Investigation of the Linkages Between Malaysian and Three Newly Industrialized Asian Countries : Co-Integration Analysis
This study examines price linkages among the equity markets of Asian newly industrialised countries of Malaysia, Singapore, Thailand, and Hong Kong. Using daily data from January 2000 to December 2004, bivariate and multivariate cointegration technique following the Johansen (1988) procedures and b...
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2005
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Online Access: | https://etd.uum.edu.my/1312/1/NORSHAMSHINA_BT._MAT_ISA.pdf https://etd.uum.edu.my/1312/2/1.NORSHAMSHINA_BT._MAT_ISA.pdf |
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my-uum-etd.13122013-07-24T12:11:24Z Investigation of the Linkages Between Malaysian and Three Newly Industrialized Asian Countries : Co-Integration Analysis 2005-05-05 Norshamshina, Mat Isa Faculty of Finance and Banking Faculty of Finance and Banking HG Finance This study examines price linkages among the equity markets of Asian newly industrialised countries of Malaysia, Singapore, Thailand, and Hong Kong. Using daily data from January 2000 to December 2004, bivariate and multivariate cointegration technique following the Johansen (1988) procedures and bi-directional Granger causality test are conducted to examine causal relationships among these markets. The results indicate that there is a stationary relationship and significant cointegration between the Asian NICs equity markets. Although there is evidence of integration between the NICs equity markets, overall Singapore plays an influential role within the region and interestingly, is the only NIC to exert a bi-direction causal influence on the Malaysian stock market. Hence, this suggests that opportunities for regional portfolio diversification in Asian newly industrialised countries equity markets remain attractive with appropriate investment strategies and policies. 2005-05 Thesis https://etd.uum.edu.my/1312/ https://etd.uum.edu.my/1312/1/NORSHAMSHINA_BT._MAT_ISA.pdf application/pdf eng validuser https://etd.uum.edu.my/1312/2/1.NORSHAMSHINA_BT._MAT_ISA.pdf application/pdf eng public masters masters Universiti Utara Malaysia |
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Universiti Utara Malaysia |
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UUM ETD |
language |
eng eng |
topic |
HG Finance |
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HG Finance Norshamshina, Mat Isa Investigation of the Linkages Between Malaysian and Three Newly Industrialized Asian Countries : Co-Integration Analysis |
description |
This study examines price linkages among the equity markets of Asian newly industrialised countries of Malaysia, Singapore, Thailand, and Hong Kong. Using
daily data from January 2000 to December 2004, bivariate and multivariate cointegration technique following the Johansen (1988) procedures and bi-directional Granger causality test are conducted to examine causal relationships among these markets. The results indicate that there is a stationary relationship and significant
cointegration between the Asian NICs equity markets. Although there is evidence of integration between the NICs equity markets, overall Singapore plays an influential
role within the region and interestingly, is the only NIC to exert a bi-direction causal influence on the Malaysian stock market. Hence, this suggests that opportunities for
regional portfolio diversification in Asian newly industrialised countries equity markets remain attractive with appropriate investment strategies and policies. |
format |
Thesis |
qualification_name |
masters |
qualification_level |
Master's degree |
author |
Norshamshina, Mat Isa |
author_facet |
Norshamshina, Mat Isa |
author_sort |
Norshamshina, Mat Isa |
title |
Investigation of the Linkages Between Malaysian and Three Newly Industrialized Asian Countries : Co-Integration Analysis |
title_short |
Investigation of the Linkages Between Malaysian and Three Newly Industrialized Asian Countries : Co-Integration Analysis |
title_full |
Investigation of the Linkages Between Malaysian and Three Newly Industrialized Asian Countries : Co-Integration Analysis |
title_fullStr |
Investigation of the Linkages Between Malaysian and Three Newly Industrialized Asian Countries : Co-Integration Analysis |
title_full_unstemmed |
Investigation of the Linkages Between Malaysian and Three Newly Industrialized Asian Countries : Co-Integration Analysis |
title_sort |
investigation of the linkages between malaysian and three newly industrialized asian countries : co-integration analysis |
granting_institution |
Universiti Utara Malaysia |
granting_department |
Faculty of Finance and Banking |
publishDate |
2005 |
url |
https://etd.uum.edu.my/1312/1/NORSHAMSHINA_BT._MAT_ISA.pdf https://etd.uum.edu.my/1312/2/1.NORSHAMSHINA_BT._MAT_ISA.pdf |
_version_ |
1747827119219539968 |