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

Ramin Cooper Maysami, Loo Sze Wee, Koh Tat Koon

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.

ABSTRAK

Kertas ini mengkaji pergerakan bersama (co-movement) antara indeks saham sektoral US dan Singapura dengan meneliti sama ada Indeks Harga Elektronik (Semikonduktor) S&P 500 mendahului Indeks Bursa Saham Elektronik Singapura. Kertas ini juga meneliti pergerakan bersama antara harga saham yang tersenarai serentak di Singapura dan US. Menggunakan Model Vektor Pembetulan Ralat (VECM) Johansen, kertas ini mendapati bahawa hubungan kointegrasi jangka panjang antara sektor elektronik di US dan Singapura wujud, khususnya di kalangan tiga saham yang tersenarai serentak yang terlibat dalam kajian ini. Bagaimanapun, keputusan kajian menunjukkan ketidakseimbangan jangka pendek harga-harga saham yang tersenarai serentak menyebabkan adanya peluang arbitraj jangka pendek


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