The Dynamics Of Market Integration Level And Its Determinants For Asean-5

Although debates on the stock market integration have emerged from academicians and practitioners, no firm conclusions about its nature and behavior have been fully drawn. While stock market integration gives a few important benefits such as fostering development of financial markets and reducing the cost of financial intermediation, highly integrated market may also eliminate the benefit of portfolio diversification and facilitates contagion effect. Unlike most previous studies that assumed constant level of stock market integration, this thesis employs Kalman filter (KF) technique to investigate the time-varying stock market integration level of ASEAN-5 stock markets with the world market