AN EMPIRICAL ANALYSIS OF STOCK MARKET INTEGRATION: COMPARISON STUDY OF SINGAPORE AND MALAYSIA

Zheng Yi and Swee-Liang Tan ()
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Zheng Yi: School of Finance, Southwestern University of Finance and Economics, Chengdu, China 611130, China
Swee-Liang Tan: School of Economics, Singapore Management University, 90 Stamford Road, Singapore 178903, Singapore

The Singapore Economic Review (SER), 2009, vol. 54, issue 02, 217-232

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 (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1142/S021759080900332X

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