The comovement of the selective ASEAN stock markets: is there any impact on Malaysian stock market?

This paper investigates the cointegration relationship in the monthly returns among five stock market indices of ASEAN countries namely FTSE Bursa Malaysia KLCI, Bangkok Stock Exchange of Thailand, Ho Chi Minh Stock Exchange, Jakarta Composite Index and Philippines Stock Exchange. The period of stud...

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主要作者: Nurul Ezzati, Ahmad Yani
格式: Thesis
語言:eng
eng
出版: 2016
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在線閱讀:https://etd.uum.edu.my/6099/1/s817812_01.pdf
https://etd.uum.edu.my/6099/2/s817812_02.pdf
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總結:This paper investigates the cointegration relationship in the monthly returns among five stock market indices of ASEAN countries namely FTSE Bursa Malaysia KLCI, Bangkok Stock Exchange of Thailand, Ho Chi Minh Stock Exchange, Jakarta Composite Index and Philippines Stock Exchange. The period of study is between January 2001 and December 2015. The Johansen-Juselius cointegration test and Vector Error Correction Model (VECM) are applied to examine the cointegration between Malaysian stock market index with the other four selected stock market indices. Findings indicate that there is cointegration relationship among the five selected ASEAN stock market indices. The VECM long run results show that the Bangkok Stock Exchange of Thailand has the highest influence on the FTSE Bursa Malaysia KLCI