National University of Singapore, Lee Kuan Yew School of Public Policy
The paper investigates the progress of the bonds and equities markets integration in the economies of Indonesia, Malaysia, Philippines, Singapore, and Thailand. The research assesses the integration using a combination of Principal Components Analysis, Cluster Analysis, and DCC-GARCH model. The analysis show that the group’s equities market integration is improving over time and is more integrated regionally than globally. Conversely, the bonds market integration remains weak both at the regional and global level. The paper also show that both for equities and bonds market, the region clusters based on the each country’s degree of market development. The relatively less developed equities markets of Philippines, Indonesia, and Thailand have a greater similarity, while the markets of Singapore and Malaysia tend to cluster together. Meanwhile, the bonds markets of Singapore, Malaysia, and Thailand have greater similarities within each other than the bonds markets of Indonesia and Philippines.