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Does trade matter for stock market integration?

Abdul Karim, Bakri and Abd. Majid, M. Shabri (2010) Does trade matter for stock market integration? Studies in Economics and Finance, 27 (1). pp. 47-66. ISSN 1086-7376

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Purpose – The purpose of this paper is to re-examine the stock market integration and short-run dynamic interactions between the Malaysian stock market and the stock markets of its major trading partners (the USA, Japan, Singapore, China and Thailand). Design/methodology/approach – Weekly stock indices spanning from January 1992 to May 2008 is analysed using autoregressive distributed lag (ARDL) bound testing approach and vector autoregression (VAR) framework. Findings – Stock markets of Malaysia and its major trading partners are found to be integrated. To some extent, it is found that trade does matter for stock market integration. Additional, geographical proximity and close relationship between the countries further contributes towards a greater integration between them. To move forward to a greater financial integration among these countries, trade liberalisation, including reduction or removal of trade and investment barriers would be necessary. Originality/value – This paper is among the first attempts to use ARDL and VAR frameworks to examine integration among the stock markets of Malaysia and its major trading partners. The findings of the study would shed some empirical lights for the purpose of policy making.

Item Type: Article (Journal)
Additional Information: 5058/20829
Uncontrolled Keywords: Integration, Malaysia, Partners, Stock markets, Trade
Subjects: H Social Sciences > HF Commerce
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button): Kulliyyah of Economics and Management Sciences
Kulliyyah of Economics and Management Sciences > Department of Economics
Depositing User: Mrs. Wan Salwati Wan Salleh
Date Deposited: 21 Feb 2012 19:32
Last Modified: 21 Feb 2012 19:33
URI: http://irep.iium.edu.my/id/eprint/20829

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