Annisa Nadhira (2016) An Examination Of Stock Market Dynamic Interdependence: Anevidence From Six Asean Countries
This paper start ed by presenting overview of ASEAN as a regional organization and how it is developing into an economic community. Subsequently, the analysis is focused on portraying each capital market characteristics and the examination of dynamic interdependence of sto ck markets in several ASEAN countries by observing several stock market indexes of ASEAN countries by employing vector autoregressions (VAR) model and Johanssen cointegration analysis to model the dynamic interdependencies of several ASEAN capital markets. According to finance theory, investors acquire higher gains from portfolio diversification when returns of stocks in the portfolio are not perfectly correlated. In this study, we particularly examine the degree to which stock market index returns in sever al ASEAN countries are interdependent of each other. The investigation starts by testing for a unit root of the data by employing augmented Dickey - Fuller (ADF) test as regressing non - stationary variables would result in misleading statistical inference fro m the data. Subsequently, Akaike Information Criterion (AIC), Schwartz Criterion (SC), and Hannan - Quinn Information Criterion (HC) would be utilized to test and decide the optimal lag for the model. Finally, Johanssen test and multivariate Granger Causalit y are employed to test for cointegration and causal relationship between each variable. Nonetheless, this study found that there exists long - run cointegration between several ASEAN countries.
Keywords: Stock Markets, ASEAN, Equity Indexes, Cointegration, VAR, Granger Causality