Do Indian economic activities impact ASEAN-5 stock markets?

• Main Authors: Teng, Kee Tuan, Yean, Siew Hwa, Soo, Y. Chua, Hooi, Hooi Lean
• Format: Article
• Language: English
• Published: Penerbit Universiti Kebangsaan Malaysia 2015
• Online Access: http://journalarticle.ukm.my/9592/1/jeko_49%282%29-6.pdf; http://journalarticle.ukm.my/9592/; http://www.ukm.my/fep/jem/current.html
• Institution: Universiti Kebangsaan Malaysia

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...