Capital Market Integration of ASEAN Countries

50 Pages Posted: 19 Dec 2011 Last revised: 28 Feb 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: February 27, 2012

Abstract

In this paper, we use 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 information of integration/segmentation and the interaction mechanisms between markets, we infer some investment policy implications to investors. We find that some of these six ASEAN stock markets are not highly integrated with international markets and the investors can use assets from these ASEAN countries to diversify their investment portfolios.

Keywords: Capital market integration, ASEAN countries, Investment portfolio

JEL Classification: F15, G15

Suggested Citation

Do, Hung Quang and Konya, Laszlo, Capital Market Integration of ASEAN Countries (February 27, 2012). 2012 Financial Markets & Corporate Governance Conference, Available at SSRN: https://ssrn.com/abstract=1974449 or http://dx.doi.org/10.2139/ssrn.1974449

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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