Co-movement of asean-5 equity markets

• Main Author: Oh, Patricia Swee Ling
• Format: Thesis
• Language: English
• Published: Universiti Malaysia Sarawak (UNIMAS) 2009
• Subjects: HF Commerce
• Online Access: http://ir.unimas.my/id/eprint/30290/1/Patricia%20Oh%20Swee%20Ling%20ft.pdf; http://ir.unimas.my/id/eprint/30290/

(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.