Citation:

Riko Hendrawan. "Are Southeast Asian Stock Exchanges Integrated?" International Research Journal of Economics and Management Studies, Vol. 4, No. 7, pp. 169-171, 2025.

Abstract:

The purpose of this study is to test the cointegration of stock exchanges in Southeast Asia, namely the Indonesian, Singapore, Malaysian, Thai, and Philippine Stock Exchanges, using data from January 2010 to December 2022. The study's results, as determined by the Johansen Test, which examined the number of integrated vectors at 1% and 5% significance levels, revealed five integrated vectors at both levels. These integrated vectors illustrate the presence of cointegration, or long-term equilibrium, among the Southeast Asian stock exchanges. The integration of Asian stock exchanges enables investors to diversify their portfolios across countries whose stock exchanges are the focus of this study. Future research should expand the sample of stock exchanges and examine short-term relationships between exchanges across Asia, as this study did not examine short-term relationships.

References:

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Keywords:

ASEAN, Cointegration, Johansen Co-Integration Test.