Capital Market Integration In Some Asean Countries Revisited

Robiyanto Robiyanto

doi:10.24912/jm.v22i2.359

Abstract

Financial market integration in Southern Asia especially in ASEAN main member countries still attractive to scrunitized. Most of these countries were devastated during severe regional financial crisis in 1997 but global financial crisis in 2008 have different impact toward these countries. The finding shows that comovement were exist among Indonesia, Malaysia, Singapore and Thailand’s capital market during January 1997 to December 2013 period. Comovement still exist during post Asian financial Crisis 1997 and post global financial crisis 2008 period. This study conclude also that degree of integration between some ASEAN capital markets have fading out after global financial crisis in 2008. Hence, investor could formulate a portfolio which consist of stocks across ASEAN capital markets.

Highlights

Financial integration is a unified part of the ASEAN’s objective to commence ASEAN Economic Community (AEC)
The following three tables showed that the Jakarta Composite Index (JCI), KLSE, significant effect toward Thailand capital market (SET), and Strait Times Index (STI) variables had significant t value for Augmented Dickey-Fuller Test (ADF) test
Indonesia capital market was positively affected by Malaysia capital market at ten (10) percent of significance level and one (1) percent by Singapore capital market. These findings showed contradictions with the results found by Palac-McMiken (1997) and Roca et al (1998) during the pre Asia financial crisis period and even with the researches done after the crisis like Suryanta (2011) who explained the absence of comovement among the Indonesia, Malaysia, and Singapore capital markets

Summary

INTRODUCTION

Financial integration is a unified part of the ASEAN’s objective to commence ASEAN Economic Community (AEC). Based on the assumptions that a research on the integration of capital markets in ASEAN region using the latest data is still required, this study attempts to review the integration of some capital markets in ASEAN region like Singapore Stock Exchange, Indonesia Stock Exchange, Kuala Lumpur Stock Exchange, Stock Exchange Thailand until the period of December 2013. Based on the data obtained between January 1987 to October 1995, Palac-McMiken (1997) reviewed the integration of some capital markets in the ASEAN region included Jakarta Stock Exchange, Philippines Stock Exchange, Kuala Lumpur Stock Exchange, Singapore Stock Exchange, and Stock Exchange Thailand. A more detailed research on the integration among Indonesia, Malaysia, Singapore, Thailand, and Philippines capital markets was elaborated by Karim and Karim (2012) They used data obtained during January 1988 to December 2010 which divided into three main periods, i.e. pre 1997, post 1997, and post US financial crisis (subprime mortgage). The periods were January 1997 to December 2013 or the overall period, July 1997 to September 2008 or post Asia financial crisis 1997 period, and October 2008 to December 2013 or post global financial crisis 2008 period

RESULTS

11. Results

CONCLUSION