ASEAN-5 + 3 and US Stock Markets Interdependence Before, During and After Asian Financial Crisis

Royfaizal, R. C.; Lee, C.; Azali, M.

doi:10.5539/ijef.v1n2p45

Cited by 13 publications

(9 citation statements)

References 17 publications

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“…Meanwhile, Qatar, Saudi Arabia, UAE and Bangladesh sharia stock market models have an F-statistic value below the lowest critical value (lower bound), so it can be concluded that there is no co-integration on all models. These findings are consistent with research by Royfaizal et al (2009), Kassim (2013), Nurrachmi (2019), Majid et al (2008) and Jiang et al 2017 which proves that the stock price index is co-integrated in the crisis period.…”

Section: China Stock Market Crisis Periodsupporting

confidence: 92%

The Integration of Islamic Stock Markets of OIC Countries in China Stock Market Crisis and US-China Trade War

Siswara¹,

Effendi²,

Muthoharroh³

2021

Al-Iqtishad: Jurnal Ilmu Ekonomi Syariah

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The purpose of this study is to analyze the integration and response of the Islamic stock market of the OIC countries before the crisis and during the China stock market crisis also during the United States-China trade war with the Autoregressive Distributed Lag (ARDL) method. The results showed that there was no cointegration in the period before the China stock market crisis. However, during the period of the China stock market crisis and the United States-China trade war, the cointegration was more common. The Islamic stock market of Qatar, Saudi Arabia and the UAE experienced a domino effect from fluctuations in crude oil prices. Then, the Indonesia Islamic stock market in the two crisis periods had a long-term relationship with the US and China stock markets. Whereas the Malaysian and Bangladesh Islamic stock markets have only a long-term relationship with the US stock market. In terms of the benefits of portfolio diversification for investors, there is relevance of dominant economic, geographical, and trade relations in influencing the integration of the Islamic stock market.

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Section: China Stock Market Crisis Periodsupporting

confidence: 92%

The Integration of Islamic Stock Markets of OIC Countries in China Stock Market Crisis and US-China Trade War

Siswara¹,

Effendi²,

Muthoharroh³

2021

Al-Iqtishad: Jurnal Ilmu Ekonomi Syariah

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“…The connections among the ASEAN-3+5 countries (China, Japan, Korea, Malaysia, Singapore, the Philippines, Thailand, Indonesia) and US stock exchanges for the time period of 1997 Asian financial crisis analysed by Royfaizal, Lee, Azali, (2009) using Granger Causality test. It was found that ASEAN-3+5 and US stock markets are related each other for the global financial crisis and post-crisis periods.…”

Section: Brief Literature Reviewmentioning

confidence: 99%

Impact of the Global Financial Crises on the Major Asian Countries and Usa Stock Markets and Inter-Linkages Among Them

Adas¹,

Tussupova²

2016

IJoES

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This study examines the impact of the global financial crisis on the stock markets returns of China, Japan, India, and USA through E-GARCH model. In addition, it investigates the nature of volatility spillovers between stock indices during the global financial meltdown employing Granger Causality test. Daily stock prices are used for the period from 6th of January, 2006 to 22nd of April 2011. The main findings are as follows. First, in all stock markets high volatility and setback on the daily returns exist due to the financial crisis. Further the global financial crisis less affected Shanghai stock exchange than the other stock markets whereas it influenced the USA stock markets in large extent. Also stock returns volatility get moderated in the major Asian Countries stock markets after post crisis period but it has been remained in the USA stock exchanges. Secondly, Granger causality test shows that after the onset of the financial crisis, the USA stock markets have bidirectional influences on the each of other market, but didn't receive any volatility spillover from major Asian Countries stock markets. Indian stock market experiences volatility spillover from all the stock markets. Japanese stock market receives volatility spillover only from USA stock markets. However, Shanghai stock exchange doesn't experience any volatility spillover from the other stock markets.

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“…Local financial institutions witnessed lack of liquidity and deterioration in the local currency exchange, and most of the stock markets collapsed, causing market values to sharply drop among others . These negative effects were due to the weak domestic financial system, the contagion effects of changing market sentiment, free international capital flows, and inconsistent economic policies (Royfaizal et al, 2009). All these factors offer substantial opportunities for speculators to make profit in the short term by speculating the financial markets of Asian region causing the 1997/1998 financial crisis.…”

Section: Introductionmentioning

confidence: 99%

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

Rahman

Othman

Shahari

2017

Int Journal of Emerging Mkts

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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.

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ASEAN-5 + 3 and US Stock Markets Interdependence Before, During and After Asian Financial Crisis

Cited by 13 publications

References 17 publications

The Integration of Islamic Stock Markets of OIC Countries in China Stock Market Crisis and US-China Trade War

The Integration of Islamic Stock Markets of OIC Countries in China Stock Market Crisis and US-China Trade War

Impact of the Global Financial Crises on the Major Asian Countries and Usa Stock Markets and Inter-Linkages Among Them

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

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