Connecting the Dots: Crises’ Influence on Persistence and Financial Integration in Southeast Asian Capital Markets

Mariana Chambino – Polytechnic Institute of Setúbal, ESCE, Portugal

Rui Dias – Polytechnic Institute of Setúbal, ESCE, Portugal

Paulo Alexandre – Polytechnic Institute of Setúbal, ESCE, Portugal

Abstract: This study aimed to assess risk diversification in the capital markets of nine Asian countries, including Hong Kong, Indonesia, Malaysia, South Ko­rea, Japan, the Philippines, Thailand, China, and Taiwan. The research posed two main questions: (i) Did events in 2020 and 2022 create inefficiencies in these markets? (ii) If so, did autocorrelation of returns lead to increased linkag­es among these markets? The findings revealed the presence of autocorrela­tion, conditional heteroscedasticity, and nonlinear elements in the sample, suggesting persistence in returns during both tranquil and stressful periods. Consequently, the first research question was refuted, indicating that market (in)efficiencies were not significantly influenced by these events. Additionally, the analysis using the rhoDCCA method did not suggest integration between the markets, leading to the rejection of the second research question. These re­sults have implications for investors, regulators, and supervisors in these mar­kets, suggesting a need to consider measures that align with the random walk and martingale hypotheses in stock price creation.

7th International Scientific Conference on Recent Advances in Information Technology, Tourism, Economics, Management and Agriculture – ITEMA 2023 – Selected Papers, Hybrid (Faculty of Organization and Informatics Varaždin, University of Zagreb, Croatia), October 26, 2023

ITEMA Selected Papers published by: Association of Economists and Managers of the Balkans – Belgrade, Serbia

ITEMA conference partners: Faculty of Economics and Business, University of Maribor, Slovenia; Faculty of Organization and Informatics, University of Zagreb, Varaždin; Faculty of Geography, University of Belgrade, Serbia; Institute of Marketing, Poznan University of Economics and Business, Poland; Faculty of Agriculture, Banat’s University of Agricultural Sciences and Veterinary Medicine ”King Michael I of Romania”, Romania

ITEMA Conference 2023 Selected Papers: ISBN 978-86-80194-76-9, ISSN 2683-5991, DOI: https://doi.org/10.31410/ITEMA.S.P.2023

Creative Commons Non Commercial CC BY-NC: This article is distributed under the terms of the Creative Commons Attribution-Non-Commercial 4.0 License (https://creativecommons.org/licenses/by-nc/4.0/) which permits non-commercial use, reproduction and distribution of the work without further permission.

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