| dc.description.abstract | Iqbal Himawan (2007), "Analysis of the Co Integration ofASEAN Stock Market by
applying ARDL Approach, 1990. i - 2Q04.ii'. Faculty ofEconomics, Developmental Economics
Studies, International Program, Islamic University of Indonesia, Yogyakarta.
This study seeks to examine the dynamic interactions of stock price indices in four
ASEAN countries, Indonesia; Malaysia; the Philippines; and Singapore, with particular attention
to the 1997 Asian financial crisis and period onwards. Using quarterly time series data of the
stock price indices countries, a Johansen co integration test is employed to empirically examine
the interaction among the variables.
The finding is that the four ASEAN stock market prices were found to be integrated
during the sample period, and the Auto Regressive Distributive Lags (ARDL) shows the short
run dynamic interactions among those stock markets. The important implication might be drawn
from the finding is that portfolio diversification across the four ASEAN stock markets is unlikely
to reduce investment riskdueto high degree of financial integration of these markets. | en_US |
