Capital Market Integration of ASEAN Countries

In this paper, we use weekly data from 31 Dec 1999 to 31 Dec 2010 to investigate the time varying integration of six ASEAN stock markets (Indonesia, Malaysia, Philippines, Singapore, Thailand and Vietnam) with four international stock markets (US, ASEAN bloc, Asia and world) and the interaction channels between domestic and international stock markets. Based on the information of integration/segmentation and the interaction mechanisms between markets, we infer some investment policy implications to investors. We find that some of these six ASEAN stock markets are not highly integrated with international markets and the investors can use assets from these ASEAN countries to diversify their investment portfolios.