This paper examines stock market integration between the ASEAN five and the US and China, respectively, over the period … exhibit long memory. There is cointegration between the ASEAN five and the US but almost none between the former and China … Chinese stock market plunge weakened the linkages between the ASEAN five and both China and the US. The implications of these …

This study compares the performance of several methods to calculate the Value-at-Risk of the six main ASEAN stock …