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Stock market integration in ASEAN after the Asian financial crisis

机译：亚洲金融危机后东盟股市一体化

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This paper considers the degree to which the five stock markets in the original Association of Southeast Asian Nations countries (ASEAN-5) are correlated as a way to assess the feasibility of policy initiatives to enhance ASEAN stock market integration and the implications for portfolio investors. In particular, this paper considers whether the ASEAN-5 markets are integrated or segmented using the time series technique of cointegration to extract long-run relations. The empirical results suggest that the ASEAN-5 stock markets are cointegrated and are thus not completely segmented by national borders. However, there is only one cointegrating vector, leaving four common trends among the five variables. We therefore conclude that ASEAN-5 stock markets are integrated in the economic sense, but that integration is far from complete. On a policy level, initiatives to further integrate the stock markets are feasible, and in fact desirable. From the perspective of the international portfolio investor, benefits of international portfolio diversification across the five markets are reduced but not eliminated.
机译：本文考虑了原始东南亚国家联盟（ASEAN-5）中五个股票市场之间的关联程度，以此作为评估旨在增强东盟股票市场一体化的政策举措的可行性以及对证券投资人的影响的一种方式。特别是，本文考虑了使用协整时间序列技术提取长期关系来对ASEAN-5市场进行整合还是细分。实证结果表明，东盟五国股票市场是共同整合的，因此没有被国界完全分割。但是，只有一个协整向量，在五个变量之间留下了四个共同趋势。因此，我们得出结论，从经济意义上讲，东盟五国股票市场是一体化的，但是一体化还远远没有完成。在政策层面上，进一步整合股票市场的举措是可行的，实际上是可取的。从国际证券投资人的角度来看，这五个市场的国际证券投资多元化的收益有所减少，但并没有消除。

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