Title

Modelling Nonlinear Relationship among Selected ASEAN Stock Markets

DOI

10.6339/JDS.2008.06(4).427

Authors

Mohd Tahir Ismail;Zaidi Bin Isa

Key Words

Markov switching vector autoregression model ; nonlinearity ; stock price

PublicationName

Journal of Data Science

Volume or Term/Year and Month of Publication

6卷4期(2008 / 10 / 01)

Page #

533 - 545

Content Language

英文

English Abstract

The Asian financial crisis that struck most of the East Asian countries in 1997 have caught the attention of many researchers in finance and economic. This is due to realization that during the crisis the countries affected saw their currencies depreciate for more than 50% and their stock markets sharply fall about 30% to 50%. In this paper, we investigate the relationship among the return of stock markets from three Southeast Asian countries (Malaysia, Singapore and Thailand) or the ASEAN countries using monthly data between 1990 and 2004. We found the three stock markets are not cointegrated. Therefore, instead of modelling the returns data using linear vector autoregressive (VAR) models, we assume the returns data are regime-dependent and we use the two regime multivariate Markov switching vector autoregressive (MS-VAR) model with regime shifts in both the mean and the variance to extract common regime shifts behaviour from the return series. It is found that MS-VAR model with two regimes manage to detect common shifts in all the stock markets return series and this show evidence of comovement among the three returns series. Furthermore, we also found that the MS-VAR model manage to capture a satisfactory timing of the 1997 financial crisis that happen in the three countries.

Topic Category 基礎與應用科學 > 資訊科學
基礎與應用科學 > 統計
Times Cited
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