Time-varying World Integration of the Malaysian Stock Market: A Kalman Filter Approach
This paper estimates the time-varying world integration of the Malaysian stock market and examines if the paths of the time-varying integration match the economic events of the country. We employed weekly time series data for the period between February 1988 and September 2009 to coincide with the liberalisation of the Malaysian market since the late 1980s. To capture the time-varying degree of market integration, we employed the Kalman Filter technique, which produces time-varying coefficients in estimating International Capital Asset Pricing Model (ICAPM). The changes in the level of market integration coincide with the economic events that took place in the country and provide some evidence to the practical application and suitability of the Kalman Filter technique in studying stock market integration.
Volume (Year): 6 (2010)
Issue (Month): 2 ()
|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:aamjaf00602_1-17. 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, Penerbit Universiti Sains Malaysia)
If references are entirely missing, you can add them using this form.