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An Empirical Analysis Of Stock Market Integration: Comparison Study Of Singapore And Malaysia

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  • ZHENG YI

    (School of Finance, Southwestern University of Finance and Economics, Chengdu, China 611130, China)

  • SWEE-LIANG TAN

    (School of Economics, Singapore Management University, 90 Stamford Road, Singapore 178903, Singapore)

Abstract

Using a GARCH (1,1) model, this paper compares the extent to which financial sector liberalization in Singapore and Malaysia each has led to integration of its domestic equity market with external markets. The results show that the level of integration of the domestic markets with the external markets is higher when MSCI regional and global data are used, as compared to when individual country data are used to proxy regional and global markets. Inferences are made about the preferred pace of liberalization in Singapore, as well as, the impact of the Asian financial crisis and capital control measures imposed in Malaysia on financial integration, in the respective countries under study.

Suggested Citation

  • Zheng Yi & Swee-Liang Tan, 2009. "An Empirical Analysis Of Stock Market Integration: Comparison Study Of Singapore And Malaysia," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 54(02), pages 217-232.
    • Handle: RePEc:wsi:serxxx:v:54:y:2009:i:02:n:s021759080900332x
    DOI: 10.1142/S021759080900332X
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    References listed on IDEAS

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    1. Mohamed Ariff & Ahmed M. Khalid, 2000. "Liberalization, Growth and the Asian Financial Crisis," Books, Edward Elgar Publishing, number 1511.
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    Cited by:

    1. Yushi Yoshida, 2010. "Is this time different for Asia?: Evidence from stock Markets," Discussion Papers 40, Kyushu Sangyo University, Faculty of Economics.
    2. Anil Sharma & Neha Seth, 2012. "Literature review of stock market integration: a global perspective," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 4(1), pages 84-122, April.

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