Please use this identifier to cite or link to this item:
Full metadata record
DC FieldValueLanguage
dc.contributor.authorPattamon Pongkongkaewen_US
dc.contributor.authorSatawat Wannapanen_US
dc.contributor.authorPrasert Chaitipen_US
dc.contributor.authorChukiat Chaiboonsrien_US
dc.description.abstract© 2020, Universita Putra Malaysia. This paper was proposed to focus on the dependence structure of economics cycles (economic booms and recessions) among ASEAN-5 stock indexes which were the Philippines stock market (The Philippines Composite index: PSEi), Indonesia Stock market (Jakarta Composite Index: JCI), Malaysia stock market (FTSE Bursa Malaysia KLCI: FTSE), Thailand stock market (SET Index: SET) and Singapore Stock Market (The Straits Time Index: SGX). The data was transformed to be standardized residuals and observed as monthly samples during 2001 to 2018. Technically, Markov Switching Bayesian Vector Autoregressive model (MSBVAR) and CD-Vine Copula approaches were applied to do econometrical estimations in this study. The MSBVAR model was used to determine regime switching of the data set. For CD-Vine copula models, they were employed to computationally seek dependence structures. To exemplify each state of regimes, the Elliptical copula model was chosen to structurally define the relation among ASEAN-5 stocks. Empirically, the result represented the dynamics co-movement of each stock. CD-Vine copula trees showed that the PSEi index and JCI contained the strongly structural dependence in economic booming situations of the pre-crisis period. On the other hand, in the post-crisis period, PSEi had the strongly dependence connection with FTSE Bursa Malaysia. Thus, capital flows between Philippines and Indonesia were financially changed from flowing between Philippines and Indonesia to Philippines and Malaysia after crises. However, in the case of economic recessions, the result showed that there was the independent structure among ASEAN-5 stocks, both in pre-crisis and post crisis.en_US
dc.subjectBusiness, Management and Accountingen_US
dc.subjectEconomics, Econometrics and Financeen_US
dc.titleModeling dependence structure of evidence from ASEAN-5 stock market patternsen_US
article.title.sourcetitleInternational Journal of Economics and Managementen_US
article.volume14en_US Mai Universityen_US
Appears in Collections:CMUL: Journal Articles

Files in This Item:
There are no files associated with this item.

Items in CMUIR are protected by copyright, with all rights reserved, unless otherwise indicated.