Measuring the effectiveness of ASEAN-5 initiatives from emerging market portfolio’s perspective
ASEAN nations started ASEAN Economic Community (AEC) initiatives, with the goal of improving the economic movement in ASEAN. The initiative is expected to lead to higher integration in the regions. The objective of this research was to study the integration of equity markets in the ASEAN-5 nations (...
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Taylor & Francis Group
2023-12-01
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| Series: | Cogent Business & Management |
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| Online Access: | https://www.tandfonline.com/doi/10.1080/23311975.2023.2167292 |
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| author | Robiyanto Robiyanto Bayu Adi Nugroho Eka Handriani Budi Frensidy |
| author_facet | Robiyanto Robiyanto Bayu Adi Nugroho Eka Handriani Budi Frensidy |
| author_sort | Robiyanto Robiyanto |
| collection | DOAJ |
| description | ASEAN nations started ASEAN Economic Community (AEC) initiatives, with the goal of improving the economic movement in ASEAN. The initiative is expected to lead to higher integration in the regions. The objective of this research was to study the integration of equity markets in the ASEAN-5 nations (Indonesia, Malaysia, Singapore, Thailand, and the Philippines), particularly those involving the Indonesian stock market (Indonesia’s economy is the largest in the region), and to analyze the diversification opportunities among ASEAN equity exchanges. Theoretically, capital markets in these nations should be more integrated following the introduction of AEC due to the integration of their economy and removal of several investment restrictions, including foreign ownership limitation. The data used was weekly data was used from January 2000 to June 2019, which was divided into four periods: pre-crisis, crisis, post-crisis and AEC. The methods used were DCC-GARCH, AG-DCC, volatility spillovers, Granger causality and diversification ratio from the mean-variance framework. The results showed robust evidence that there were still less integrated equity markets in ASEAN-5. The volatility spillover declined during the post-crisis period and was relatively stable during the AEC period. This result implies that ASEAN-5 initiatives have an impact on the capital markets. However, the implementation of the AEC is still far from successful since the equity exchanges have become less integrated than in the post-crisis period. Investors in Malaysia, Singapore, and the Philippines are encouraged to avoid investing heavily in Indonesia and Thailand equities during market turmoil since both are net contributors to volatility. |
| format | Article |
| id | doaj-art-fe7fa5d0f7964a70a39204b85d6acbf6 |
| institution | OA Journals |
| issn | 2331-1975 |
| language | English |
| publishDate | 2023-12-01 |
| publisher | Taylor & Francis Group |
| record_format | Article |
| series | Cogent Business & Management |
| spelling | doaj-art-fe7fa5d0f7964a70a39204b85d6acbf62025-08-20T02:09:40ZengTaylor & Francis GroupCogent Business & Management2331-19752023-12-0110110.1080/23311975.2023.2167292Measuring the effectiveness of ASEAN-5 initiatives from emerging market portfolio’s perspectiveRobiyanto Robiyanto0Bayu Adi Nugroho1Eka Handriani2Budi Frensidy3Department of Management, Faculty of Economics and Business, Satya Wacana Christian University, Salatiga, IndonesiaDepartment of Management, STIE YKPN School of Business Jl. Seturan Raya, Caturtunggal, Yogyakarta, IndonesiaDepartment of Accounting, Faculty of Economics and Business, Universitas Indonesia,Kampus Universitas Indonesia, Depok 16424, West Java, IndonesiaDepartment of Accounting, Faculty of Economics and Business, Universitas Indonesia,Kampus Universitas Indonesia, Depok 16424, West Java, IndonesiaASEAN nations started ASEAN Economic Community (AEC) initiatives, with the goal of improving the economic movement in ASEAN. The initiative is expected to lead to higher integration in the regions. The objective of this research was to study the integration of equity markets in the ASEAN-5 nations (Indonesia, Malaysia, Singapore, Thailand, and the Philippines), particularly those involving the Indonesian stock market (Indonesia’s economy is the largest in the region), and to analyze the diversification opportunities among ASEAN equity exchanges. Theoretically, capital markets in these nations should be more integrated following the introduction of AEC due to the integration of their economy and removal of several investment restrictions, including foreign ownership limitation. The data used was weekly data was used from January 2000 to June 2019, which was divided into four periods: pre-crisis, crisis, post-crisis and AEC. The methods used were DCC-GARCH, AG-DCC, volatility spillovers, Granger causality and diversification ratio from the mean-variance framework. The results showed robust evidence that there were still less integrated equity markets in ASEAN-5. The volatility spillover declined during the post-crisis period and was relatively stable during the AEC period. This result implies that ASEAN-5 initiatives have an impact on the capital markets. However, the implementation of the AEC is still far from successful since the equity exchanges have become less integrated than in the post-crisis period. Investors in Malaysia, Singapore, and the Philippines are encouraged to avoid investing heavily in Indonesia and Thailand equities during market turmoil since both are net contributors to volatility.https://www.tandfonline.com/doi/10.1080/23311975.2023.2167292ASEAN Economic Communitydynamic portfolioemerging marketdiversification ratioportfolioG11 |
| spellingShingle | Robiyanto Robiyanto Bayu Adi Nugroho Eka Handriani Budi Frensidy Measuring the effectiveness of ASEAN-5 initiatives from emerging market portfolio’s perspective Cogent Business & Management ASEAN Economic Community dynamic portfolio emerging market diversification ratio portfolio G11 |
| title | Measuring the effectiveness of ASEAN-5 initiatives from emerging market portfolio’s perspective |
| title_full | Measuring the effectiveness of ASEAN-5 initiatives from emerging market portfolio’s perspective |
| title_fullStr | Measuring the effectiveness of ASEAN-5 initiatives from emerging market portfolio’s perspective |
| title_full_unstemmed | Measuring the effectiveness of ASEAN-5 initiatives from emerging market portfolio’s perspective |
| title_short | Measuring the effectiveness of ASEAN-5 initiatives from emerging market portfolio’s perspective |
| title_sort | measuring the effectiveness of asean 5 initiatives from emerging market portfolio s perspective |
| topic | ASEAN Economic Community dynamic portfolio emerging market diversification ratio portfolio G11 |
| url | https://www.tandfonline.com/doi/10.1080/23311975.2023.2167292 |
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