Co-movement of asean-5 equity markets

(This study investigates the relationship across the regional equity markets of Indonesia, Malaysia, the Philippines, Singapore and Thailan0 There are two sample data of the Composite Indexes' (CI) which include: (1) 'CI in log form'; and (2) 'Volatility Serie5 . Both the series...

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Main Author:	Oh, Patricia Swee Ling
Format:	Thesis
Language:	English
Published:	2009
Subjects:	HF Commerce
Online Access:	http://ir.unimas.my/id/eprint/30290/1/Patricia%20Oh%20Swee%20Ling%20ft.pdf
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id	my-unimas-ir.30290
record_format	uketd_dc
spelling	my-unimas-ir.302902023-06-21T03:18:40Z Co-movement of asean-5 equity markets 2009 Oh, Patricia Swee Ling HF Commerce (This study investigates the relationship across the regional equity markets of Indonesia, Malaysia, the Philippines, Singapore and Thailan0 There are two sample data of the Composite Indexes' (CI) which include: (1) 'CI in log form'; and (2) 'Volatility Serie5 . Both the series are segregated into three periods: (I) full-sample; (2) pre-crisis; and (3) post-crisis (Econometrical tests had been carried out on these data sample . i esuits of the 'Logged Data Series' and 'Volatility Series' provided conclusive evidence of one cointegrating vector for the full sample. Nonetheless, contrasting findings were discovered between the non-overlapping sub-periods of pre- and post-crisis for the 'Logged Data Series' and 'Volatility Series'. Causality wise, only Singapore and Thailand Granger cause Malaysia in the post-crisis for the 'Logged Data Series'. On the other hand, the 'Volatility Series' had suggested a set of causality chain between the markets for all three sample periods of interest. (Overall, this study provides a plausible forefront to policy makers suggesting whether or not international investment portfolio diversifications within the context of the ASEAN-5 equity markets are made beneficial to regional and international investors. Universiti Malaysia Sarawak (UNIMAS) 2009 Thesis http://ir.unimas.my/id/eprint/30290/ http://ir.unimas.my/id/eprint/30290/1/Patricia%20Oh%20Swee%20Ling%20ft.pdf text en validuser masters Universiti Malaysia Sarawak (UNIMAS) Faculty of Economics and Business
institution	Universiti Malaysia Sarawak
collection	UNIMAS Institutional Repository
language	English
topic	HF Commerce
spellingShingle	HF Commerce Oh, Patricia Swee Ling Co-movement of asean-5 equity markets
description	(This study investigates the relationship across the regional equity markets of Indonesia, Malaysia, the Philippines, Singapore and Thailan0 There are two sample data of the Composite Indexes' (CI) which include: (1) 'CI in log form'; and (2) 'Volatility Serie5 . Both the series are segregated into three periods: (I) full-sample; (2) pre-crisis; and (3) post-crisis (Econometrical tests had been carried out on these data sample . i esuits of the 'Logged Data Series' and 'Volatility Series' provided conclusive evidence of one cointegrating vector for the full sample. Nonetheless, contrasting findings were discovered between the non-overlapping sub-periods of pre- and post-crisis for the 'Logged Data Series' and 'Volatility Series'. Causality wise, only Singapore and Thailand Granger cause Malaysia in the post-crisis for the 'Logged Data Series'. On the other hand, the 'Volatility Series' had suggested a set of causality chain between the markets for all three sample periods of interest. (Overall, this study provides a plausible forefront to policy makers suggesting whether or not international investment portfolio diversifications within the context of the ASEAN-5 equity markets are made beneficial to regional and international investors.
format	Thesis
qualification_level	Master's degree
author	Oh, Patricia Swee Ling
author_facet	Oh, Patricia Swee Ling
author_sort	Oh, Patricia Swee Ling
title	Co-movement of asean-5 equity markets
title_short	Co-movement of asean-5 equity markets
title_full	Co-movement of asean-5 equity markets
title_fullStr	Co-movement of asean-5 equity markets
title_full_unstemmed	Co-movement of asean-5 equity markets
title_sort	co-movement of asean-5 equity markets
granting_institution	Universiti Malaysia Sarawak (UNIMAS)
granting_department	Faculty of Economics and Business
publishDate	2009
url	http://ir.unimas.my/id/eprint/30290/1/Patricia%20Oh%20Swee%20Ling%20ft.pdf
_version_	1783728378647412736

Co-movement of asean-5 equity markets

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