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This study aims to examine the tail connectedness between the Chinese and Association of Southeast Asian Nations (ASEAN) stock markets. More specifically, the authors measure the return spillovers at three quantile levels: median (t = 0.5), lower extreme (t = 0.05) and upper extreme (t = 0.95). The connectedness at extreme upper and lower quantiles provides insightful information to investors regarding tail risk propagation, which ultimately suggests that investors adjust their portfolios according to the extreme bullish and bearish market conditions.

The authors employ the quantile connectedness approach of Ando et al. (2022) to examine the quantile transmission mechanism among the ASEAN and Chinese stock markets.

The results show significant evidence of a higher level of connectedness between Chinese and ASEAN stock markets at extreme upper and lower quantiles compared to the median quantiles, which suggests the use of a quantile-based connectedness approach instead of an average-measure-based one. Furthermore, the time-varying connectedness analysis shows that the total spillovers reach the highest peaks during the global financial crisis, the Chinese stock market crash and the COVID-19 pandemic at the upper, lower and median quantiles. Finally, the static and dynamic pairwise spillovers between the Chinese and ASEAN markets vary over quantiles as well.

This study is the first attempt to examine quantile vector autoregression (VAR)-based return spillovers between China and ASEAN stock markets during different market statuses. Besides, the COVID-19 has intensified the uncertainty in Asian countries, mainly China and ASEAN economies.

This study examines the co-integration relationships between Association of Southeast Nations (ASEAN) stock indices as a way to assess the feasibility of policy initiatives to strengthen market integration in ASEAN and identify implications for portfolio investors.

The authors employ threshold co-integration tests and a non-linear autoregressive distributed lag (NARDL) model to study the asymmetric dynamics of ASEAN equity markets. The study’s data cover the 2009–2022 period for seven member states: Cambodia, Indonesia, Malaysia, the Philippines, Singapore, Thailand and Vietnam.

The authors find evidence supporting co-integration relationships; adjustment toward equilibrium is asymmetric in the short run and symmetric in the long run for these countries. While co-movement in ASEAN equity markets seems encouraging for initiatives seeking to foster financial integration in regional economies, the benefits for international portfolio diversification appear to be neutralized.

The issue of stock market integration is important among policymakers, investors and academics. This study examines the level of stock market integration in ASEAN during the 2009–2022 period. For this purpose, advanced co-integration techniques are applied to different frequencies of data (daily, weekly and monthly) for comparison and completeness. The empirical analysis of this study is conducted using the Enders and Siklos (2001) co-integration and threshold adjustment procedure. This advanced co-integration technique is superior compared to other co-integration techniques by permitting asymmetry in the adjustment toward equilibrium.

The purpose of this paper is to study the competitiveness of the stock markets in ASEAN 5, which are the Stock Exchange of Thailand (SET), the Singapore Exchange (SGX), Bursa Malaysia (BM), the Indonesia Stock Exchange (IDX), and the Philippine Stock Exchange (PSE).

This research applies Porter’s (1990) diamond model to analyze the competitiveness and the data were collected from World Economic Forum, International Institute for Management Development, the World Federation of Exchanges database, and DataStream.

The results show that SGX is the most competitive exchange in ASEAN 5 region. It dominates other exchanges in every dimension. It gains its reputation for being the region’s most prominent exchange, followed by BM, SET, IDX, and the PSE, respectively.

The results of this investigation provide rank for competitiveness of stock exchanges among ASEAN 5 and identify the way to improve its competitive position.

It is useful for public and private sectors involved in the development and policy making to promote funding and investment efficiency of the exchanges. It will be benefit to establish the well-planned development strategy and policy to build up the competitive advantage of the nations.

Identifying and benchmarking the competitiveness of the stock markets in ASEAN economies. By using Diamond Model, the authors propose indicators to assess the competitiveness of the stock markets in ASEAN 5 countries. Assessing the competitiveness of the ASEAN stock markets in this paper will lead us to better understand about each country’s strengths and weaknesses and to promote a mutual collaboration among the region toward ASEAN Economic Community.

The purpose of this paper is to empirically explore market integration among five selected Association of Southeast Asian Nations (ASEAN) emerging markets (Malaysia, Thailand, Indonesia, the Philippines and Singapore) during the pre‐ and post‐1997 financial crisis periods.

Employs two‐step estimation, cointegration and generalized method of moments (GMM).

The study finds that the stock markets in the ASEAN region are cointegrated both during the pre‐ and post‐1997 financial crisis. However, the markets are moving towards a greater integration, particularly during the post‐1997 financial crisis. Finally, as measured by the error correction terms, except the emerging market of Indonesia, all other ASEAN markets appear to be the important bearers of short‐run adjustment to a shock in the long‐run equilibrium relationships in the region both during the pre‐ and post‐crisis periods.

The study only focuses on stock markets of the five founding members of ASEAN, i.e. Malaysia, Indonesia, Thailand, Singapore and the Philippines.

The paper reveals that unlike during the pre‐crisis period, the long‐run diversification benefits that can be earned by investors across the ASEAN markets in the post‐crisis period tend to diminish.

The study is among the first to use two‐step estimation, cointegration and GMM to re‐examine market integration either in the emerging or developed markets.

The purpose of this paper is to examine the effect of economic policy uncertainty (EPU) of China on investment opportunities in five ASEAN economies.

This paper employs advanced empirical approaches, such as Multivariate DCC-GARCH and Continuous Wavelet Transform (CWT) to test the research objective. The period of analysis involved monthly data from 2003 until 2019.

This paper provides evidence where the Malaysian stock market to be the least exposed to risks emanating from Chinese EPU, followed by Singapore, the Philippines, Thailand and Indonesia. Results for investment opportunities based on time horizon suggest, for a short-term holding period, investors are better off investing in Singapore and Indonesia, while, for medium-term holding periods, all ASEAN markets appear lucrative except for the Philippines.

From a managerial perspective, the outcome or findings of this study are expected to aid the retail and institutional investors in designing better strategies on diversifying a stock portfolio with different holding periods.

Theoretically, the findings of this study contribute fresh insights into an emerging strand of literature focusing on the transmission of regional policy. Methodologically as well, this study is a novel venture to the best of authors' knowledge.

The purpose of this paper is to investigate the validation of the ASEAN+3 financial cooperation agreement among its members. In particular, it examines the long- and short-run relationships among the stock market indices of eight countries: China (CH), Japan (JP),Korea (KR), Malaysia (MY), Indonesia (ID), Philippines (PH), Thailand (TH), and Singapore (SG).

The study applied a global VAR and vector error correction model (VECM) model to investigate this relationship using daily data over the period from first March 1992 to end of September 2013. The study period has been separated into pre-1997/1998 financial crisis period (1992-1997) and post-1997/1998 crisis period (1999-2013).

The findings show that the stock markets in the ASEAN region are integrated during both periods of financial crises. However, the markets are moving toward better integration, particularly during the post-crisis period. This is supported by the results of the error correction which indicated that most ASEAN+3 stock market indices adjust quickly within the short run to a shock in the long-run equilibrium relationships in the region during both the pre- and post-crisis periods. In addition, the results of the VECM causality test showed that a short-run relationship exists among the ASEAN+3 stock market indices.

The results of this study therefore have two implications: first, for investors in terms of construction of the portfolio diversification strategies across difference stock markets in Asian region, and second, for policy makers, as the study presents an understanding of financial exposure in their countries as consequences of changes that occur in the other stock market indices in the ASEAN region.

The investors can find the potential sectors for the portfolio investments.

The paper is one of the pioneers to examine the validity of ASEAN+3 financial cooperation agreement.

This paper aims to examine whether the US influences the ASEAN + 3 financial market integration.

A two-stage cointegration test is used in the estimation by using equity indices from selected member economies and the USA.

The finding of this study shows that the equity markets of ASEAN + 3 are integrated especially after the Asian crisis period reflecting the regional cooperation. There is a strong market nexus between ASEAN + 3 and the USA, but the ASEAN + 3 financial cooperation agreement does not depend on the US financial market.

The study offers invaluable policy implications for developing the nexus in the regional equity markets.

This paper aims to seek to find answers to three questions. First, is there any possibility of long-term cointegration between East and Southeast Asian equity markets? If so, how many cointegrating equations are there? Second, what are the short-term causal relationships between equity markets in East and Southeast Asia? Third, what is the East Asia’s most influential equity market toward their Southeast counterparts, and vice versa?

This study uses Johansen's (1988) cointegration method to test long-run relationships among East and Southeast Asian equity markets. With regards to short-run causal relationships, this study uses Granger-causality test as well as the forecast variance decomposition method.

Johansen test proves that there is cointegration between East and Southeast Asian equity markets, but the integration process is not complete. Cointegrating vector also provides evidence that member countries of ASEAN+3 respond differently to external shocks. With regards to short-run causal direction, this study finds that Japan Granger-causes all equity markets in Southeast Asia, while Singapore and Vietnam Granger-cause all equity markets in East Asia. These results imply that Japan is the market with most linkages in Southeast Asia, while Singapore and Vietnam are the markets with most linkages to East Asia. Furthermore, forecast variance decomposition reveals that Japan is the East Asia’s most influential equity markets, while Singapore is the most influential equity market in Southeast Asia. This study suggests that policymakers in East and Southeast Asian countries to synchronize the capital market standards and regulations as well as to reduce the barriers for capital mobility to spur the regional equity market integration.

Increasing integration of East and Southeast Asian capital markets forces policymakers in ASEAN+3 countries to synchronize monetary policies, as it has been found that regionally integrated capital markets reduce the degree of independent monetary policy (Logue et al., 1976). It is therefore important for policymakers in East and Southeast Asian countries to assess the possibility of stock market integration within this region to anticipate the future risks associated with economic integration as well as to build collective regional institutions (Wang, 2004). Click and Plummer (2005) also argued that integrated stock markets is more efficient than nationally segmented equity markets, and the efficiency of Asian capital markets has been questioned in particular after the 1997 Asian financial crises. Yet, the empirical evidence on the extent of financial integration among ASEAN+3 member countries has been limited and inconclusive. This study is therefore an attempt to investigate the recent development of ASEAN+3 equity markets integration.

This study focuses its attention on the existence and the extent of financial integration in East and Southeast Asia region, and it provides evidence that equity market integration in ASEAN+3 is far from complete, and for that reason, there is a need for policymakers in ASEAN+3 member countries to synchronize their standards and regulations. Furthermore, the policymakers in East and Southeast Asia can gain benefit from this study, as it provides the evidence that ASEAN+3 member countries respond differently to policy shocks, which may hinder the development of regional financial integration as well as the policy effectiveness of region-wide authority in ASEAN+3.

This research is different from previous studies, as it puts the regional financial integration within the context of ASEAN+3 frameworks. Unlike previous research that considers East and Southeast Asian countries as an individual entity, this research considers East and Southeast Asia into two different blocks, following Tourk (2004) who documented that negotiation process for ASEAN+3 financial integration is conducted in sub-regional level (ASEAN vs East Asia), rather than national level (country per country basis). Second, this study covers the period after the 1997 Asian financial crisis. As suggested in Wang (2014), that the degree of stock market integration tends to change around the periods marked by financial crises, the updated study on Asian financial integration in the aftermath of 1997 financial crises is important to document the development of regional financial integration.

Unlimited quantitative easing (QE) is one of the monetary policies used to stimulate the economy during the coronavirus disease 2019 (COVID-19) pandemic. This policy has affected the financial markets worldwide. This empirical research aims at studying the dependence among stock markets before and after unlimited QE announcements.

The copula-based GARCH (1,1) and minimum spanning tree models are used in this study to analyze 14 series of stock market data, on 6 ASEAN and 8 other countries outside the region. The data are divided into two periods to compare the differences in dependence.

The findings show changes in dependence among the volatility of daily returns in 14 stock markets during each period. After the unlimited QE announcement, the upper tail dependence became more apparent, while the role of the lower tail dependence was reduced. The minimum spanning tree can show the close relationships between stock markets, indicating changes in the connection network after the announcement.

This study allows the dependency to be compared between stock market volatility before and after the announcement of unlimited QE during the COVID-19 pandemic. Moreover, the study fills the literature gap by combining the copula-based GARCH and the minimum spanning tree models to analyze and reveal the systemic network of the relationships.

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.