Integration, Comovement, and Spillovers Among ASEAN Banking Sector Stocks
Posted: 9 Feb 2016
Date Written: February 9, 2016
Abstract
Over the past decades, ASEAN countries have made wide-ranging commitments and concerted efforts to achieve financial integration. This puts forth the question of how far that has been realized as well as cross-market transmission in mean, volatility and conditional asymmetry. These issues are addressed at banking sector level, using cointegration technique, DCC framework, a quantile-based measure of conditional asymmetry and Granger-causality approach. The finding shows that full integration has not taken place among the banking sector in the ASEAN region and across other Asian markets. There is little evidence of conditional asymmetry spillover. Our results have implications for portfolio diversification and risk management.
Keywords: Banking Sector Integration; Cointegration; Conditional Asymmetry; Spillover; Dynamic correlation
JEL Classification: C13; C22; F36; G15
Suggested Citation: Suggested Citation