Abstract
Using cointegration analysis, this study tests whether ASEAN stock markets are collectively efficient. It is argued that if the asset (stock) markets are collectively efficient in the long run, these asset (stock) prices are not cointegrated, that is have no long run relationship. On the other hand, the presence of cointegration provides evidence of an interdependent relationship. The results suggest that with the exception of Indonesia all the markets are linked with each other. Thus, during the period. 1987-95 these markets were not collectively efficient. From an investor's point of view, however, these results would suggest that despite evidence of interdependence aming the ASEAN stock markdets, there is still scope for efficient portfolio diversification across these markets.
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