Testing the validation of the financial cooperation agreement among ASEAN+3 stock markets

Purpose: The purpose of this paper is to investigate the validation of the ASEAN+3 financial cooperation agreement among its members. In particular, it examines the long- and short-run relationships among the stock market indices of eight countries: China (CH), Japan (JP),Korea (KR), Malaysia (MY),...

Full description

Bibliographic Details
Main Authors:	Rahman, Md. Saifur, Othman, Anwar Hasan Abdullah, Shahari, Farihana
Format:	Article
Language:	English English English
Published:	Emerald Group Publishing Ltd. 2017
Subjects:	HG4501 Stocks, investment, speculation
Online Access:	http://irep.iium.edu.my/58538/ http://irep.iium.edu.my/58538/ http://irep.iium.edu.my/58538/ http://irep.iium.edu.my/58538/1/58538_Testing%20the%20validation%20of%20the%20financial.pdf http://irep.iium.edu.my/58538/2/58538_Testing%20the%20validation%20of%20the%20financial_SCOPUS.pdf http://irep.iium.edu.my/58538/3/58538_Testing%20the%20validation%20of%20the%20financial_WOS.pdf

id	iium-58538
recordtype	eprints
spelling	iium-585382018-11-15T03:27:21Z http://irep.iium.edu.my/58538/ Testing the validation of the financial cooperation agreement among ASEAN+3 stock markets Rahman, Md. Saifur Othman, Anwar Hasan Abdullah Shahari, Farihana HG4501 Stocks, investment, speculation Purpose: The purpose of this paper is to investigate the validation of the ASEAN+3 financial cooperation agreement among its members. In particular, it examines the long- and short-run relationships among the stock market indices of eight countries: China (CH), Japan (JP),Korea (KR), Malaysia (MY), Indonesia (ID), Philippines (PH), Thailand (TH), and Singapore (SG). Design/methodology/approach: The study applied a global VAR and vector error correction model (VECM) model to investigate this relationship using daily data over the period from first March 1992 to end of September 2013. The study period has been separated into pre-1997/1998 financial crisis period (1992-1997) and post-1997/1998 crisis period (1999-2013). Findings: The findings show that the stock markets in the ASEAN region are integrated during both periods of financial crises. However, the markets are moving toward better integration, particularly during the post-crisis period. This is supported by the results of the error correction which indicated that most ASEAN+3 stock market indices adjust quickly within the short run to a shock in the long-run equilibrium relationships in the region during both the pre- and post-crisis periods. In addition, the results of the VECM causality test showed that a short-run relationship exists among the ASEAN+3 stock market indices. Practical implications: The results of this study therefore have two implications: first, for investors in terms of construction of the portfolio diversification strategies across difference stock markets in Asian region, and second, for policy makers, as the study presents an understanding of financial exposure in their countries as consequences of changes that occur in the other stock market indices in the ASEAN region. Social implications: The investors can find the potential sectors for the portfolio investments. Originality/value: The paper is one of the pioneers to examine the validity of ASEAN+3 financial cooperation agreement. © 2017, © Emerald Publishing Limited. Emerald Group Publishing Ltd. 2017 Article PeerReviewed application/pdf en http://irep.iium.edu.my/58538/1/58538_Testing%20the%20validation%20of%20the%20financial.pdf application/pdf en http://irep.iium.edu.my/58538/2/58538_Testing%20the%20validation%20of%20the%20financial_SCOPUS.pdf application/pdf en http://irep.iium.edu.my/58538/3/58538_Testing%20the%20validation%20of%20the%20financial_WOS.pdf Rahman, Md. Saifur and Othman, Anwar Hasan Abdullah and Shahari, Farihana (2017) Testing the validation of the financial cooperation agreement among ASEAN+3 stock markets. International Journal of Emerging Markets, 12 (3). pp. 572-592. ISSN 1746-8809 E-ISSN 1746-8817 http://www.emeraldinsight.com/doi/full/10.1108/IJoEM-05-2016-0127 10.1108/IJoEM-05-2016-0127
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English English English
topic	HG4501 Stocks, investment, speculation
spellingShingle	HG4501 Stocks, investment, speculation Rahman, Md. Saifur Othman, Anwar Hasan Abdullah Shahari, Farihana Testing the validation of the financial cooperation agreement among ASEAN+3 stock markets
description	Purpose: The purpose of this paper is to investigate the validation of the ASEAN+3 financial cooperation agreement among its members. In particular, it examines the long- and short-run relationships among the stock market indices of eight countries: China (CH), Japan (JP),Korea (KR), Malaysia (MY), Indonesia (ID), Philippines (PH), Thailand (TH), and Singapore (SG). Design/methodology/approach: The study applied a global VAR and vector error correction model (VECM) model to investigate this relationship using daily data over the period from first March 1992 to end of September 2013. The study period has been separated into pre-1997/1998 financial crisis period (1992-1997) and post-1997/1998 crisis period (1999-2013). Findings: The findings show that the stock markets in the ASEAN region are integrated during both periods of financial crises. However, the markets are moving toward better integration, particularly during the post-crisis period. This is supported by the results of the error correction which indicated that most ASEAN+3 stock market indices adjust quickly within the short run to a shock in the long-run equilibrium relationships in the region during both the pre- and post-crisis periods. In addition, the results of the VECM causality test showed that a short-run relationship exists among the ASEAN+3 stock market indices. Practical implications: The results of this study therefore have two implications: first, for investors in terms of construction of the portfolio diversification strategies across difference stock markets in Asian region, and second, for policy makers, as the study presents an understanding of financial exposure in their countries as consequences of changes that occur in the other stock market indices in the ASEAN region. Social implications: The investors can find the potential sectors for the portfolio investments. Originality/value: The paper is one of the pioneers to examine the validity of ASEAN+3 financial cooperation agreement. © 2017, © Emerald Publishing Limited.
format	Article
author	Rahman, Md. Saifur Othman, Anwar Hasan Abdullah Shahari, Farihana
author_facet	Rahman, Md. Saifur Othman, Anwar Hasan Abdullah Shahari, Farihana
author_sort	Rahman, Md. Saifur
title	Testing the validation of the financial cooperation agreement among ASEAN+3 stock markets
title_short	Testing the validation of the financial cooperation agreement among ASEAN+3 stock markets
title_full	Testing the validation of the financial cooperation agreement among ASEAN+3 stock markets
title_fullStr	Testing the validation of the financial cooperation agreement among ASEAN+3 stock markets
title_full_unstemmed	Testing the validation of the financial cooperation agreement among ASEAN+3 stock markets
title_sort	testing the validation of the financial cooperation agreement among asean+3 stock markets
publisher	Emerald Group Publishing Ltd.
publishDate	2017
url	http://irep.iium.edu.my/58538/ http://irep.iium.edu.my/58538/ http://irep.iium.edu.my/58538/ http://irep.iium.edu.my/58538/1/58538_Testing%20the%20validation%20of%20the%20financial.pdf http://irep.iium.edu.my/58538/2/58538_Testing%20the%20validation%20of%20the%20financial_SCOPUS.pdf http://irep.iium.edu.my/58538/3/58538_Testing%20the%20validation%20of%20the%20financial_WOS.pdf
first_indexed	2023-09-18T21:22:47Z
last_indexed	2023-09-18T21:22:47Z
_version_	1777411992976359424

Testing the validation of the financial cooperation agreement among ASEAN+3 stock markets

Similar Items