Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)

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

Authors
Yi-Ming Li1, *, Li-Ru Bai1
1Emerging Economic Formats Research Institute, Shandong Management University, Jinan, Shandong, China
*Corresponding author. Email: kevin050590@hotmail.com
Corresponding Author
Yi-Ming Li
Available Online 15 December 2021.
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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Volume Title
Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)
Series
Advances in Economics, Business and Management Research
Publication Date
15 December 2021
ISBN
978-94-6239-483-4
ISSN
2352-5428
DOI
10.2991/assehr.k.211209.160How to use a DOI?
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.

Cite this article

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  -