Consistency and Dynamics of the Pattern of Integration in ASEAN Stock Markets

Abstract

Objective: The pattern of integration is almost untouched topic in studies of capital market. This study aims at showing the pattern in ASEAN capital markets. Methodology: By using General Vector Auto Regression (GVAR), which includes many control variables of global capital markets, the study found that the integration in ASEAN markets is almost fully integrated. Except the relation between Philippines’ capital Market and the Singapore’s capital market, all other markets are fully integrated significantly. The integration exists at time zero (0), while at lag 1 and lag 2 periods it reduces sharply and become insignificant. Findings: These findings guide policy makers to pay more attention to any abnormal change in any ASEAN capital markets. A shock in any ASEAN market will easily and quickly affects all other markets in ASEAN region. Application: The care should be more on the markets that have both direction and single direction impact.