Capital market integration in ASEAN: A non-stationary panel data analysis |
| |
| Institution: | 1. McMaster University, Canada;2. Nanjing University of Finance and Economics, China;3. Guangdong University of Foreign Studies, China;1. Advanced Manufacturing Technology Research Centre, Department of Industrial and Systems Engineering, The Hong Kong Polytechnic University, Hong Kong;2. State Key Lab for Materials Processing and Die & Mould Technology, School of Materials Science and Engineering, Huazhong University of Science and Technology, Wuhan 430074, China;3. Jiangsu Key Laboratory of Advanced Metallic Materials, School of Materials Science and Engineering, Southeast University, Nanjing 211189, China;1. Department of Economics, Yokohama National University, Japan;2. School of Business and Law, Edith Cowan University, Australia;3. Faculty of Economics, Gakushuin University, Japan;1. Department of Economics, Seoul National University, San 56-1, Sillim-Dong, Gwanak-Gu, Seoul 151-746, Republic of Korea;2. MaebongGil 15, OksuDong, SeongdongGu, Seoul, 133-100, Republic of Korea |
| |
| Abstract: | Motivated by the establishment of ASEAN Economic Community (AEC) at the end of 2015, we examine saving-investment relationship in various subgroups of ASEAN to assess their capital market integration. The results from second generation panel unit-root and cointegration tests that account for cross-sectional dependence as well as estimates of long-run saving-retention rate provide some evidence of market integration in ASEAN. The analysis of short-run dynamics suggests that capital mobility in ASEAN during 1980–2014 appears similar to that in OECD countries during 1970–1999. More importantly, across different panel estimators and subgroups of membership, there is considerable heterogeneity among the member countries. The saving-investment association is very weak, thereby implying very high capital mobility, in more developed members such as Singapore, Malaysia, and Brunei; the association is very strong, implying very low capital mobility, for much less developed members such as Laos, Myanmar, and Cambodia. The results call for renewed effort to develop capital markets in less developed nations and integrate them with the rest of the membership in ASEAN. In this paper, we also address several major shortcomings of the original Feldstein-Horioka framework. |
| |
| Keywords: | ASEAN Capital market integration Saving-investment correlation Capital mobility Panel cointegration |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
