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The comovement of the selective ASEAN stock markets: is there any impact on Malaysian stock market?

Nurul Ezzati, Ahmad Yani (2016) The comovement of the selective ASEAN stock markets: is there any impact on Malaysian stock market? Masters thesis, Universiti Utara Malaysia.

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Abstract

This paper investigates the cointegration relationship in the monthly returns among five stock market indices of ASEAN countries namely FTSE Bursa Malaysia KLCI, Bangkok Stock Exchange of Thailand, Ho Chi Minh Stock Exchange, Jakarta Composite Index and Philippines Stock Exchange. The period of study is between January 2001 and December 2015. The Johansen-Juselius cointegration test and Vector Error Correction Model (VECM) are applied to examine the cointegration between Malaysian stock market index with the other four selected stock market indices. Findings indicate that there is cointegration relationship among the five selected ASEAN stock market indices. The VECM long run results show that the Bangkok Stock Exchange of Thailand has the highest influence on the FTSE Bursa Malaysia KLCI

Item Type: Thesis (Masters)
Uncontrolled Keywords: Stock market, Cointegration, VECM
Subjects: H Social Sciences > HG Finance
Divisions: School of Economics, Finance & Banking
Depositing User: Mr. Badrulsaman Hamid
Date Deposited: 09 Mar 2017 09:44
Last Modified: 09 Mar 2017 09:44
URI: http://etd.uum.edu.my/id/eprint/6099

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