Is there any international diversification benefits in Asean stock markets?

Lee, Hock A. and Lim, Kian Ping and Liew, Venus Khim Sen (2009) Is there any international diversification benefits in Asean stock markets? Economics Bulletin, 29 (1). pp. 392-406. ISSN 1545-2921


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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.

Item Type: Article
Uncontrolled Keywords: International diversification benefits, ASEAN stock markets
Subjects: H Social Sciences > HG Finance > HG1-9999 Finance > HG4501-6051 Investment, capital formation, speculation > HG4551-4598 Stock exchanges
Divisions: SCHOOL > Labuan School of International Business and Finance
Depositing User: ADMIN ADMIN
Date Deposited: 04 Oct 2012 08:21
Last Modified: 17 Oct 2017 11:42

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