A Study of the Co-movement and Spillover Effects of Stock Markets Among China and ASEAN-5 Countries

DOI

10.2991/assehr.k.211209.160How to use a DOI?

Keywords

ASEAN-5; Mean Spillover; Volatility Spillover; Co-movement

Abstract

China and southeast Asian countries are geographically close and have strong economic ties for a long time. In recent years, China and the Association of Southeast Asian Nations (ASEAN) countries have gradually opened their markets and strengthened their economic and trade links, reflected in their capital markets. This paper tends to explore the characteristics of stock markets between China and the ASEAN-5 countries in the long-term and short-term. The empirical results show that the co-movement between China and the ASEAN-5 countries is not significant in the long run, while the mean spillover effect and volatility spillover effect are significant in the short run, which reflects the close financial ties between China and the ASEAN-5 countries. Therefore, preventive actions ought to be taken to defend themselves from the transmission of regional financial risks by authorities. Meanwhile, cooperation between neighbouring countries should be strengthened to cope with systemic financial risk.

Copyright

© 2021 The Authors. Published by Atlantis Press International B.V.

Open Access

This is an open access article under the CC BY-NC license.

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TY  - CONF
AU  - Yi-Ming Li
AU  - Li-Ru Bai
PY  - 2021
DA  - 2021/12/15
TI  - A Study of the Co-movement and Spillover Effects of Stock Markets Among China and ASEAN-5 Countries
BT  - Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)
PB  - Atlantis Press
SP  - 976
EP  - 981
SN  - 2352-5428
UR  - https://doi.org/10.2991/assehr.k.211209.160
DO  - 10.2991/assehr.k.211209.160
ID  - Li2021
ER  -