Abdul Karim, Zulkefly and Abdul Karim, Bakri (2008): Stock market integration: Malaysia and its major trading partners.
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This study examines the stock market integration among Malaysia and its major trading partners by employing Johansen (1988) and Johansen and Juselius (1990) cointegration tests and VECM approach in investigating the dynamic linkages between markets. By using a weekly data, the results indicate that Malaysia stock market is significantly influenced by the stock market development from the major trading partners. The empirical findings are consistent with the view that stronger the bilateral trade ties between two countries, the higher the degree of comovements (Masih and Masih, 1999; Bracker et al., 1999). Since the markets move towards a greater integration, there are no opportunities for international portfolio diversification. In addition, any development in the stock market from major trading partners can not be ignored and should be taken into consideration by the Malaysian government in designing an appropriate policy in the domestic stock market.
|Item Type:||MPRA Paper|
|Original Title:||Stock market integration: Malaysia and its major trading partners|
|Keywords:||Cointegration; VECM; major trading partners; stock market integration|
|Subjects:||C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy
C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
F - International Economics > F3 - International Finance > F36 - Financial Aspects of Economic Integration
|Depositing User:||Zulkefly Abdul Karim|
|Date Deposited:||24. Nov 2010 22:05|
|Last Modified:||12. Feb 2013 19:45|
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