scholarly journals Hedge effectiveness of put replication, gold, and oil on ASEAN-5 equities

2020 ◽  
Vol 6 (1) ◽  
Author(s):  
Robiyanto Robiyanto ◽  
Bayu Adi Nugroho ◽  
Eka Handriani ◽  
Andrian Dolfriandra Huruta
Keyword(s):  
Capital Markets ◽  
Capital Market ◽  
Market Integration ◽  
The Philippines ◽  
Money Market ◽  
Risk Averse ◽  
Capital Market Integration ◽  
Financial Products ◽  
Hedging Effectiveness ◽  
Omega Ratio

AbstractThe previous studies have shown that capital market integration has increased in the ASEAN-5, implying that investors making investment diversification across ASEAN capital markets could only earn limited diversification advantages. To diversify their portfolios, equity investors must find other assets. The main focus of this research is to analyze the effectiveness of put replication, gold, and oil on hedge equities in the ASEAN-5 (Indonesia, Malaysia, Singapore, Thailand, and the Philippines). Protective put strategy, DCC-GARCH, and Markowitz optimization are used to measure hedge effectiveness, risk-adjusted-performance such as Sharpe ratio, drawdown, and Omega ratio. The result reveals that gold is a cheaper hedge than oil and oil-hedged strategy is more expensive in ASEAN-5 compared to oil exporting nations. Also, investors with big exposure to the oil-related portfolio should diversify to Philippine equity. From hedging effectiveness and risk-adjusted-performance perspectives, oil is less attractive than money market instruments and gold. This study also implies that risk-averse investors should prefer to put replication or guaranteed financial products compared to commodities-hedged strategy.

scholarly journals ISLAMIC CAPITAL MARKET INTEGRATION AND ASYMMETRIC INFORMATION: A STUDY IN THE FIVE ASEAN COUNTRIES FROM THE POST-GLOBAL FINANCIAL CRISIS

2021 ◽  
Vol 22 (1) ◽  
pp. 121-132
Author(s):  
Ibnu Qizam
Keyword(s):  
Asymmetric Information ◽  
Capital Markets ◽  
Capital Market ◽  
Market Integration ◽  
Global Financial Crisis ◽  
Efficient Market Hypothesis ◽  
The Philippines ◽  
Capital Market Integration ◽  
Asean Countries ◽  
Different Levels

This study aims at examining the integration impact of the five ASEAN Islamic capital markets on asymmetric information for ASEAN Economic Community (AEC) development. Utilizing samples of market and financial panel data from 2009 to 2015 among the five ASEAN Islamic capital markets, and applying two-country portfolios of the Islamic capital markets among the five ASEAN countries to measure the different levels of Islamic capital market integration, this study suggests that the different levels of the Islamic capital market integration between Indonesia and Malaysia are found to result in asymmetric information negatively. The strongest Islamic capital market integration between Indonesia and Malaysia affect reduced asymmetric information more consistently than the other two-country portfolios, while the weakest level of integration between the Philippines and any other four Islamic capital markets that affects asymmetric information inconsistently is also supported. These results confirm an interplay between a modern portfolio theory, Efficient Market Hypothesis (EMH), contract theory, and general economic theory, and also provide new insights for stakeholders in investment decisions and strategies, cross-border regulation of economic resources, and other plentiful benefits.

scholarly journals A Capital Market Union For Europe

2019 ◽  
Vol 19 (07) ◽  
Author(s):  
Srobona Mitra ◽  
Anke Weber ◽  
Ashok Bhatia ◽  
Shekhar Aiyar ◽  
Luiza Antoun de Almeida ◽  
...  
Keyword(s):  
Capital Markets ◽  
Capital Market ◽  
Market Integration ◽  
Capital Formation ◽  
Market Development ◽  
Shock Absorption ◽  
Capital Market Integration ◽  
Playing Field ◽  
Regulatory Quality ◽  
Corporate Funding

This note weighs the merits of a capital market union (CMU) for Europe, identifies major obstacles in its path, and recommends a set of carefully targeted policy actions. European capital markets are relatively small, resulting in strong bank-dependence, and are split sharply along national lines. Results include an uneven playing field in terms of corporate funding costs, the rationing out of collateral-constrained firms, and limited shock absorption. The benefits of integration center on expanding financial choice, ultimately to support capital formation and resilience. Capital market development and integration would support a healthy diversity in European finance. Proceeding methodically, the note identifies three key barriers to greater capital market integration in Europe: transparency, regulatory quality, and insolvency practices. Based on these findings, the note urges three policy priorities, focused on the three barriers. There is no roadblock—such steps should prove feasible without a new grand bargain.

scholarly journals Capital Market Integration In Some Asean Countries Revisited

2018 ◽  
Vol 22 (2) ◽  
pp. 205 ◽  
Author(s):  
Robiyanto Robiyanto
Keyword(s):  
Financial Crisis ◽  
Financial Market ◽  
Capital Markets ◽  
Capital Market ◽  
Market Integration ◽  
Global Financial Crisis ◽  
Asian Financial Crisis ◽  
Capital Market Integration ◽  
Financial Market Integration ◽  
Asean Countries

Financial market integration in Southern Asia especially in ASEAN main member countries still attractive to scrunitized. Most of these countries were devastated during severe regional financial crisis in 1997 but global financial crisis in 2008 have different impact toward these countries. The finding shows that comovement were exist among Indonesia, Malaysia, Singapore and Thailand’s capital market during January 1997 to December 2013 period. Comovement still exist during post Asian financial Crisis 1997 and post global financial crisis 2008 period. This study conclude also that degree of integration between some ASEAN capital markets have fading out after global financial crisis in 2008. Hence, investor could formulate a portfolio which consist of stocks across ASEAN capital markets.

scholarly journals CONTAGION EFFECT DAN INTEGRASI PASAR MODAL DI KAWASAN ASIA, EROPA DAN AMERIKA

2018 ◽  
Vol 14 (1) ◽  
pp. 1-9
Author(s):  
Robiyanto ◽  
Aldhi Fajar Hartanto
Keyword(s):  
Capital Markets ◽  
Capital Market ◽  
Market Integration ◽  
Composite Index ◽  
The United States ◽  
Contagion Effect ◽  
Kuala Lumpur ◽  
Index Set ◽  
Capital Market Integration ◽  
The World

Capital market integration is a very interesting topic to study because it is constantly evolving along with the development of time and conditions that occur in the capital markets in the world. This study examines the integration of capital markets and the contagion effect of capital markets in Asia, Europe and America. This study uses monthly closing data of Jakarta Composite Index (JCI) for Indonesia, (KLCI) for Malaysia, PSE Composite Index (PSE) for Philippines, Straight Times Index (STI) for Singapore, SET Index (SET) for Thailand, NIKKEI 225 for Japan, FTSE 100 for UK, DAX 30 for Germany, CAC 40 for France, IBEX 35 for Spain, Dow Jones for USA during period of January 2012 until December 2016. The result of this research is there is no comovement between capital markets of Indonesia, Malaysia, Philippines, Singapore, Thailand, Japan, UK, Germany, France, Italy, Spain and the United States.   Integrasi pasar modal merupakan topik yang masih sangat menarik untuk dikaji karena senantiasa berkembang seiring dengan perkembangan waktu dan kondisi yang terjadi pada pasar modal-pasar modal yang ada di dunia. Penelitian ini mengkaji integrasi pasar modal dan contagion effect dari pasar modal di Asia, Eropa dan Amerika. Penelitian ini menggunakan data penutupan bulanan Indeks Harga Saham Gabungan (IHSG) untuk Indonesia, Kuala Lumpur Composite Index (KLCI) untuk Malaysia, PSE Composite Index(PSE) untuk Filipina, Straight Times Index (STI) untuk Singapura, SET Index (SET) untuk Thailand, NIKKEI 225 untuk Jepang, FTSE 100 untuk Inggris, DAX 30 untuk Jerman, CAC 40 untuk Prancis, IBEX 35 untuk Spanyol, Dow Jones untuk Amerika Serikatselama periode bulan Januari 2012 sampai dengan Desember 2016. Hasil penelitian ini adalah tidak terdapat comovement antara pasar modal Indonesia, Malaysia, Filipina, Singapura, Thailand, Jepang, UK, Jerman, Perancis, Italia, Spanyol, dan Amerika Serikat.

Capital Market Integration of Selected ASEAN Countries and its Investment Implications

2017 ◽  
pp. 5-33
Author(s):  
Hung Quang Do ◽  
László Kónya ◽  
Bhatti M. Ishaq
Keyword(s):  
Capital Market ◽  
Stock Markets ◽  
Market Integration ◽  
The Philippines ◽  
Dependence Structure ◽  
Global Finance ◽  
Capital Market Integration ◽  
International Stock Markets ◽  
The Us ◽  
Asean Countries

This paper investigates the dynamic integration of ASEAN6 stock markets (Indonesia, Malaysia, the Philippines, Singapore, Thailand and Vietnam) with international stock markets (the US, the ASEAN bloc, and Asia) in an ARMA-EGARCH-M and a vector autoregression models (VAR) using weekly price returns from January 2000 to October 2015. The interaction channels between these markets provide valuable information to investors about possible investment gateways into these ASEAN6 countries. The dependence structure of unexpected returns between the US and ASEAN6 countries, and contagion of the Global Finance Crisis (GFC) are explored in the paper. The results indicate that investors from the US and Asia could gain diversification benefits by investing in the stock markets of Indonesia, Malaysia, the Philippines, Singapore and Thailand. At the same time, ASEAN investors might wish to invest in Vietnam for their investment diversification. However, the Vietnamese market is found to be highly dependent on the US and Asian markets.

scholarly journals A Different View on ASEAN Capital Market Integration

Economies ◽  
2021 ◽  
Vol 9 (4) ◽  
pp. 141
Author(s):  
Robiyanto Robiyanto ◽  
Budi Frensidy ◽  
Ignatius Roni Setyawan ◽  
Andrian Dolfriandra Huruta
Keyword(s):  
Capital Markets ◽  
Capital Market ◽  
Stock Price ◽  
Market Integration ◽  
Price Index ◽  
Stock Exchange ◽  
Capital Market Integration ◽  
Asean Countries ◽  
Exchange Data

Capital market integration has become an interesting research topic nowadays. Many studies have tried to explain this phenomenon using various methods. Here, we used sophisticated methods to explain capital market integration. This study aims to scrutinize the Association of Southeast Asian Nations (ASEAN) capital market integration. This study hopefully can enrich the different views regarding the capital market integration and fill the gap left by previous studies. The data used were the stock price index of the monthly closing data of the capital markets in ASEAN countries during the period of January 1999 to December 2020, obtained from Bloomberg and the Indonesia Stock Exchange. Data in this study were analyzed using the wavelet method. The results indicate that there is a long-term integration in the capital markets of ASEAN countries, and the highest level of integration was in the period during and about a year after the global crisis. Using the spectrum analysis, the results show that during period from 2008 to 2010, the level of integration reached its highest level.

scholarly journals INTEGRASI PASAR MODAL KAWASAN CINA - ASEAN

2013 ◽  
Vol 14 (1) ◽  
pp. 78
Author(s):  
Budi Santosa
Keyword(s):  
Capital Markets ◽  
Capital Market ◽  
Market Integration ◽  
The Philippines ◽  
Analysis Tool ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Strong Position ◽  
Positive Effect

This study aims to analyze the level of capital market integration ASEAN and China. Analysis tool used is Vector Error Correction Model (VECM). The results showed that capital markets of Malaysia, Philippines, Singapore, Thailand, and China have a positive effect on Indonesian capital markets, but the Indonesian capital market does not affect the capital markets of other countries. Singapore capital market has a positive effect on capital markets of Indonesia, Malaysia, Thailand, and China, except for the Philippines. China's capital market only affects the capital market in Singapore. Singapore capital market and China have complete integration because both affect each other. Philippine capital market only affects Indonesian capital market. Indonesian capital market is easily influenced by the fluctuation in capital markets in the ASEAN region and China. Singapore capital market is in a strong position. While the Philippine capital market are relatively more segmented.

scholarly journals UJI INTEGRASI PASAR MODAL DAN CONTAGION EFFECT SEBELUM DAN SESUDAH BREXIT PADA PASAR MODAL ASEAN

2019 ◽  
pp. 75
Author(s):  
Prayogo Prayogo ◽  
Harijono Harijono ◽  
Robiyanto Robiyanto
Keyword(s):  
Capital Markets ◽  
Capital Market ◽  
Market Integration ◽  
Analytical Tool ◽  
Contagion Effect ◽  
Vector Autoregressive ◽  
Capital Market Integration ◽  
Contagion Effects ◽  
Before And After ◽  
The Uk

This study examined capital market integration and contagion effect among ASEAN and UK capital markets. Data analysis will be divided to before the Brexit (January 2012 – 22 June 2016) and after the Brexit (24 June 2016 – December 2016). The analytical tool used is Vector Autoregressive (VAR) to analyze the integration between capital markets and Granger Causality to detect any contagion effect between capital markets. The conclusion of this research is existance of Brexit event can change the segmented ASEAN-5 region become more integrated. It’s  found that the Singapore capital market is a capital market that recieves a contagion effect from the UK capital market before and after Brexit. As for the Indonesia, Malaysia, Philippines and Thailand’s capital markets only received contagion effects between regions, except Philippines capital market after Brexit does’t accept contagion effect from all countries.

scholarly journals On ASEAN capital market and industry integration: A review.

2016 ◽  
Vol 13 (2) ◽  
pp. 8-22 ◽  
Author(s):  
Hung Quang Do ◽  
M. Ishaq Bhatti ◽  
László Kónya
Keyword(s):  
Bayesian Approach ◽  
Capital Markets ◽  
Capital Market ◽  
Market Integration ◽  
Factor Models ◽  
Policy Makers ◽  
Capital Market Integration ◽  
Country Level ◽  
Asean Countries ◽  
Industry Integration

Due to the benefits of investment diversification across markets and industries, and the increasing importance of ASEAN capital markets, this paper attempts to review recent studies on capital market integration and investment implications in six selected ASEAN countries. Several methodologies including VAR, GARCH, Copula and DCC, Bayesian approach, CAPM and factor models have been examined in this research. Most of the existing studies consider the capital market integration and its investment implications at a country level, whereas this paper attempts to extend the analysis to the industry level of integration. It also reviews the uses of a VARMA-MGARCH-asymmetric BEKK models to investigate the integration at industry levels in recommending investment diversification. The findings of this paper may provide guidance to academia, investors and policy makers on asset diversification.

scholarly journals Impact of Safta on Capital Market Integration of South Asia: Evidence from Cointegration Analysis

2018 ◽  
Vol 11 (1) ◽  
pp. 79-96
Author(s):  
R. M. Ammar Zahid ◽  
Muzammil Khurshid
Keyword(s):  
South Asian ◽  
Capital Markets ◽  
Capital Market ◽  
Market Integration ◽  
Correlation Coefficients ◽  
Trade Agreement ◽  
Economic Benefits ◽  
Cointegration Analysis ◽  
Capital Market Integration ◽  
Regional Capital

AbstractRegional Trade agreements (RTAs) are increasing worldwide because of associated economic benefits such as increased cross border investment and trade, development and integration markets. This paper investigates how South Asian Free Trade Agreement (SAFTA) impact on the integration of South Asian capital markets. Weekly data of capital market indices of three countries (India, Pakistan and Sri Lanka) have been analyzed for overall (1998-2017) and two sub periods, 1998-2006 (Pre SAFTA) and 2009-2017 (Post SAFTA). Correlation coefficients, Unit root tests and Johansen and Juselius (JJ) Cointegration technique has been applied to access the integration between the markets. The main findings suggest that integration between the South Asian capital markets has been increased in Post-SAFTA period. The evidence that SAFTA pact results in increased integration of regional capital markets has important implications for investors and policymakers.

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