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首页> 外文期刊>Jurnal Akuntansi dan Keuangan >The Asean Stock Market Integration: The Effect of the 2007 Financial Crisis on the Asean Stock Indices’ Movements
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The Asean Stock Market Integration: The Effect of the 2007 Financial Crisis on the Asean Stock Indices’ Movements

机译：东盟股票市场一体化：2007年金融危机对东盟股票指数走势的影响

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This study attempts to examine the existence of cointegration relationship and the short run dynamic interaction among the five ASEAN stock market indices in the period of before and during the 2007 financial crisis. The multivariate time series analysis frameworks are employed to the series in both sub-sample periods in order to answer the hypotheses.The study finds two cointegrating vectors in the series before the financial crisis period, however it fails to detect any cointegrating vector in the period of financial crisis. Granger causality tests applied to the series reveal that number of significant causal linkages between two variables increase during the crisis period. Moreover, the accounting innovation analysis shows an increase in the explanatory power of an endogenous variable to another within the system during the crisis period, indicating that the contagious effect of the 2007-US financial crisis has entered into the ASEAN capital market, and significantly influenced the regional indices’ movements.
机译：这项研究试图检验在2007年金融危机之前和期间，东盟五种股票市场指数之间存在协整关系和短期动态相互作用。为了回答这些假设，对两个子样本期的序列采用了多元时间序列分析框架。研究发现了金融危机期之前该序列中的两个协整向量，但未能检测到该时期的任何协整向量。金融危机。应用于该系列的格兰杰因果关系检验表明，在危机期间，两个变量之间的重要因果联系数量增加了。此外，会计创新分析显示，在危机期间，系统内生变量对系统内另一个变量的解释力有所提高，这表明2007年美国金融危机的传染性影响已进入东盟资本市场，并极大地影响了东盟资本市场。区域指数的运动。

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