Integration, Comovement, and Spillovers Among ASEAN Banking Sector Stocks

Posted: 9 Feb 2016

See all articles by Jones Odei Mensah

Jones Odei Mensah

Wits Business School

Gamini Premaratne

University of Illinois at Urbana-Champaign - Department of Economics; University of Brunei Darussalam

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

Mensah, Jones Odei and Premaratne, Gamini and Premaratne, Gamini, Integration, Comovement, and Spillovers Among ASEAN Banking Sector Stocks (February 9, 2016). Available at SSRN: https://ssrn.com/abstract=2729793 or http://dx.doi.org/10.2139/ssrn.2729793

Jones Odei Mensah

Wits Business School ( email )

Johannesburg
South Africa

Gamini Premaratne (Contact Author)

University of Brunei Darussalam ( email )

Jalan Tungku Link
Gadong, BE1410
Brunei

University of Illinois at Urbana-Champaign - Department of Economics ( email )

410 David Kinley Hall
1407 W. Gregory
Urbana, IL 61801
United States

Do you have negative results from your research you’d like to share?

Paper statistics

Abstract Views
482
PlumX Metrics