Capital Market Cointegration Based on ASEAN-4 Capital Market Financial Sector Stock Price Index

Imron Imron; Tri Widyastuti; Apolo Daito; Widarto Rachbini

doi:10.59573/emsj.7(5).2023.5

Автор(и)

Imron Imron
Tri Widyastuti
Apolo Daito
Widarto Rachbini

DOI:

https://doi.org/10.59573/emsj.7(5).2023.5

Ключові слова:

ASEAN-4, capital market integration, sectoral index, ACMF, Vector autoregressive

Анотація

This research aims to test and analyze the ASEAN capital market integration plan, which has been declared since 2004, and whether the ASEAN capital market was integrated or segmented during the research sample period of 2008–2020. This research will test cointegration based on sectoral stock price indices, namely the financial sector index (FIN) from four ASEAN countries: Indonesia (IDX), Malaysia (KL), Thailand (SET), and the Philippines (PHS). Using a vector autoregressive (VAR) model and time series data, a series of tests have been carried out, especially stationarity, stability, and cointegration tests, to capture the existence of long-term relationships between variables in the VAR system. Empirical evidence shows that using the Granger Causality, Impulse Response Function (IRF), and Variance Decomposition (VD) test approaches, all three found relatively the same thing: the industrial and financial sector index of the ASEAN-4 Exchange tends to be segmented rather than integrated. This finding follows the results of the 2015 ASEAN Capital Market Forum (ACMF) study, where ASEAN capital market integration only showed limited progress because many obstacles still had not been resolved.

Посилання

Arsyad, N. (2015). Integration between East and Southeast Asian equity markets. Journal of Financial Economic Policy, 7(2), 104–121. https://doi.org/10.1108/JFEP-02-2014-0012

Bekaert, G., Harvey, C. R., & Lundblad, C. (2006). Growth volatility and financial liberalization. Journal of International Money and Finance, 25(3), 370–403. https://doi.org/10.1016/j.jimonfin.2006.01.003

Bodie, Z. (2015). Thoughts on the Future: Life-Cycle Investing in Theory and Practice. Financial Analysts Journal, 71(1), 43–48. https://doi.org/10.2469/faj.v71.n1.6

Chia, S. Y. (2014). 10. The ASEAN Economic Community: progress, challenges, and prospects. In R. Baldwin, M. Kawai, & G. Wignaraja (Eds.), A World Trade Organization for the 21st Century: The Asian Perspective (p. 269). Edward Elgar Publishing.

Click, R. W., & Plummer, M. G. (2005). Stock market integration in ASEAN after the Asian financial crisis. Journal of Asian Economics, 16(1), 5–28. https://doi.org/10.1016/j.asieco.2004.11.018

Ekananda, M. (2019). Basic Econometrics: for economic, social and business research. Mitra Discourse Media.

Gourinchas, P. O., & Jeanne, O. (2006). The elusive gains from international financial integration. The Review of Economic Studies, 73(3), 715–741.

Gujarati, D. (2011). Basic Econometrics.

Lestari, E. (2012). Is Indonesia More Financially Linked To the World Since the Asian Financial Crises ? RIEBS, 3(2), 1–14.

Mensah, J. O., & Premaratne, G. (2018). Integration of ASEAN banking sector stocks. Journal of Asian Economics, 59, 48–60. https://doi.org/10.1016/j.asieco.2018.10.001

Oh, S.-L., Lau, E., Puah, C.-H., & Abu Mansor, S. (2010). Munich Personal RePEc Archive Volatility Co-movement of ASEAN-5 Equity Markets. MPRA Paper, 22244. https://mpra.ub.uni-muenchen.de/22244/

Orlowski, L. T. (2020). Capital markets integration and economic growth in the European Union. Journal of Policy Modeling, 42(4), 893–902. https://doi.org/10.1016/j.jpolmod.2020.03.012

Phuan, S.-M., Lim, K.-P., & Ooi, A.-Y. (2009). Financial Liberalization and Stock Markets Integration for Asean-5 Countries. International Business Research, 2(1), 100–111. https://doi.org/10.5539/ibr.v2n1p100

Qizam, I., Qoyum, A., & Ardiansyah, M. (2015). Global Financial Crisis and Islamic Capital Market Integration among 5-ASEAN Countries. Global Review of Islamic Economics and Business, 2(3), 207. https://doi.org/10.14421/grieb.2015.023-04

Reilly, F. . (2019). Investment Analysis And Portfolio Management. Cengage Learning.

Robiyanto, R. (2018). Capital Market Integration In Some Asean Countries Revisited. Jurnal Manajemen, 22(2), 205. https://doi.org/10.24912/jm.v22i2.359

Shabri Abd. Majid, M., Kameel Mydin Meera, A., Azmi Omar, M., & Abdul Aziz, H. (2009). Dynamic linkages among ASEAN‐5 emerging stock markets. International Journal of Emerging Markets, 4(2), 160–184. https://doi.org/10.1108/17468800910945783

Shu, C., He, D., Dong, J., & Wang, H. (2018). Regional pull vs global push factors: China and US influence on Asian financial markets. Journal of International Money and Finance, 87, 112–132. https://doi.org/10.1016/j.jimonfin.2018.04.004

Stavárek, D. (2012). Financial integration in the European Union. In Financial Integration in the European Union (Issue 34393). https://doi.org/10.4324/9780203123515

Wijeratne, D., & Clayton, E. (2018). The future of ASEAN-Time to act. PwC Growth Markets Centre.

Wolff, P. (2022). The 2030 Agenda and Capital Market Integration in ASEAN. In Sustainable Development Goals and Pandemic Planning (pp. 543–565). Springer Nature Singapore. https://doi.org/10.1007/978-981-16-6734-3_13