The purpose of this study is to investigate the financial integration of the stock markets of the ASEAN 5 ＋ 3 countries. These countries include Indonesia, Malaysia, Philippines, Singapore, Thailand, China, Japan, an...The purpose of this study is to investigate the financial integration of the stock markets of the ASEAN 5 ＋ 3 countries. These countries include Indonesia, Malaysia, Philippines, Singapore, Thailand, China, Japan, and South Korea. The research determined the stock return volatility for each country＇s index during the first decade of the new millennium. The findings showed that there is the presence of integration and co-integration with Philippine index＇s return with the index＇s returns of the following countries： Indonesia, Singapore, and Thailand. Furthermore, there is evidence of volatility clustering in these stock markets. The study concluded with the policy implications of greater integration in light of the planned cross trading among four ASEAN bourses, namely, Philippines, Singapore, Thailand, and Malaysia by 2012.展开更多
文摘The purpose of this study is to investigate the financial integration of the stock markets of the ASEAN 5 ＋ 3 countries. These countries include Indonesia, Malaysia, Philippines, Singapore, Thailand, China, Japan, and South Korea. The research determined the stock return volatility for each country＇s index during the first decade of the new millennium. The findings showed that there is the presence of integration and co-integration with Philippine index＇s return with the index＇s returns of the following countries： Indonesia, Singapore, and Thailand. Furthermore, there is evidence of volatility clustering in these stock markets. The study concluded with the policy implications of greater integration in light of the planned cross trading among four ASEAN bourses, namely, Philippines, Singapore, Thailand, and Malaysia by 2012.
