Change search
ReferencesLink to record
Permanent link

Direct link
Diversifying in the Integrated Markets of ASEAN+3: A Quantitative Study of Stock Market Correlation
Umeå University, Faculty of Social Sciences, Umeå School of Business.
Umeå University, Faculty of Social Sciences, Umeå School of Business.
2010 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

There is evidence that globalization, economic assimilation and integration among countries and their financial markets have increased correlation among stock markets and the correlation may in turn impact investors’ allocation of their assets and economic policies. We have conducted a quantitative study with daily stock index quotes for the period January 2000 and December 2009 in order to measure the eventual correlation between the markets of ASEAN+3. This economic integration consists of; Indonesia, Malaysia, Philippines, Singapore, Thailand, China, Japan and South Korea. Our problem formulation is:Are the stock markets of ASEAN+3 correlated?Does the eventual correlation change under turbulent market conditions?In terms of the eventual correlation, discuss: is it possible to diversify an investment portfolio within this area?The purpose of the study is to conduct a research that will provide investors with information about stock market correlation within the chosen market. We have conducted the study with a positivistic view and a deductive approach with some theories as our starting point. The main theories discussed are; market efficiency, risk and return, Modern Portfolio Theory, correlation and international investments. By using the financial datatbase, DataStream, we have been able to collect the necessary data for our study. The data has been processed in the statistical program SPSS by using Pearson correlation.From the empirical findings and our analysis we were able to draw some main conclusions about our study. We found that most of the ASEAN+3 countries were strongly correlated with each other. Japan showed lower correlation with all of the other countries. Based on this we concluded that economic integration seems to increase correlation between stock markets. When looking at the economic downturn in 2007-2009, we found that the correlation between ASEAN+3 became stronger and positive for all of the countries. The results also showed that the correlation varies over time. We concluded that it is, to a small extent, possible to diversify an investment portfolio across these markets.

Place, publisher, year, edition, pages
2010. , 63 p.
Keyword [en]
integration, correlation, ASEAN+3, stock market index, Modern Portfolio Theory, diversification
National Category
Business Administration
URN: urn:nbn:se:umu:diva-34476OAI: diva2:322334
Social and Behavioural Science, Law
Available from: 2010-06-07 Created: 2010-06-04 Last updated: 2010-06-07Bibliographically approved

Open Access in DiVA

fulltext(1676 kB)881 downloads
File information
File name FULLTEXT01.pdfFile size 1676 kBChecksum SHA-512
Type fulltextMimetype application/pdf

By organisation
Umeå School of Business
Business Administration

Search outside of DiVA

GoogleGoogle Scholar
Total: 881 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Total: 373 hits
ReferencesLink to record
Permanent link

Direct link