Stock Market Linkages: Co-movement of ASEAN-5 Equity Markets

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This study investigates the relationship across regional equity markets of Indonesia, Malaysia, the Philippines, Singapore and Thailand. Two sets of data for each respective country were selected for this study which include the series in logged form and also the volatility series. Both data streaks are segregated into three sub-periods of interest including the full-sample, pre-crisis and post-crisis. Also, a combination of econometrical analyses had been adopted in order to examine the co-movement of these markets. Overall, this study provides a plausible forefront to policy makers suggesting whether or not international diversification of portfolio investment within the context of the ASEAN-5 equity markets are made beneficial to regional and international investors.

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