Linkages between ASEAN stock markets: A cointegration approach
Document Type
Conference Proceeding
Publisher
Modelling and Simulation Society of Australia and New Zealand
Faculty
Faculty of Business and Law
School
School of Finance and Business Economics
RAS ID
4830
Abstract
With increased market integration, the current world financial markets have become more closely correlated and interdependent over time. Understanding the information linkages and correlations between markets are important for policy makers and fund managers in their financial decisions in relation to investment and risk management. The existence of low correlation among returns from different national stock markets has been used frequently to justify the international diversification of portfolios. Another reason for investors to consider global investments is return enhancement. Securities issued by countries with higher growth rates are expected to earn higher rates of returns.
Access Rights
free_to_read
Comments
Lim, L. K. (2007, December). Linkages between ASEAN stock markets: a cointegration approach. In MODSIM 2007 International Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand (pp. 1818-1824). Available here