Co-movement among Sectoral Stock Market Indices and Cointegration among Dually Listed Companies

University of North Carolina at Pembroke
One University Drive, P.O. Box 1510
Pembroke, NC 28314
USA


Nanyang Business School
Nanyang Technological University
Nanyang Avenue
Singapore 639798


Nanyang Business School
Nanyang Technological University
Nanyang Avenue
Singapore 639798


Abstract

This paper analyzes the co-movement between sectoral stock indices of the US and Singapore, through examining whether the S&P 500 Electronics (Semiconductor) Price Index leads Stock Exchange of Singapore’s Electronics Price Index. The article also examines price co-movement of stocks listed dually in Singapore and the US. Using Johansen’s (1988) Vector Error Correction Model (VECM), the paper concludes the existence of long-run cointegrating relationship both between the us and Singapore electronic sectors in general, and more specifically among the three dually listed stocks under consideration. However, the results point to a short-term disequilibria in the prices of dually listed stocks, leading to the conclusion that short-run arbitrage opportunities may exist.

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Citation

Ramin, C. M., Wee, L. S, & Koon, K. T. (2004). Co-movement among Sectoral Stock Market Indices and Cointegration among Dually Listed Companies. Jurnal Pengurusan, 23, 33–52.

@article{ramin2004comovement,
  title={Co-movement among Sectoral Stock Market Indices and Cointegration among Dually Listed Companies},
  author={Ramin, Cooper Maysami and Wee, Loo Sze and Koon, Koh Tat},
  journal={Jurnal Pengurusan},
 

volume={23},
  number={},
  pages={33—52},
  year={2004},
  doi={},
  publisher={Penerbit UKM},
}

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23 (2004) 33 – 52

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