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- Title
Modeling Time-Varying Stock Market Integration in ASEAN: A Kalman Filter Approach.
- Authors
BIT-KUN, YEOH; ARSAD, ZAINUDIN; CHEE-WOOI, HOOY
- Abstract
This study focuses on the level of market integration between ASEAN-5 stock markets with the world market. Kalman Filter methodology is used on the International CAPM and we postulates the pricing errors estimated within the framework of International CAPM as a measure of market integration. The result shows that Singapore is highly integrated while the Philippines is fairly integrated with the world throughout the sample period. Meanwhile, Indonesia, Thailand and Malaysia demonstrate fluctuations in the level of integration. This study reveals that the current global crisis has less impact on the level of integration than that in 97/98 Asian financial crisis.
- Subjects
SOUTHEAST Asia; ASIAN economic integration; STOCK exchanges; FINANCIAL crises; TIME-varying systems; KALMAN filtering
- Publication
International Journal of Economics & Management, 2015, Vol 9, Issue 2, p232
- ISSN
1823-836X
- Publication type
Article