This study seeks to examine the dynamic interactions of stock
price indices in five ASEAN countries, Indonesia; Malaysia; the Philippines;
Singapore; and Thailand with particular attention to the 1997 Asian financial
crisis and period onwards. Using monthly time series data of the stock price
indices countries, a vector error correction model (VECM) is employed to
empirically examine the interaction among the variables. The finding is that
the five ASEAN stock market prices were found to be integrated with two
cointegrating vectors during the sample period, and that accounting
innovation analyses show the short run dynamic interactions among those
stock markets. The important implication might be drawn from the finding is
that portfolio diversification across the five ASEAN stock markets is unlikely
to reduce investment risk due to high degree of financial integration of these
markets.

Creator(s)

• (98-044) Adwin Surja Atmadja

Contributor(s)

-

Publisher

Universitas Kristen Petra; 2005

Language

English

Category

jou – Journal

Sub Category

-

Source

Jurnal Akuntansi dan Keuangan Vol. 7, No. 1, Mei 2005: 43- 60; Adwin Surja Atmadja (98-044)

Subject(s)

-

File(s)

• jiunkpe-ns-jou-2005-98-044-7842-asean-resource1.pdf