The Impact of Structural Breaks on the Integration of the ASEAN-5 Stock Markets
碩士 === 嶺東科技大學 === 財務金融研究所 === 94 === This paper explores the impact of possible structural breaks, for example the Asian financial crisis of 1997/98, on integration within ASEAN-5 countries. This study addresses the issue by applying the multivariate Inoue (1999) cointegration procedure that allows...
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| Format: | Others |
| Language: | en_US |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/18080640253707509730 |
| Summary: | 碩士 === 嶺東科技大學 === 財務金融研究所 === 94 === This paper explores the impact of possible structural breaks, for example the Asian financial crisis of 1997/98, on integration within ASEAN-5 countries. This study addresses the issue by applying the multivariate Inoue (1999) cointegration procedure that allows for three types of structural break in a dynamic system, and comparing with the standard Johansen cointegration procedure in order to find the rank of a system of daily and weekly stock returns. The empirical results suggest two cointegration vectors within the ASEAN-5 stock markets and that Singapore and Thailand are the main long-term drivers in the region; Malaysia and Indonesia are more short-term drivers. Structural breaks are found to correspond with the Asian financial crisis in 1997/98 and a possible Y2K effect in 2000. Results are verified using the Johansen, Mosconi, and Neilsen (2000) model.
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