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The Asean Stock Market Integration: The Effect of the 2007 Financial Crisis on the Asean Stock Indices Movements

Atmadja, Adwin Surja (2009) The Asean Stock Market Integration: The Effect of the 2007 Financial Crisis on the Asean Stock Indices Movements. [UNSPECIFIED]

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        Abstract

        This study attempts to examine the existence of cointegration relationship and the short run dynamic interaction among the five ASEAN stock market indices in the period of before and during the 2007 financial crisis. The multivariate time series analysis frameworks are employed to the series in both sub-sample periods in order to answer the hypotheses. The study finds two cointegrating vectors in the series before the financial crisis period, however it fails to detect any cointegrating vector in the period of financial crisis. Granger causality tests applied to the series reveal that number of significant causal linkages between two variables increase during the crisis period. Moreover, the accounting innovation analysis shows an increase in the explanatory power of an endogenous variable to another within the system during the crisis period, indicating that the contagious effect of the 2007-US financial crisis has entered into the ASEAN capital market, and significantly influenced the regional indices� movements.

        Item Type: UNSPECIFIED
        Additional Information: -
        Uncontrolled Keywords: ASEAN, stock market integration, the 2007 financial crisis, regional indices� movements
        Subjects: H Social Sciences > HG Finance
        Divisions: Faculty of Economic > Finance Management Program
        Depositing User: Admin
        Date Deposited: 01 Oct 2021 18:42
        Last Modified: 03 Nov 2021 14:29
        URI: https://repository.petra.ac.id/id/eprint/19272

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