TAILIEUCHUNG - Capital market integration of selected ASEAN countries and its investment implications

Capital market integration of selected ASEAN countries and its investment implications. The interaction channels between these markets provide valuable information to investors about possible investment gateways into these ASEAN6 countries. The dependence structure of unexpected returns between the US and ASEAN6 countries, and contagion of the Global Finance Crisis (GFC) are explored in the paper. | Journal of Economics and Development, , , August 2017, pp. 5-33 ISSN 1859 0020 Capital Market Integration of Selected ASEAN Countries and its Investment Implications Hung Quang Do La Trobe University, Australia Email: László Kónya RMIT University, Australia Email: M. Ishaq Bhatti La Trobe University, Australia Email: Abstract This paper investigates the dynamic integration of ASEAN6 stock markets (Indonesia, Malaysia, the Philippines, Singapore, Thailand and Vietnam) with international stock markets (the US, the ASEAN bloc, and Asia) in an ARMA-EGARCH-M and a vector autoregression models (VAR) using weekly price returns from January 2000 to October 2015. The interaction channels between these markets provide valuable information to investors about possible investment gateways into these ASEAN6 countries. The dependence structure of unexpected returns between the US and ASEAN6 countries, and contagion of the Global Finance Crisis (GFC) are explored in the paper. The results indicate that investors from the US and Asia could gain diversification benefits by investing in the stock markets of Indonesia, Malaysia, the Philippines, Singapore and Thailand. At the same time, ASEAN investors might wish to invest in Vietnam for their investment diversification. However, the Vietnamese market is found to be highly dependent on the US and Asian markets. Keywords: ARMA-EGARCH; ASEAN; capital market integration; investment; VAR. Journal of Economics and Development 5 Vol. 19, , August 2017 1. Introduction approach is that it makes it possible to model and isolate the cross-market effects of returns and the conditional return volatilities. However, a shortcoming of the ARMA-EGARCH-M model is its limitation in showing causal effects between the local and international markets. To overcome this shortcoming we perform Granger causality tests in a VAR model, along with the “flow” and .

• Marketing - Bán hàng
• Capital market integration
• Market integration
• Selected ASEAN countries
• Investment implications
• The interaction channels between these markets