Since 2014
Contagion Effect of Seasonality in the ASEAN Plus 3 Equity Markets
Jurnal Ekonomi Malaysia
View Archive Info| Field | Value | |
| Title |
Contagion Effect of Seasonality in the ASEAN Plus 3 Equity Markets
|
|
| Creator |
Abd. Rahim, Ruzita
Mohd Nor, Abu Hassan Shaari |
|
| Subject |
—
— — |
|
| Description |
ABSTRACTThis study investigates the presence of contagion effect of seasonality in the ASEAN plus 3 markets. The study employs the month-end closing prices of each market's broad based stock indexes over the period of 20 yearsfrom January 1987 to December2006, The analysis begins by establishing evidence of seasonality effect in sample markets. Using Granger causality approach, the study finds evidence of causal linkages with Hong Kong and Korea prevailing as leaders to the other ASEAN markets. The timeseries regression analysis confirms that these markets, particularly Korea, have contagion effect on stock returns in Singapore and Malaysia. The study further investigates for the causal linkages due specifically to seasonality effect. Consistent with the results in the general market conditions, Korea remains the leader market in the ASEAN region as well as Hong Kong. Overall, the results lend strong support to the view that seasonality effect in some stock markets is contagious. Specifically, seasonality in Malaysia, Indonesia as well as Hong Kong can be significantly predicted by similar trends in Korea. However, in predicting , seasonality in Singapore, the contagion efect from Malaysia and Indonesia are even more significant than that from Korea. From investment standpoint, the findings imply that investors in these affected (follower) markets should observe the trends in the leader markets in order to improve their chance to exploit the seasonality effect.ABSTRAKKajian ini menguji kewujudan jangkitan, kesan bemusim dalam pasaran pasaran ASEAN + 3. Kajian menggunakan harga penutup akhir bulan indeks utama setiap pasaran bagi tempoh 20 tahun dari Januari 1987hingga Disember 2006. Analisis dimulakan dengan memperoleh bukti kesan bermusim dalam sampel pasaran. Menggunakan pendekatan sebab akibat Granger, kajian memperolehi bukti hubungan penyebab yang menyarankan Hong Kong dun Korea bertindak sebagai pemimpin kepada pasaran-pasaran ASEAN. Analisis regresi siri masa mengesahkan bahawa pasaran-pasaran tersebut, khususnya Korea, mempunyai kesan jangkitanke atas pulangan di Singapura dan Malaysia. Kajian seterusnya rnemfokus kepada hubungan sebab-akibat yang melibatkan kesan bemusim. Selari dengan hasil yang diperoleh dari keadaan pasaran secara umum, Koreakekal pasaran pemimpin bagi rantau ASEAN dan juga Hong Kong. Secara keseluruhan, hasil kajian menyediakan sokongan kukuh kepada pendapat bahawa dalam beberapa pasaran tertentu, kesan berrnusimnya boleh berjangkit ke pasaran lain. Secara khusus, kesan bermusim di Malaysia, Indonesia, dan Hong Kong boleh diramalkan secara signifikan berdasarkan tren yang sama di Korea. Manakala dalam kes Singapura, kesan bermusimnya boleh diramalkan dengan secara yang lebih signifikan berdasarkan kesan bemusim di Malaysia dan Indonesia berbanding dengan kesan bermusim di Korea. Dari sudut pelaburan, penemuan kajian ini menyarankan bahawa para pelabur di pasaran pengikut sepatutnyamemerhatikan trend di pasaran pemimpin untuk meningkatkan peluang mereka dalam pengeksploitasian kesan bemusim.
|
|
| Publisher |
Universiti Kebangsaan Malaysia
|
|
| Contributor |
—
|
|
| Date |
2007-12-31
|
|
| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article — |
|
| Format |
application/pdf
|
|
| Identifier |
http://ejournal.ukm.my/jem/article/view/1586
|
|
| Source |
Jurnal Ekonomi Malaysia; Vol 41 (2007): Jurnal Ekonomi Malaysia
0126-1962 |
|
| Language |
eng
|
|
| Relation |
http://ejournal.ukm.my/jem/article/view/1586/1371
|
|
| Coverage |
—
— — |
|