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Investigation of the Linkages Between Malaysian and Three Newly Industrialized Asian Countries : Co-Integration Analysis

Norshamshina, Mat Isa (2005) Investigation of the Linkages Between Malaysian and Three Newly Industrialized Asian Countries : Co-Integration Analysis. Masters thesis, Universiti Utara Malaysia.

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Abstract

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.

Item Type: Thesis (Masters)
Uncontrolled Keywords: Equity Markets, Asian Newly Industrialised Countries, Malaysia, Singapore, Thailand, Hong Kong
Subjects: H Social Sciences > HG Finance
Divisions: Faculty and School System > Faculty of Finance and Banking
Depositing User: Mrs Shamsiah Mohd Shariff
Date Deposited: 08 Feb 2010 02:53
Last Modified: 24 Jul 2013 12:11
URI: http://etd.uum.edu.my/id/eprint/1312

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