Analysis of long-term relationship among stock markets from ASEAN trading linkage: after integration
Abstract
The study on the analysis of long-term relationship among stock markets
from ASEAN trading linkage: After Integration was aimed to investigate its long-term
relationships as well as the short-term adjustability to establish balance among the
stock markets in Thailand, Malaysia, and Singapore, after the ASEAN unification. The
research data were compiled daily from the stock markets in the three countries from
16 October 2012 until 30 December 2014. The analysis was to obtain long-term
cointegration using Johansen and short-term adjustable ability to gain balance with Vector Error Correction Model (VECM)
The result revealed that ASEAN trading link showed long-term relationships in good
balance as well as short-term adjustable ability to gain balance of the models among the
three countries. It was found that factors influencing Thailand and Malaysia stock markets
were accordingly correlated, opposed from Singapore, which means that the three
countries are well-balanced in the long and short run. It may be concluded that the stock
markets in the three countries will demonstrate good integration after the ASEAN Trading Link
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- Theses [97]