Financial liberalization and stock markets integration for Asean-5 countries

Sew-Ming Phuan and Kian-Ping, Lim and Ai-Yee Ooi (2009) Financial liberalization and stock markets integration for Asean-5 countries. International Business Research, 2 (1). 100 -111. ISSN 1913-9004

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Abstract

This paper examines the relationship of financial liberalization and stock markets integration among ASEAN-5 (Note 1) stock markets: Indonesia, Malaysia, the Philippines, Singapore and Thailand. Three sample periods are covered based on the progress of financial liberalization. By using Johansen and Joseluis multivariate cointegration procedures, Granger-causality tests and variances decomposition analysis, the results indicate no long-run relationship during Singapore stock market liberalization in the first period. However, long-run relationship established between ASEAN-5 stock markets in the second period when Thailand, Malaysia and Indonesia have liberalized their stock markets and the third period following the Philippines liberalization. The long run integration relationships and the short-run causality relationships among ASEAN-5 markets have both increased after the financial liberalization. Thailand, Malaysia, Indonesia and the Philippines markets have received increased influences from other stock markets in the progress of financial liberalization whereas Singapore remains unaffected by the others. Stock markets that liberalize earlier will have greater influence on other stock markets.

Item Type:	Article
Keyword:	Financial liberalization, Stock markets integration, ASEAN-5 stock markets, Portfolio diversification
Subjects:	H Social Sciences > HC Economic history and conditions > HC10-1085 Economic history and conditions > HC94-1085 By region or country H Social Sciences > HG Finance > HG1-9999 Finance > HG3810-4000 Foreign exchange. International finance. International monetary system
Department:	FACULTY > Labuan Faculty of International Finance
Depositing User:	JUNAINE JASNI -
Date Deposited:	23 Sep 2025 10:16
Last Modified:	23 Sep 2025 10:16
URI:	https://eprints.ums.edu.my/id/eprint/45159

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