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The effect of contagion on stock market development in the Asean 5: A seemingly unrelated regression analysis


Mat Yusoff, Mohd Yushairi and Hassan, Sallahuddin (2018) The effect of contagion on stock market development in the Asean 5: A seemingly unrelated regression analysis. Academy of Accounting and Financial Studies Journal, 22 (4). pp. 1-7. ISSN 1528-2635-22-4-251

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Abstract

The aim of this paper is to empirically examine the effect of contagion from the United States stock market on stock market development in ASEAN-5 countries. By using data from 1990-2014, Seemingly Unrelated Regression estimation results show that the contagion effect from the United States was displayed by considering interaction term which also support Thornton’s Contagion Theory. Thus, prudential initiatives such as government support, trading supervision, trade openness and the inspiration towards an integrated stock market are recommended.

Item Type: Article
Uncontrolled Keywords: Stock Market Development, ASEAN-5 Country
Subjects: H Social Sciences > HC Economic History and Conditions
Divisions: School of Economics, Finance & Banking
Depositing User: Mrs. Norazmilah Yaakub
Date Deposited: 16 Jan 2019 01:26
Last Modified: 16 Jan 2019 01:26
URI: http://repo.uum.edu.my/id/eprint/25442

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