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Jurnal Ekonomi Malaysia

49 (2) 2015 61 – 76

Do Indian Economic Activities Impact ASEAN-5 Stock Markets?
Adakah Aktiviti Ekonomi India Memberi Impak ke atas Pasaran Saham ASEAN-5? Adakah Aktiviti Ekonomi India Memberi Impak ke atas Pasaran Saham ASEAN-5?

Economics & Corporate Administration Division
School of Business Studies
Tunku Abdul Rahman College
11200 Tanjong Bungah, Penang
MALAYSIA

tengkt@mail.tarc.edu.my

Economic Section
School of Distance Education
Universiti Sains Malaysia
11800 USM, Penang
MALAYSIA

shyen@usm.my

Economics Program
School of Social Sciences
Universiti Sains Malaysia
11800 USM Penang
MALAYSIA

sychua@usm.my

Economics Program
School of Social Sciences
Universiti Sains Malaysia
11800 USM Penang
MALAYSIA

hooilean@usm.my

Abstract

This study examines the dynamic linkages of ASEAN-5 with India based on a multivariate framework. DCC-MGARCH model was used to assess the presence of contagion effects and herding behaviour, indicated by the dynamic conditional correlations. The vAR-Granger causality test was employed to capture the direction of dynamic volatility transmission at the short run. Findings showed that the dynamic correlation of ASEAN-5 stock markets with Indian economy is in par with the U.S. and Japan. The simultaneous sudden spike in Dynamic Conditional Correlation between India and ASEAN-5 and followed by immediate reversal to decreasing Dynamic Conditional Correlation in 2009 indicate a contagion effect and herding behaviour which coincided with European sovereign debt crisis. The immediate reversal back to decreasing Dynamic Conditional Correlation suggests that both countries are hardly contagious by external crisis. In the short run, there is no volatility spillover from Indian economic activities to ASEAN-5 stock markets but there is volatility spillover from stock markets of Indonesia and Singapore to Indian economic activities. Trade policies, economic crises and economic liberalisation play significant roles in shaping the structure of the dynamic volatility correlations between the studied markets. This study reveals that ASEAN-5 has become preferred markets for the diversification of stock portfolio for India in the short run.

Keywords

ASEAN-5 stock markets; Contagion effect; Indian economic activities; volatility spillover
http://dx.doi.org/10.17576/JEM-2015-4902-06
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, , Hwa, , Chua, , & Hooi, (2015). Do Indian Economic Activities Impact ASEAN-5 Stock Markets?. Jurnal Ekonomi Malaysia, 49(2), 61–76. http://dx.doi.org/10.17576/JEM-2015-4902-06

@article{tuan2015indian,
  title={Do Indian Economic Activities Impact ASEAN-5 Stock Markets?},
  author={, and Hwa, Yen Siew and Chua, Soo Y. and Hooi, Lean Hooi},
  journal={Jurnal Ekonomi Malaysia},
  volume={49},
  number={2},
  pages={61—76},
 

year={2015},
}

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