Assessment of the Financial Markets Integration of the ASEAN5

Lucio, Eduardo Barro (2013) Assessment of the Financial Markets Integration of the ASEAN5. Asian Journal of Public Affairs, 6 1: 53-78.

Author Lucio, Eduardo Barro
Title Assessment of the Financial Markets Integration of the ASEAN5
Journal name Asian Journal of Public Affairs
ISSN 1793-5342
Publication date 2013-05-01
Sub-type Article (original research)
Volume 6
Issue 1
Start page 53
End page 78
Total pages 16
Place of publication Singapore, Singapore
Publisher National University of Singapore, Lee Kuan Yew School of Public Policy
Collection year 2014
Language eng
Formatted abstract
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.
Q-Index Code C1
Q-Index Status Provisional Code
Institutional Status Non-UQ

Document type: Journal Article
Sub-type: Article (original research)
Collection: School of Social Science Publications
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Created: Mon, 03 Aug 2015, 12:45:45 EST by Eduardo Lucio on behalf of School of Social Science