Stock market integration in ASEAN after the Asian financial crisis

By R. Click, M. Plummer. 2005

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Integration of 22 emerging stock markets: A three-dimensional analysis (2012, background): “…on the other hand, documents an increase in international co-movement of stock returns in global markets (see for example Brooks & Del Negro, 2004; Click & Plummer, 2005; Kizys & Pierdzioch, 2009, and Beirne, Caporale, Schulze-Ghattas, & Spagnolo, 2010) since the mid-1990s.2 Lucey and Zhang…”
On measuring synchronization of bulls and bears: The case of East Asia (2008, background): “Representative articles of the cointegrated VAR literature are Kasa (1992) and Click and Plummer (2005). propose a GMM-based testing procedure for detecting structural change in the multivariate synchronization measure (Section 2.2).”
An analysis of stock market efficiency: Developed vs Islamic stock markets using MF-DFA (2014, background): “Literature shows that these stock markets, both in MENA and emerging Asian countries, are smaller, less liquid, more volatile, prone to higher risk premium, higher cost of funds, and poorer quality of legal environment and governance [4–9] etc.”
The co-movement of stock markets in East Asia: Did the 1997-1998 Asian financial crisis really strengthen stock market integration? (2010, methodology): “(2003) use only two lags while Click and Plummer (2005) use one and five lags in their VAR models.”