Financial integration of the ASEAN-5 markets: Financial crisis effects based on bivariate and multivariate cointegration approach

Hawati Janor, Ruhani Ali

Research output: Contribution to journalArticle

3 Citations (Scopus)

Abstract

In this study, regional and global financial market integration is examined for five major ASEAN countries: Malaysia, Singapore, Thailand, Philippines and Indonesia. One of the objectives is to examine the impact of structural break which may be generated by the Asian financial crisis. We test the long-run relationship between the markets by employing the bivariate and multivariate cointegration techniques in which the later approach considers the cointegration between more than one market at a time. While, the findings reveal that some of these markets are regionally and globally integrated, they are far from fully integrated, which reflects some diversification benefits in ASEAN markets. The results also show significant impact of structural break generated by Asian financial crisis and highlight the importance of applying multivariate cointegration in testing for integration on these markets. From the asset pricing perspective, the findings suggest the importance of including regional and global markets as risk factors for these markets.

Original languageEnglish
Pages (from-to)144-158
Number of pages15
JournalInvestment Management and Financial Innovations
Volume4
Issue number4
Publication statusPublished - 2007

Fingerprint

Financial crisis
Financial integration
Multivariate cointegration
Structural breaks
Integrated
Asian financial crisis
Diversification benefits
Testing
Cointegration
Regional studies
Asset pricing
Singapore
Thailand
Indonesia
International financial markets
Malaysia
Global market
Philippines
Risk factors
Financial market integration

Keywords

  • ASEAN markets
  • Financial integration
  • Structural break

ASJC Scopus subject areas

  • Business and International Management
  • Strategy and Management
  • Economics and Econometrics
  • Finance

Cite this

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