Co-movement of asean-5 equity markets

(This study investigates the relationship across the regional equity markets of Indonesia, Malaysia, the Philippines, Singapore and Thailan0 There are two sample data of the Composite Indexes' (CI) which include: (1) 'CI in log form'; and (2) 'Volatility Serie5 . Both the series are segregated into three periods: (I) full-sample; (2) pre-crisis; and (3) post-crisis (Econometrical tests had been carried out on these data sample . i esuits of the 'Logged Data Series' and 'Volatility Series' provided conclusive evidence of one cointegrating vector for the full sample. Nonetheless, contrasting findings were discovered between the non-overlapping sub-periods of pre- and post-crisis for the 'Logged Data Series' and 'Volatility Series'. Causality wise, only Singapore and Thailand Granger cause Malaysia in the post-crisis for the 'Logged Data Series'. On the other hand, the 'Volatility Series' had suggested a set of causality chain between the markets for all three sample periods of interest. (Overall, this study provides a plausible forefront to policy makers suggesting whether or not international investment portfolio diversifications within the context of the ASEAN-5 equity markets are made beneficial to regional and international investors