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

Additional URL

https://doi.org/10.1142/S021759080900332X

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