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...

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Main Author: Nurul Ezzati, Ahmad Yani
Format: Thesis
Language:English
English
Published: 2016
Subjects:
HG Finance
Online Access:https://etd.uum.edu.my/6099/1/s817812_01.pdf
https://etd.uum.edu.my/6099/2/s817812_02.pdf
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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
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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/
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