Stock Market Integration in ASEAN-5
This paper aims to investigate the degree of stock markets integration among ASEAN-5 countries and that among ASEAN-5 and global markets.Specifically, stock market data from Thailand, Malaysia, the Philippines, Singapore, and Indonesia which are original members of ASEAN is used in this study.The sample period starts from January 1988 to September 2017 and covers several crises: 1997 Asian financial crisis, 2001 dot com crisis, 2008 Global financial crisis and 2012 European debt crisis.The stock market integration is examined both in short run and long run using correlation analysis and cointegration test, respectively.The Engle and Granger cointegration results show that ASEAN-5 markets are less integrated with global market: the United States and Hong Kong over the long run except Singapore and Hong Kong.Similarly, the results show only the long run relationship between Malaysia and the Philippines, that between Malaysia and Singapore, and that between Indonesia and Singapore.However, once the possible of structural break has been taken into consideration, the Gregory and Hansen cointegration tests reveal that there are additional long run relationship among ASEAN-5 markets.Specifically, there are long run relationship between Thailand and Malaysia and that between Thailand and Indonesia.The 1997 Asian financial crisis did affect the stability of long run relationships among ASEAN-5 markets.From the short run relationship side, among the ASEAN-5, Singapore has the highest comovement with global markets especially Hong Kong.In addition, Indonesia appears to be less integrated with other markets especially outside the region.Besides the static correlation, the DCC is applied and reveals the time-varying patterns of correlations between markets.Moreover, the trend regressions confirm an increasing in correlation both intra-region and inter-region.
Suthawan Prukumpai Yuthana Sethapramote
Faculty of Business Administration Kasetsart University, Thailand School of Development Economics National Institute of Development Administration, Thailand
国际会议
广州
英文
333-351
2017-11-23（万方平台首次上网日期，不代表论文的发表时间）