Financial liberalization and stock markets integration for Asean-5 countries
This paper examines the relationship of financial liberalization and stock markets integration among ASEAN-5 (Note 1) stock markets: Indonesia, Malaysia, the Philippines, Singapore and Thailand. Three sample periods are covered based on the progress of financial liberalization. By using Johansen a...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | en |
| Published: |
Canadian Center of Science and Education
2009
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| Subjects: | |
| Online Access: | https://eprints.ums.edu.my/id/eprint/45159/1/FULLTEXT.pdf https://eprints.ums.edu.my/id/eprint/45159/ https://doi.org/10.5539/ibr.v2n1p100 |
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| Summary: | This paper examines the relationship of financial liberalization and stock markets integration among ASEAN-5 (Note 1)
stock markets: Indonesia, Malaysia, the Philippines, Singapore and Thailand. Three sample periods are covered based
on the progress of financial liberalization. By using Johansen and Joseluis multivariate cointegration procedures,
Granger-causality tests and variances decomposition analysis, the results indicate no long-run relationship during
Singapore stock market liberalization in the first period. However, long-run relationship established between ASEAN-5
stock markets in the second period when Thailand, Malaysia and Indonesia have liberalized their stock markets and the
third period following the Philippines liberalization. The long run integration relationships and the short-run causality
relationships among ASEAN-5 markets have both increased after the financial liberalization. Thailand, Malaysia,
Indonesia and the Philippines markets have received increased influences from other stock markets in the progress of
financial liberalization whereas Singapore remains unaffected by the others. Stock markets that liberalize earlier will
have greater influence on other stock markets. |
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