.
6. Chua, S. Y. et al. (1999). The impact of the US and Japanese economies on Korea and Malaysia after the Plaza Accord, Asian Economic Journal, 13(1), 19-35.
7. Daly, K. J. (2003). Southeast Asian stock market linkages: Evidence from pre- and post-October 1997, ASEAN Economic Bulletin, 20(1), 73-85.
8. Engle, R. F. & Granger, C. W. J. (1987). "Co-integration and error correction: Representation, estimation and testing," Econometrica, 55(2), 251-276.
9. Ewing, B. T., Payne, J. E. & Sowell, C. (1999). NAFTA and North American stock market linkages: An empirical note, North American Journal of Economics and Finance, 10, 443-451.
10. Gilmore, C. G. & McManus, G. M. (2002). International portfolio diversification: US and Central European equity markets, Emerging Markets Review, 3, 69-83.
11. Grubel, H. (1968). International diversified portfolio: Welfare gains and capital flows, American Economic Review, 58, 1299-1314.
12. Hall, S. G. (1989). Maximum likelihood estimation of cointegration vectors: An example of the Johansen procedure, Oxford Bulletin of Economics and Statistics, 51, 213-218.
13. Johansen, S. (1988). Statistical analysis of cointegration vectors, Journal of Economic Dynamics and Control, 12, 231-254.
14. Johansen, S. (1992). Testing weak exogeneity and the order of cointegration in UK money demand data, Journal of Policy Modeling, 14, 313-334.
15. Johansen, S. & Juselius, K. (1990). Maximum likelihood estimation and inference on cointegration: With applications to the demand for money, Oxford Bulletin of Economics and Statistics, 52(2), 169-210.
16. Koop, G., Pesaran, M. H. & Potter, S. M. (1996). Impulse response analysis in nonlinear multivariate models, Journal of Econometrics, 74, 119-147.
17. Lee, S. B. & Kim, K. J. (1993). Does the October 1987 crash strengthen the comovements among national stock markets, Review of Financial Economics, 3, 89-102.
18. Lessard, D. (1973). International portfolio diversification: A multivariate analysis for a group of Latin American countries, Journal of Finance, 28, 619-633.
19. Levy, H. & Sarnat, M. (1970). International diversification of investment portfolios, American Economic Review, 60, 668-675.
20. Lutkepohl, H. (1991). Introduction to Multiple Time Series Analysis, Berlin: Springer-Verlag.
21. Meric, I. & Meric, G. (1997). Co-movements of European equity markets before and after the 1987 crash, Multinational Finance Journal, 1, 137-152.
22. Palac-McMiken, E. D. (1997). An examination of ASEAN stock markets: A cointegration approach, ASEAN Economic Bulletin, 13, 299-311.
23. Pesaran, M. H. & Shin, Y. (1998). Generalized impulse response analysis in linear multivariate models, Economics Letters, 58, 17-29.
24. Phylaktis, K. (1997). Capital market integration in the Pacific-Basin region: An analysis of real interest rate linkages, Pacific-Basin Finance Journal, 5, 195-213.
25. Roca, E. D. et al. (1998). Are the ASEAN equity markets interdependent? ASEAN Economic Bulletin, 15, 109-120.
26. Selover, D. D. (1999). International interdependence and business cycle transmission in ASEAN, Journal of the Japanese and International Economies, 13, 230-253.
27. Sheng, H. C. & Tu, A. H. (2000). A study of cointegration and variance decomposition among national equity indices before and during the period of the Asian financial crisis, Journal of International Financial Management, 10, 345-365.
28. Sims, C. (1980). Comparison of interwar and postwar business cycles: Monetarism reconsidered, American Economic Review: Papers and Proceedings, 70, 250-257.
29. Solnik, B. H. (1974). Why not diversify internationally? Financial Analysts Journal, 30, 48-54.
30. Toda, H. Y. & Yamamoto, T. (1995). Statistical inference in vector autoregression with possibly integrated processes, Journal of Econometrics, 66, 225-250.