The Dynamics Co-movement Toward Among Capital Markets in ASEAN Exchanges: C-D Vine Copula Approach

Abstract

ASEAN Exchanges has target to develop the ASEAN asset class. Therefore, the knowledge of international capital market needs to study more. The ASEAN Exchanges is a collaboration of the seven country stock exchanges such as Malaysia's stock market, Vietnam's stock market (this country has 2 stock exchanges), Indonesia's stock market, Philippines's stock market, Thailand's stock exchange and Singapore's stock market. But in 2012 until 2013, the only three of them such as Thailand's stock exchange, Malaysia's stock market and Singapore's stock market have already started for collaboration. The copula approach was become more standard tool for business and economics analysis especially the tool for analysis in international capital market. The specific objective of research aims to investigate the dynamics co-movement between capital markets in ASEAN Exchanges for during period of 2012-2013. The results of this study based on C-D Vine copula approach found the dynamics co-movement among of capital markets in ASEAN Exchanges. In addition, the C-D Vine copula approach in Elliptical distribution based was cleared for dynamics co-movement among of them. ASEAN Stock Exchanges collaborate achieved through creating ASEAN investment promotion for more investors and protection investment. ASEAN countries have strengthened the economic opportunities and opened up the formation of economic securities in an ASEAN Stock Exchanges.