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