Capital Market Integration of Selected ASEAN Countries and its Investment Implications

Abstract

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 ..