Cointegration relationship and switching volatility levels of stock indices: Empirical evidence from Southeast Asian markets

Date of Publication

2014

Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Management of Financial Institutions

Subject Categories

Finance and Financial Management

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management

Thesis Adviser

Robert Dan Roces

Defense Panel Member

Patrick Caoile

Ma. Esperanza Joven

John Carlo Ayson

Abstract/Summary

This study seeks to investigate the relationship between Philippine stock market with the ASEAN 5 member countiries (i.e. Indonesia, Malaysia, Singapore, and Thailand) and with United States. The researchers used quantitative research approaches to explore integration, market efficiency, and volatilities of the indices. Based on the variance ratio test, only the Kuala Lumpur composite index (KLCI) shows weak form efficiency. Furthermore, there is no evidence of any long run relationship between the stock indices, as shown in the Johansen cointegration test. The non-existence of a strong long-run relationship may give potential benefits for investors to diversify their portfolio in the South East Asian region. Moreover all the stock indices Granger cause Philippine Stock Exchange composite index (PSEi) but the PSEI only Granger causes KLCI and the Stock Exchange of Thailand index (SET). For all stock indices, it is found out that the estimated likelihood of being in the low volatility state is the highest, implying that crisis do not occur frequently and stock indices have higher tendencies of having low volatility.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU21672

Shelf Location

Archives, The Learning Commons, 12F, Henry Sy Sr. Hall

Physical Description

80 leaves ; 28 cm.

Keywords

Stock price indexes--Asia, Southeastern; Stock exchanges--Philippines; Stock exchanges--Asia, Southeastern

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