Are the Five ASEAN Stock Price Indices Dynamically Interacted?

Atmadja, Adwin Surja
Journal article Jurnal Akuntansi dan Keuangan Universitas Kristen Petra • May 2005 Indonesia • Malaysia • Philippines • Singapore • Thailand

Abstract

This study seeks to examine the dynamic interactions of stock price indices in five ASEAN countries, Indonesia; Malaysia; the Philippines; Singapore; and Thailand with particular attention to the 1997 Asian financial crisis and period onwards. Using monthly time series data of the stock price indices countries, a vector error correction model (VECM) is employed to empirically examine the interaction among the variables. The finding is that the five ASEAN stock market prices were found to be integrated with two cointegrating vectors during the sample period, and that accounting innovation analyses show the short run dynamic interactions among those stock markets. The important implication might be drawn from the finding is that portfolio diversification across the five ASEAN stock markets is unlikely to reduce investment risk due to high degree of financial integration of these markets.

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Jurnal Akuntansi dan Keuangan Universitas Kristen Petra

Jurnal Akuntansi dan Keuangan Universitas Kristen Petra menerbitkan artikel bidang akuntansi dan ... see more