Co-movement among sectoral stock market indices and cointegration among dually listed companies

• Main Authors: Ramin Cooper Maysami,, Loo, Sze Wee, Koh, Tat Koon
• Format: Article
• Language: English
• Published: Penerbit Universiti Kebangsaan Malaysia 2004
• Online Access: http://journalarticle.ukm.my/8063/1/1245-2397-1-SM.pdf; http://journalarticle.ukm.my/8063/; http://ejournal.ukm.my/pengurusan/index

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.