Is There Any International Diversification Benefits in ASEAN Stock Markets?
This study finds that there is a common force which brings all the five ASEAN stock markets together in the long run by the nonparametric tests. This suggests that shocks from any of these five markets may spillover to the other markets in the same region. The recent Asian financial crisis bears a g...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Elseview
2009
|
| Subjects: | |
| Online Access: | https://eprints.ums.edu.my/id/eprint/21913/1/Is%20There%20Any%20International%20Diversification%20Benefits%20in%20ASEAN%20Stock%20Markets.pdf |
| _version_ | 1825713615887400960 |
|---|---|
| author | Hock-Ann Lee Kian-Ping Lim Venus Khim-Sen Liew |
| author_facet | Hock-Ann Lee Kian-Ping Lim Venus Khim-Sen Liew |
| author_sort | Hock-Ann Lee |
| collection | UMS |
| description | This study finds that there is a common force which brings all the five ASEAN stock markets together in the long run by the nonparametric tests. This suggests that shocks from any of these five markets may spillover to the other markets in the same region. The recent Asian financial crisis bears a good testimony to this ‘contagion effect'. Subsequently, there would be no long run gain from international portfolio diversification. Specifically, investors with long run horizons may not benefit from an investment made across the countries in this ASEAN region. One possible explanation for this intra-ASEAN stock markets integration is their strong economic ties, especially intra-ASEAN trade and investment that has indirectly linked their stock indices. |
| first_indexed | 2024-03-06T02:59:18Z |
| format | Article |
| id | ums.eprints-21913 |
| institution | Universiti Malaysia Sabah |
| language | English |
| last_indexed | 2024-03-06T02:59:18Z |
| publishDate | 2009 |
| publisher | Elseview |
| record_format | dspace |
| spelling | ums.eprints-219132019-04-30T05:19:13Z https://eprints.ums.edu.my/id/eprint/21913/ Is There Any International Diversification Benefits in ASEAN Stock Markets? Hock-Ann Lee Kian-Ping Lim Venus Khim-Sen Liew HG Finance This study finds that there is a common force which brings all the five ASEAN stock markets together in the long run by the nonparametric tests. This suggests that shocks from any of these five markets may spillover to the other markets in the same region. The recent Asian financial crisis bears a good testimony to this ‘contagion effect'. Subsequently, there would be no long run gain from international portfolio diversification. Specifically, investors with long run horizons may not benefit from an investment made across the countries in this ASEAN region. One possible explanation for this intra-ASEAN stock markets integration is their strong economic ties, especially intra-ASEAN trade and investment that has indirectly linked their stock indices. Elseview 2009 Article PeerReviewed text en https://eprints.ums.edu.my/id/eprint/21913/1/Is%20There%20Any%20International%20Diversification%20Benefits%20in%20ASEAN%20Stock%20Markets.pdf Hock-Ann Lee and Kian-Ping Lim and Venus Khim-Sen Liew (2009) Is There Any International Diversification Benefits in ASEAN Stock Markets? Economics Bulletin, 29 (1). pp. 392-406. ISSN 1545-2921 |
| spellingShingle | HG Finance Hock-Ann Lee Kian-Ping Lim Venus Khim-Sen Liew Is There Any International Diversification Benefits in ASEAN Stock Markets? |
| title | Is There Any International Diversification Benefits in ASEAN Stock Markets? |
| title_full | Is There Any International Diversification Benefits in ASEAN Stock Markets? |
| title_fullStr | Is There Any International Diversification Benefits in ASEAN Stock Markets? |
| title_full_unstemmed | Is There Any International Diversification Benefits in ASEAN Stock Markets? |
| title_short | Is There Any International Diversification Benefits in ASEAN Stock Markets? |
| title_sort | is there any international diversification benefits in asean stock markets |
| topic | HG Finance |
| url | https://eprints.ums.edu.my/id/eprint/21913/1/Is%20There%20Any%20International%20Diversification%20Benefits%20in%20ASEAN%20Stock%20Markets.pdf |
| work_keys_str_mv | AT hockannlee isthereanyinternationaldiversificationbenefitsinaseanstockmarkets AT kianpinglim isthereanyinternationaldiversificationbenefitsinaseanstockmarkets AT venuskhimsenliew isthereanyinternationaldiversificationbenefitsinaseanstockmarkets |