An empirical analysis of stock market integration: Comparison study of Singapore and Malaysia

• Main Authors: YI, Zheng, TAN, Swee Liang
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2009
• Subjects: Financial market liberalization; stock market integration; GARCH model; systematic risks; specific risks; Asian Studies; Finance
• Online Access: https://ink.library.smu.edu.sg/soe_research/1092; https://ink.library.smu.edu.sg/context/soe_research/article/2091/viewcontent/EmpiricalAnalyStockMktIntegration_2009_SER_afv.pdf
• Institution: Singapore Management University

Using a GARCH (1,1) model, this paper compares the extent to which financial sector liberalization in Singapore and Malaysia each has led to integration of its domestic equity market with external markets. The results show that the level of integration of the domestic markets with the external marke...