Evaluation of the Investment in Combined Stock Markets under Co-Integration and Diversification Benefit: The Case of Southeast Asian Markets
Evaluation of the Investment in Combined Stock Markets under Co-Integration and Diversification Benefit: The Case of Southeast Asian Markets

Summary/Abstract: Concerning the ASEAN linkage idea to pool ASEAN capital market together, this paper examines the insight benefit of the combination of Emerging Markets from the 5 original Association of Southeast Asian Nation (ASEAN) countries including Indonesia, Malaysia Philippine, Singapore, and Thailand. The 10 years’ data of the daily returns from these markets during 2007 to 2017 was investigated. The association analysis discovers the risk diversification benefit from the low or negative correlation among these countries’ stock market returns. However, investors cannot fully obtain diversification benefit in the long run. The co-integration test indicates the existence of the long run relationship among the returns of these ASEAN stock markets.

• Details
• Contents