The comovement of the selective ASEAN stock markets: is there any impact on Malaysian stock market?
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 stud...
| المؤلف الرئيسي: | |
|---|---|
| التنسيق: | أطروحة |
| اللغة: | الإنجليزية الإنجليزية |
| منشور في: |
2016
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| الموضوعات: | |
| الوصول للمادة أونلاين: | https://etd.uum.edu.my/6099/1/s817812_01.pdf https://etd.uum.edu.my/6099/2/s817812_02.pdf |
| _version_ | 1846512752998219776 |
|---|---|
| author | Nurul Ezzati, Ahmad Yani |
| author_facet | Nurul Ezzati, Ahmad Yani |
| author_sort | Nurul Ezzati, Ahmad Yani |
| description | 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 |
| format | Thesis |
| id | oai:etd.uum.edu.my:6099 |
| institution | Universiti Utara Malaysia |
| language | English English |
| publishDate | 2016 |
| record_format | eprints |
| spelling | oai:etd.uum.edu.my:60992021-04-19T04:30:33Z https://etd.uum.edu.my/6099/ The comovement of the selective ASEAN stock markets: is there any impact on Malaysian stock market? Nurul Ezzati, Ahmad Yani HG Finance 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 2016 Thesis NonPeerReviewed text en https://etd.uum.edu.my/6099/1/s817812_01.pdf text en https://etd.uum.edu.my/6099/2/s817812_02.pdf 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. |
| spellingShingle | HG Finance Nurul Ezzati, Ahmad Yani The comovement of the selective ASEAN stock markets: is there any impact on Malaysian stock market? |
| title | The comovement of the selective ASEAN stock markets: is there any impact on Malaysian stock market? |
| title_full | The comovement of the selective ASEAN stock markets: is there any impact on Malaysian stock market? |
| title_fullStr | The comovement of the selective ASEAN stock markets: is there any impact on Malaysian stock market? |
| title_full_unstemmed | The comovement of the selective ASEAN stock markets: is there any impact on Malaysian stock market? |
| title_short | The comovement of the selective ASEAN stock markets: is there any impact on Malaysian stock market? |
| title_sort | comovement of the selective asean stock markets is there any impact on malaysian stock market |
| topic | HG Finance |
| url | https://etd.uum.edu.my/6099/1/s817812_01.pdf https://etd.uum.edu.my/6099/2/s817812_02.pdf |
| url-record | https://etd.uum.edu.my/6099/ |
| work_keys_str_mv | AT nurulezzatiahmadyani thecomovementoftheselectiveaseanstockmarketsisthereanyimpactonmalaysianstockmarket AT nurulezzatiahmadyani comovementoftheselectiveaseanstockmarketsisthereanyimpactonmalaysianstockmarket |