Stock Market and Real Interest Rate of ASEAN Countries: Are they Cointegrated?
Suhal Kusairi; Nur Azura Sanusi ; Abdul Ghafar Ismail

Abstract
The objective of this research is to investigate the new linkage pattern of financial market among the ASEAN countries. The research is eager to answer and explain the effect changes of ASEAN stock prices and real interest rate from particular ASEAN country to others countries. Using monthly data over study period 1991-2011 and apply the Cointegration and Vector Error Correction Model (VECM), we found that there were some the linkage of financial market activities among countries in short run and long run. But the level of integration occurs between two countries definitely depends on financial infrastructure of each ASEAN country members like the degree of financial liberalization. Implication of the results could be used to manage the government's monetary policy and applicable to investment decision maker for investors that interested in the region.

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