Stock Market Integration Between Malaysia and its Major Trading Partners (1994-2002)
AbstractThe issue of interdependence between international asset pricing had become an important topic in modern finance literature. It had received tremendous attention due to the increasing role of globalisation of market place. This is because globalisation had reduced the barriers to capital transactions among various countries and increased the linkages between stock markets movement in various countries. It is argued that trade linkages is one of the factors that increase the linkages of stock market movement between countries. This study employs cointegration and causality techniques in investigating the relationship between Malaysian and its major trading partners stock market before and after the 1997 Asian financial crisis. The results of the bivariate cointegration test on countries’ stock indices indicate the existence of a long run relationship between Malaysian and the Philippines stock markets as well as between Malaysian and the United States stock markets for period before the financial crisis. Before the 1997 financial crisis, the daily price movement of Malaysian stock market is found to lead the daily price movement in Indonesia, China in the short-run, and the Philippines in the long run. In addition, there is a bi-directional relationship between Malaysia and the stock markets in Hong Kong and Thailand. The short-run causal relationship between the Malaysian stock market and the stock markets of its major trading partners started to weaken after the financial crisis. Such finding is highly attributable to the fact that Malaysia’s imposition of capital control in September 1998 in their attempt to curb speculative attacks had been relatively successful in shutting out foreign influences.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Euro-American Association of Economic Development in its journal Applied Econometrics and International Development.
Volume (Year): 6 (2006)
Issue (Month): 3 ()
Contact details of provider:
Web page: http://www.usc.es/economet/eaa.htm
Find related papers by JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (M. Carmen Guisan).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.