Study On Relationships Between Financial Markets In The US And ASEAN Countries

Abstract

This study examines dynamics of inter-market relationships among financial markets in the US and 5 ASEAN countries in the framework of the Vector Autoregressive model. This study uses daily returns of the MSCI market indexes around the Asian economic crisis for a period of 1992~2006 and three 3 sub-periods (pre-, during-, and post-crisis). The major findings are: 1) the U.S. influence remained strong in ASEAN markets for this period, 2) ASEAN markets had little impacts on the U.S. markets; and 3) the integration between the U.S. and ASEAN markets and among ASEAN markets had not increased during this period. Thus, there still exist much diversification benefits to be exploited in ASEAN markets.