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ON ASEAN CAPITAL MARKET AND INDUSTRY INTEGRATION: A REVIEWDownload This Article
Hung Quang Do, M. Ishaq Bhatti, László Kónya
Due to the benefits of investment diversification across markets and industries, and the increasing importance of ASEAN capital markets, this paper attempts to review recent studies on capital market integration and investment implications in six selected ASEAN countries. Several methodologies including VAR, GARCH, Copula and DCC, Bayesian approach, CAPM and factor models have been examined in this research. Most of the existing studies consider the capital market integration and its investment implications at a country level, whereas this paper attempts to extend the analysis to the industry level of integration. It also reviews the uses of a VARMA-MGARCH-asymmetric BEKK models to investigate the integration at industry levels in recommending investment diversification. The findings of this paper may provide guidance to academia, investors and policy makers on asset diversification.
Keywords: ASEAN countries, Capital market integration, Portfolio selection, Investment Implications
How to cite this paper: Do, H.Q., Bhatti, M. I., Kónya, L. (2016). On ASEAN capital market and industry integration: A review. Corporate Ownership & Control, 13(2), 8-22. http://dx.doi.org/10.22495/cocv13i2p1