The Dynamics Of Market Integration Level And Its Determinants For Asean-5

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dc.contributor.authorYeoh, Bit Kun
dc.date.accessioned2018-12-28T07:39:34Z
dc.date.available2018-12-28T07:39:34Z
dc.date.issued2011-11
dc.description.abstractAlthough debates on the stock market integration have emerged from academicians and practitioners, no firm conclusions about its nature and behavior have been fully drawn. While stock market integration gives a few important benefits such as fostering development of financial markets and reducing the cost of financial intermediation, highly integrated market may also eliminate the benefit of portfolio diversification and facilitates contagion effect. Unlike most previous studies that assumed constant level of stock market integration, this thesis employs Kalman filter (KF) technique to investigate the time-varying stock market integration level of ASEAN-5 stock markets with the world market. Furthermore, this thesis also assesses the time-varying influence of determinants that drive the stock market integration level. In this study, the sample covers a 23-year period, from February 1988 to February 2010. The results show that the KF model is superior than the OLS regression model in terms of goodness-of-fit and measure of forecast error. Although the time-varying standard errors estimated by the KF model are generally larger than those of the OLS regression model, the KF model has produced more reasonable estimates for the level of market integration from financial point of view. While the OLS estimation suggests that the ASEAN-5 stock markets are fully integrated with the world market throughout the sample period, the KF estimation suggests that the stock market integration level is in fact vary over time with the ASEAN-5 stock markets were segmented from the world market during the 97/98 Asian financial crisis period.en_US
dc.identifier.urihttp://hdl.handle.net/123456789/7421
dc.language.isoenen_US
dc.publisherUniversiti Sains Malaysiaen_US
dc.subjectThe dynamics of market integration levelen_US
dc.subjectits determinants for Asean-5en_US
dc.titleThe Dynamics Of Market Integration Level And Its Determinants For Asean-5en_US
dc.typeThesisen_US
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