TY - JOUR
T1 - A different view on ASEAN capital market integration
AU - Robiyanto, Robiyanto
AU - Frensidy, Budi
AU - Setyawan, Ignatius Roni
AU - Huruta, Andrian Dolfriandra
N1 - Funding Information:
Funding: This research was funded by Direktorat Riset dan Pengabdian Masyarakat, Kementerian Pen-didikan, Kebudayaan, Riset dan Teknologi (Directorate of Research and Community Service, Ministry of Education, Culture, Research, and Technology), Indonesia. Grant Number: 166/E4.1/AK.04.PT/2021. The APC was funded by Direktorat Riset dan Pengabdian Masyarakat, Kementerian Pendidikan, Kebu-dayaan, Riset dan Teknologi (Directorate of Research and Community Service, Ministry of Education, Culture, Research and Technology), Indonesia.
Publisher Copyright:
© 2021 by the authors. Licensee MDPI, Basel, Switzerland.
PY - 2021/12
Y1 - 2021/12
N2 - Capital market integration has become an interesting research topic nowadays. Many studies have tried to explain this phenomenon using various methods. Here, we used sophisticated methods to explain capital market integration. This study aims to scrutinize the Association of Southeast Asian Nations (ASEAN) capital market integration. This study hopefully can enrich the different views regarding the capital market integration and fill the gap left by previous studies. The data used were the stock price index of the monthly closing data of the capital markets in ASEAN countries during the period of January 1999 to December 2020, obtained from Bloomberg and the Indonesia Stock Exchange. Data in this study were analyzed using the wavelet method. The results indicate that there is a long-term integration in the capital markets of ASEAN countries, and the highest level of integration was in the period during and about a year after the global crisis. Using the spectrum analysis, the results show that during period from 2008 to 2010, the level of integration reached its highest level.
AB - Capital market integration has become an interesting research topic nowadays. Many studies have tried to explain this phenomenon using various methods. Here, we used sophisticated methods to explain capital market integration. This study aims to scrutinize the Association of Southeast Asian Nations (ASEAN) capital market integration. This study hopefully can enrich the different views regarding the capital market integration and fill the gap left by previous studies. The data used were the stock price index of the monthly closing data of the capital markets in ASEAN countries during the period of January 1999 to December 2020, obtained from Bloomberg and the Indonesia Stock Exchange. Data in this study were analyzed using the wavelet method. The results indicate that there is a long-term integration in the capital markets of ASEAN countries, and the highest level of integration was in the period during and about a year after the global crisis. Using the spectrum analysis, the results show that during period from 2008 to 2010, the level of integration reached its highest level.
KW - ASEAN capital markets
KW - Indonesia Stock Exchange
KW - Integration vs. segmentation
KW - Spectrum analysis
KW - Wavelet analysis
UR - http://www.scopus.com/inward/record.url?scp=85117187353&partnerID=8YFLogxK
U2 - 10.3390/economies9040141
DO - 10.3390/economies9040141
M3 - Article
AN - SCOPUS:85117187353
SN - 2227-7099
VL - 9
JO - Economies
JF - Economies
IS - 4
M1 - 141
ER -