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Cointegration of Capital Markets in ASEAN-5 Countries

Author

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  • Channarong Chaiphat

    (Department of International and Business Economics, School of Economics, Bangkok University Bangkok, 10110,)

Abstract

Economic integration has become a worldwide phenomenon. In 2015, the integration of the ASEAN community will officially be implemented. This integration is the third degree of the economic integration which is so-called common market.It will allow free mobilization of supplies, product, services and labour within the member countries. According to optimum currency area, the participant countries sharing a single currency need to posses synchronicity of the economic variables. This article explores the synchronicity of capital variables in ASEAN countries using data from securities price index of 5 ASEAN member countries: Indonesia, Malaysia, the Philippines, Singapore and Thailand from January 4, 2010 to October 31, 2013. Moreover, the conintegration as well as the impulse response function were also calculated and analyzed. The findings reveal that the securities price index of the 5 ASEAN member countries are cointegrated. Furthermore, the analysis of the impulse response function also turns out to be synchronous. This study supports the possibility of setting up the ASEAN securities market to raise funding for business sectors in the ASEAN countries and to upgrade the stock market of the ASEAN countries to be internationally competitive.

Suggested Citation

  • Channarong Chaiphat, 2014. "Cointegration of Capital Markets in ASEAN-5 Countries," Applied Economics Journal, Kasetsart University, Faculty of Economics, Center for Applied Economic Research, vol. 21(1), pages 42-58, June.
    • Handle: RePEc:aej:apecjn:v:21:y:2014:i:1:p:42-58
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    More about this item

    Keywords

    ASEAN securities index; capital markets; cointegration; impulse response function;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • P34 - Political Economy and Comparative Economic Systems - - Socialist Institutions and Their Transitions - - - Finance

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