To read this content please select one of the options below:

Stock–bond co-movement in ASEAN-5: the role of financial integration and financial development

Airil Khalid (School of Economics, Finance and Banking, Universiti Utara Malaysia, Sintok, Malaysia)
Zamri Ahmad (School of Management, Universiti Sains Malaysia, Penang, Malaysia)

International Journal of Emerging Markets

ISSN: 1746-8809

Article publication date: 1 June 2021

Issue publication date: 16 May 2023




This study aims to observe the extent of asset diversification benefits in the Association of Southeast Asian Nations (ASEAN)-5 market by examining the effect of financial integration (FI) and financial development (FD) on domestic stock–bond co-movements, SBcorr.


The dynamic conditional correlation - multivariate generalized autoregressive conditional heteroskedasticity (DCC-MGARCH) technique is adopted to construct FI and stock−bond co-movement variables. Then, the study uses static panel data analysis to examine the effect of FI on stock−bond co-movements.


FI does not provide asset diversification benefits due to high country risks in ASEAN-5. However, when FI is moderated by FD, FI × FD, the study shows that FI × FD provides higher asset diversification benefits in ASEAN-5.


This study shows the importance of incorporating the level of FD when assessing the effect of FI on stock–bond co-movements in ASEAN-5. In the presence of FI, a well-diversified investor should always consider the state of FD, which will show a better representation of asset diversification strategy in the emerging markets. Additionally, policymakers of ASEAN-5 countries should prioritise enhancing their financial system to attract more investment into the countries.



Khalid, A. and Ahmad, Z. (2023), "Stock–bond co-movement in ASEAN-5: the role of financial integration and financial development", International Journal of Emerging Markets, Vol. 18 No. 5, pp. 1033-1052.



Emerald Publishing Limited

Copyright © 2021, Emerald Publishing Limited

Related articles