Capital Market Integration of Selected ASEAN Countries and its Investment Implications

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.

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

Verslas teorija ir praktika ◽

10.3846/btp.2021.12832 ◽

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.

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Capital Market Integration In Some Asean Countries Revisited

Jurnal Manajemen ◽

10.24912/jm.v22i2.359 ◽

2018 ◽

Vol 22 (2) ◽

pp. 205 ◽

Cited By ~ 2

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.

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A Different View on ASEAN Capital Market Integration

Economies ◽

10.3390/economies9040141 ◽

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.

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

Financial Innovation ◽

10.1186/s40854-020-00199-w ◽

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.

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Capital Market Integration of ASEAN Countries

SSRN Electronic Journal ◽

10.2139/ssrn.1974449 ◽

2012 ◽

Author(s):

Hung Quang Do ◽

Laszlo Konya

Keyword(s):

Capital Market ◽

Market Integration ◽

Capital Market Integration ◽

Asean Countries

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On ASEAN capital market and industry integration: A review.

Corporate Ownership and Control ◽

10.22495/cocv13i2p1 ◽

2016 ◽

Vol 13 (2) ◽

pp. 8-22 ◽

Cited By ~ 6

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.

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