ABSTRACT
This chapter intends to investigate whether Common Stochastic Trends (CSTs) are present in the ASEAN-5 equity markets. It explains why amongst the ASEAN-5 equity markets, like Singapore for example, had not been hit badly by the recent Asian financial crisis. Thus, the Singapore stock market is arguably does not belong to the region's CSTs. It is therefore, international investor would consider Singapore equity market as a safe place to invest in this region. The chapter utilizes the MSCI indices obtained from the Kuala Lumpur Stock Exchange (KLSE). The indices are regarded as highly comparable among finance scholars and researchers. The chapter examines whether the stock prices series are cointegrated or whether there is long-run relationship that keeps them tied together. It also examines the evidence of cointegration among the ASEAN-5 equity markets although not all markets share the CSTs using the Johansen and Juselius ML procedures.
