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Stability in ASEAN+3 exchange markets: An EGARCH-M approach

Rahman, Md. Saifur and Shahari, Farihana (2015) Stability in ASEAN+3 exchange markets: An EGARCH-M approach. WSEAS Transactions on Business and Economics, 12. pp. 426-431. ISSN 1109-9526 E-ISSN 2224-2899

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Abstract

This paper empirically investigates the advancement of exchange markets’ stability and comovement after the ASEAN+3 financial cooperation agreement. The study employs EGARCH-in-mean approach and uses daily exchange rates. The findings indicate that: 1) the exchange market volatility is resulted from regional markets’ shocks during both of pre and post-agreement periods, 2) the ASEAN+3 exchange markets progressed substantial development during post-agreement, 3) both of high and low income economies are improving the exchange market stability in a cooperative way regardless of income level, and 4) the overall impact of ASEAN+3 financial cooperation leads to stabilize the regional exchange markets.

Item Type: Article (Journal)
Additional Information: 7791/52785
Uncontrolled Keywords: ASEAN+3, financial integration, Exchange market, E-GARCH, exchange markets, market stability
Subjects: H Social Sciences > HG Finance > HG3810 Foreign exchange
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button): Kulliyyah of Economics and Management Sciences > Department of Finance
Depositing User: Farihana Shahari
Date Deposited: 22 Nov 2016 10:52
Last Modified: 01 Dec 2016 21:35
URI: http://irep.iium.edu.my/id/eprint/52785

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