Stock market linkage between China and ASEAN-6 countries: Integration perspective

Zhang Jinghua and Mori Kogid (2024) Stock market linkage between China and ASEAN-6 countries: Integration perspective. Jurnal Ekonomi Malaysia, 58 (1). pp. 1-12. ISSN 0127-1962

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Abstract

This paper examines the integration process and time-varying characteristics of major stock markets in China and ASEAN6 countries (Indonesia, Malaysia, the Philippines, Singapore, Thailand and Vietnam). Based on the DCC-GARCH model as related to the daily stock index return data of China and the ASEAN-6, from July 2000 to December 2022, our study showed that the dynamic correlation between the stock markets of China and the ASEAN-6 was significantly enhanced during the sample period. The level of stock market integration between China and Singapore, Malaysia, and Vietnam has increased significantly, and the correlation has become more stable. In addition, the integration process shows significant time-varying characteristics; the effect of major economic events, the development of domestic financial markets, and the opening process of capital markets have a significant impact on the integration process of regional stock markets. The study made recommendations to promote China-ASEAN financial cooperation and offers a reliable theoretical basis for investment portfolio decisions. This will assist policymakers in keeping up with economic trends and taking necessary policy measures and interventions in a timely and effective manner to control stock market risks, ensuring stable and healthy economic development.

Item Type:	Article
Keyword:	DCC-GARCH; ASEAN; stock market; integration; China
Subjects:	H Social Sciences > HB Economic theory. Demography > HB1-3840 Economic theory. Demography > HB131-147 Methodology H Social Sciences > HC Economic history and conditions > HC10-1085 Economic history and conditions
Department:	FACULTY > Faculty of Business, Economics and Accounting
Depositing User:	ABDULLAH BIN SABUDIN -
Date Deposited:	04 Dec 2024 15:36
Last Modified:	04 Dec 2024 15:36
URI:	https://eprints.ums.edu.my/id/eprint/42107

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