Purpose - The purpose of this study is to examine the determinants of
stock market integration among five selected Association of Southeast
Asian Nations (ASEAN) emerging stock markets (Malaysia, Thailand,
Indonesia, the Philippines and Singapore). Design/methodology/approach -
Both pooled OLS and panel data regressions were used over the period
spanning from 2001 to 2010. Findings - This study finds that trade and
stock markets volatility significantly influence stock market
integration in this region. This finding is consistent with the view
that the stronger the bilateral trade ties among the countries, the
higher the degree of co-movements. In addition, if one market's
volatility increases relative to another market's volatility, the first
market's returns should also increase relative to the second market's
return. Practical implications - As the ASEAN-5 stock markets are
integrated, there is limited room to gain benefits from international
investment diversification in the region. There is a need for policy
coordination among ASEAN-5 members to mitigate the impacts of financial
instability. Originality/value - The determinants of stock market
integration are still largely unexplored in the previous studies. This
study attempts to partially fill the gap in the literature and to
provide recent empirical evidence on the forces behind the stock market
integration among the ASEAN-5.