Abstract
The paper examines the correlations among the 5 ASEAN emerging stock markets (Indonesia, Malaysia, Philippines, Thailand and Vietnam), and international gold market. Multivariate GARCH models i.e., CCC-GARCH and DCC-GARCH are employed to evaluate the conditional correlations between these markets. We find that the estimates of conditional correlations in the CCC and DCC models, on average, exhibit low to medium levels. The gold and Vietnam stock markets are especially low correlated with each other and with the remaining stock markets. Moreover, the estimates of the DCC model show that the correlations between the sample market pairs are time varying. Interestingly, in the recent economic downturn, the downward trend appeared in the pair correlations between the gold and stock markets, while the rapid upward trend occurred in the pair correlations between the Vietnam and 4 remaining stock markets.
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