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

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
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語言:eng
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出版: 2016
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HG Finance
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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id my-uum-etd.6099
record_format uketd_dc
institution Universiti Utara Malaysia
collection UUM ETD
language eng
eng
advisor Nordin, Sabariah
topic HG Finance
spellingShingle HG Finance
Nurul Ezzati, Ahmad Yani
The comovement of the selective ASEAN stock markets: is there any impact on Malaysian stock market?
description 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
format Thesis
qualification_name other
qualification_level Master's degree
author Nurul Ezzati, Ahmad Yani
author_facet Nurul Ezzati, Ahmad Yani
author_sort Nurul Ezzati, Ahmad Yani
title The comovement of the selective ASEAN stock markets: is there any impact on Malaysian stock market?
title_short The comovement of the selective ASEAN stock markets: is there any impact on Malaysian stock market?
title_full The comovement of the selective ASEAN stock markets: is there any impact on Malaysian stock market?
title_fullStr The comovement of the selective ASEAN stock markets: is there any impact on Malaysian stock market?
title_full_unstemmed The comovement of the selective ASEAN stock markets: is there any impact on Malaysian stock market?
title_sort comovement of the selective asean stock markets: is there any impact on malaysian stock market?
granting_institution Universiti Utara Malaysia
granting_department School of Economics, Finance & Banking
publishDate 2016
url https://etd.uum.edu.my/6099/1/s817812_01.pdf
https://etd.uum.edu.my/6099/2/s817812_02.pdf
_version_ 1747828021274869760
spelling my-uum-etd.60992021-04-19T04:30:33Z The comovement of the selective ASEAN stock markets: is there any impact on Malaysian stock market? 2016 Nurul Ezzati, Ahmad Yani Nordin, Sabariah School of Economics, Finance & Banking School of Economics, Finance and Banking HG Finance 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 2016 Thesis https://etd.uum.edu.my/6099/ https://etd.uum.edu.my/6099/1/s817812_01.pdf text eng public https://etd.uum.edu.my/6099/2/s817812_02.pdf text eng public other masters Universiti Utara Malaysia Afzal, M. & Ali, R. (2012). Impact of global financial crisis on stock markets: evidence from Pakistan and India. Journal of Business Management and Economics, 3(7), 275-282. Agung, I., N. (2011). Time series data analysis using Eviews. Singapore: John Wiley & Sons. Aimprasittichai, S. & Suppakittiwong, T. (2015). A study of a relationship between the U.S. stock market and emerging stock markets in Southeast Asia (Degree’s Project). Available from http://www.divaportal.org/smash/get/diva2:861617/ FULLTEXT01.pdf. Ardliansyah, R. (2012). Stock market integration and international portfolio diversification between U.S. and ASEAN equity markets. 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