Financial Integration Through Equity Markets and the Role of Exchange Rate: Evidence from ASEAN-5 Countries
This study explores equity market integration for five major ASEAN countries: Malaysia, Singapore, Thailand, Philippines and Indonesia. The motivation emanated from the fact that these countries have been implementing financial reforms in their attempt to promote economic efficiency. By applying the bivariate and multivariate cointegration techniques we test whether ASEAN-5 stock markets are globally or regionally integrated. For the global markets, the study focus on the role of the US, Japan and world market. The importance of exchange rate on the integration is examined under the multivariate framework. The study also address the possible impact of 1997 Asian financial crisis on the integration. While the findings revealed that some of these markets are regionally and globally integrated, the integration however is not fully complete, thus reflect some diversification benefits in these markets. The study also support previous findings that documented evidence on the increasing influence of Japan on ASEAN countries relative to the US. The study also shows significant impact of the financial crisis and provide evidence on the importance of exchange rate on the integration.
Volume (Year): 3 (2007)
Issue (Month): 1 ()
|Contact details of provider:|| Web page: http://web.usm.my/aamj/|
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:usm:journl:aamjaf00301_77-92. See general 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: (Journal Division)
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.