Luận Văn Dynamic analysis on ASEAN stock markets by Wongbangpo, Praphan (2000)

Dynamic analysis on ASEAN stock markets

The countries of the Association of the Southeast Asian Nations (ASEAN) had experienced the skyrocketing growth in both real and financial sectors over the past two decades. During that period, stock markets in these ASEAN countries have boomed and become investment icons for international investors. This dissertation investigates the underlining characteristics of stock markets in Indonesia, Malaysia, the Philippines, Singapore, and Thailand through empirical analyses. Chapter one reviews the economic cooperation and financial development in the ASEAN countries. The basic characteristics of their stock markets are also discussed. Chapter two indicates that ASEAN stock markets, except for the Philippines, share a long-run co-movement, implying that an effective long-term diversification of an investor's portfolio among these stock markets cannot be achieved. The finding reveals that the stock markets of Malaysia and Singapore are under-performed relative to their long-term trends and classified as trend-dominated markets, whereas those of Indonesia and Thailand are cycle-dominated since the market indices outperform their trends. Chapter three verifies that the ASEAN's stock price indices and nominal exchange rates are bound together in a long-run relationship. A positive stock price/exchange rate relation through the inflationary effects is observed for Indonesia, Malaysia, and the Philippines, while the asset view of the exchange rate justifies the negative relation for Singapore and Thailand. The causality from stock prices to exchange rates is observed in all ASEAN countries, yet the reverse relationship is observed only for Malaysia, Singapore, and Thailand. Thus, foreign investors are recommended to adopt different investment strategies across ASEAN financial markets because of the diverse relationships between stock prices and exchange rates. Chapter four reveals that the ASEAN stock markets are generally linked to their macroeconomic variables in both long and short run. Moreover, the ASEAN stock price indices cause and are caused by their macroeconomic variables in the Granger sense. Thus, we note that ASEAN stock markets are inefficient. Therefore, investors are encouraged to thoroughly observe economic performances in the ASEAN region to maximize their earning opportunities from these stock markets. Regarding policy implications, policy makers should be cautious in their implementation of foreign exchange and macroeconomic policies since they have ramification effects on respective stock markets, and vice versa. Moreover, the finding of cointegrated ASEAN stock markets means that there is a need for policy coordination among the ASEAN to mitigate the impacts of financial fluctuations. Greater policy coordination, including the reduction or removal of trade and investment barriers, will be essential if these countries are to exploit the advantages of financial interdependence.
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[TH]Format:[/TH]
[TD]Dissertation[/TD]
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[TH]Author(s):[/TH]
[TD]Wongbangpo, Praphan[/TD]
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[TH]Published:[/TH]
[TD]2000[/TD]
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[TH]Language:[/TH]
[TD]English[/TD]
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