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Volatility Spillover Analysis Post Implementation of AEC 2015 Agreement: Empirical Study on ASEAN-5 Stock Market

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  • Yunia Panjaitan
  • Siti Saadah

Abstract

Efforts to improve financial integration that continue to be implemented after the implementation of the Asean Economic Community 2015 agreement, can encourage increased integration of capital markets in countries within the region. This study was conducted to investigate the spillover of volatility between stock markets that accompanied the ongoing efforts of financial integration carried out by ASEAN member countries. Investigation of volatility spillover is done by applying Exponential GARCH method on time series daily data of stock return of ASEAN-5 countries period September 2016 - December 20, 2017. If previous studies found significant spillover of volatility from Singapore, Malaysia, Thailand and Philippines, the results of this study show that only Singapore's stock exchanges consistently have a significant impact on the Indonesian stock market. The turmoil in the Singapore stock market will be consistently transmitted to the Indonesian stock market. However, efforts to improve the financial integration carried out by ASEAN member countries have not consistently caused the turmoil in Malaysia, Thailand and the Philippines stock exchange to be transmitted to the Indonesian stock market.

Suggested Citation

  • Yunia Panjaitan & Siti Saadah, 2018. "Volatility Spillover Analysis Post Implementation of AEC 2015 Agreement: Empirical Study on ASEAN-5 Stock Market," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 9(2), pages 105-111, April.
    • Handle: RePEc:jfr:ijfr11:v:9:y:2018:i:2:p:105-111
    DOI: 10.5430/ijfr.v9n2p105
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    References listed on IDEAS

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    1. Abou-Zaid, Ahmed S., 2011. "Volatility Spillover Effects in Emerging MENA Stock Markets," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 7(1-2), pages 1-21, March.
    2. Yarovaya, Larisa & Brzeszczyński, Janusz & Lau, Chi Keung Marco, 2016. "Intra- and inter-regional return and volatility spillovers across emerging and developed markets: Evidence from stock indices and stock index futures," International Review of Financial Analysis, Elsevier, vol. 43(C), pages 96-114.
    3. International Monetary Fund, 1999. "Sources of Contagion: Finance or Trade?," IMF Working Papers 1999/146, International Monetary Fund.
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