Publication Type
Journal Article
Version
acceptedVersion
Publication Date
6-2009
Abstract
Using a GARCH (1,1) model, this paper compares the extent to which financial sector liberalization in Singapore and Malaysia each has led to integration of its domestic equity market with external markets. The results show that the level of integration of the domestic markets with the external markets is higher when MSCI regional and global data are used, as compared to when individual country data are used to proxy regional and global markets. Inferences are made about the preferred pace of liberalization in Singapore, as well as, the impact of the Asian financial crisis and capital control measures imposed in Malaysia on financial integration, in the respective countries under study.
Keywords
Financial market liberalization, stock market integration, GARCH model, systematic risks, specific risks
Discipline
Asian Studies | Finance
Research Areas
Macroeconomics
Publication
Singapore Economic Review
Volume
54
Issue
2
First Page
217
Last Page
232
ISSN
0217-5908
Identifier
10.1142/S021759080900332X
Citation
YI, Zheng and TAN, Swee Liang.
An empirical analysis of stock market integration: Comparison study of Singapore and Malaysia. (2009). Singapore Economic Review. 54, (2), 217-232.
Available at: https://ink.library.smu.edu.sg/soe_research/1092
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1142/S021759080900332X