Abstract—An interesting question which this paper attempts
to investigate is whether the relationships between Asian equity
markets have changed as a result of the Global Financial Crisis
(GFC). The paper investigates the long-run relationship among
six equity markets in the Southeast Asian region, namely
Thailand, Malaysia, Singapore, Philippines, Indonesia and
Vietnam using daily market indices collected over the period
2006 - 2010. The objective of the research was to uncover the
latest empirical evidence from a study of the long run
relationships amongst the equity markets of South East Asia
with a view to understanding the probable impact of the recent
Global Financial Crisis on those markets. Three testing
methods were used namely; bivariate cointegration test based
on residuals, multivariate cointegration test based on vector
autoregressive (VAR) model and cointegration tests with the
presence of structural breaks. The results reveal evidence that a
number of bi-directional long-run relationships exists among
several of these markets, including the markets of Thailand and
Indonesia; Thailand and Singapore and Philippine and
Malaysia in both pair-wise cointegration tests with and without
the presence of a structural break. The study found evidence of
mono-cointegrations in the case of Vietnam’s equity market
and the other markets of South East Asia. These results have
implications for investors in these markets in terms of
diversification of risks and returns where shocks to any one
market may or may not have a contagious effect on other
markets in the region.
Index Terms—Equity market linkage, long run relationship,
global financial crisis, Southeast Asian markets.
T. P. Thao is with the Securities Business Department, Faculty of
Banking, University of Economics Ho Chi Minh City, Vietnam (email:
tranthao@ueh.edu.vn).
K. Daly is with the School of Business, University of Western Sydney,
Australia. (e-mail: k.daly@uws.edu.au).
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Cite:Tran Phuong Thao and Kevin Daly, "The Impacts of the Global Financial Crisis on Southeast Asian Equity Markets Integration," International Journal of Trade, Economics and Finance vol.3, no.4, pp. 299-304, 2012.