Speciality: Tài chính – Ngân hàng – Bảo hiểm
Author: Dinh Thi Thu Ha, Georg Köpf, Le Thi Hong Minh, Hoang Thi Phuong Anh
This study investigates the financial cointegration of Southeast Asian stock markets—specifically Vietnam, Thailand, the Philippines, Malaysia, Indonesia, and Singapore—with major global markets, including the US, UK, Germany, Japan, and China, from January 2009 to December 2023. The analysis utilizes the bounds testing approach for cointegration and applies an error-correction model (ECM) based on the Autoregressive Distributed Lag (ARDL) framework. Empirical results reveal significant short-run and long-run relationships between Southeast Asian and global stock market returns. Notably, the study finds a particularly strong and significant integration between Southeast Asian stock markets and the Chinese stock market, underscoring China’s influential role within the regional financial landscape.
Keywords: financial cointegration, bounds testing, ARDL
Thông tin:
| Thuộc danh mục | Tạp chí |
| Tạp chí | Journal of Economic and Banking Studies |
| Nhà xuất bản | Banking Academy of Vietnam |
| Trang | 64-75 |
| Tập | Vol.5(1) |
| Số | No. 9 |
| Ngày xuất bản | June 2025 |
| DOI | 10.59276/JEBS.2025.06.2703 |