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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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Main Author: Norshamshina, Mat Isa
Format: Thesis
Language:English
English
Published: 2005
Subjects:
HG Finance
Online Access:http://etd.uum.edu.my/1312/1/NORSHAMSHINA_BT._MAT_ISA.pdf
http://etd.uum.edu.my/1312/2/1.NORSHAMSHINA_BT._MAT_ISA.pdf
http://etd.uum.edu.my/1312/
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spelling my.uum.etd.13122013-07-24T12:11:24Z http://etd.uum.edu.my/1312/ Investigation of the Linkages Between Malaysian and Three Newly Industrialized Asian Countries : Co-Integration Analysis Norshamshina, Mat Isa 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. 2005-05-05 Thesis NonPeerReviewed application/pdf en http://etd.uum.edu.my/1312/1/NORSHAMSHINA_BT._MAT_ISA.pdf application/pdf en http://etd.uum.edu.my/1312/2/1.NORSHAMSHINA_BT._MAT_ISA.pdf Norshamshina, Mat Isa (2005) Investigation of the Linkages Between Malaysian and Three Newly Industrialized Asian Countries : Co-Integration Analysis. Masters thesis, Universiti Utara Malaysia.
institution Universiti Utara Malaysia
building UUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Utara Malaysia
content_source UUM Electronic Theses
url_provider http://etd.uum.edu.my/
language English
English
topic HG Finance
spellingShingle 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
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
publishDate 2005
url http://etd.uum.edu.my/1312/1/NORSHAMSHINA_BT._MAT_ISA.pdf
http://etd.uum.edu.my/1312/2/1.NORSHAMSHINA_BT._MAT_ISA.pdf
http://etd.uum.edu.my/1312/
_version_ 1644276412109029376
score 13.211869

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