Ấn phẩm
Capital Market Integration of Selected ASEAN Countries and its Investment Implications
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Tóm tắt
This paper investigates the dynamic integration of ASEAN6 stock markets (Indonesia, Malaysia, the Philippines, Singapore, Thailand and Vietnam) with international stock markets (the US, the ASEAN bloc, and Asia) in an ARMA-EGARCH-M and a vector autoregression models (VAR) using weekly price returns from January 2000 to October 2015. The interaction channels between these markets provide valuable information to investors about possible investment gateways into these ASEAN6 countries. The dependence structure of unexpected returns between the US and ASEAN6 countries, and contagion of the Global Finance Crisis (GFC) are explored in the paper. The results indicate that investors from the US and Asia could gain diversifiation benefis by investing in the stock markets of Indonesia, Malaysia, the Philippines, Singapore and Thailand. At the same time, ASEAN investors might wish to invest in Vietnam for their investment diversifiation. However, the Vietnamese market is found to be highly dependent on the US and Asian markets.
Mô tả
national business administration
Tác giả
Do, Quang Hung
Tác giả khác
László Kónya
M. Ishaq Bhatti
Người hướng dẫn
Nơi xuất bản
Nhà xuất bản
Kinh Tế Quốc Dân
Năm xuất bản
2017
ISSN tạp chí
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Từ khóa chủ đề
ARMA-EGARCH , ASEAN , capital market integration , investment , VAR.
