Cointegration relationship and switching volatility levels of stock indices: Empirical evidence from Southeast Asian markets

• Main Authors: Cervantes, Jeremy B., Cheng, Kierby Janine A., Lopena, Carissa L.
• Format: text
• Language: English
• Published: Animo Repository 2014
• Subjects: Stock price indexes > Asia, Southeastern; Stock exchanges > Philippines; Stock exchanges > Asia, Southeastern; Finance and Financial Management
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/9037
• Institution: De La Salle University

This study seeks to investigate the relationship between Philippine stock market with the ASEAN 5 member countiries (i.e. Indonesia, Malaysia, Singapore, and Thailand) and with United States. The researchers used quantitative research approaches to explore integration, market efficiency, and volatil...