Stock-Bond Correlations In Asean-5: The Roles Of Financial Integration And Financial Development

Based on Markowitz’s (1952) modern portfolio theory, studies of stock-bond correlation have gained considerable attention in academia as it explores the extent of asset diversification benefit between stock and bond markets. Existing literature has shown that the asset diversification benefit in dev...

Full description

Saved in:

Bibliographic Details
Main Author:	Khalid, Muhammad Airil Syafiq Mohd
Format:	Thesis
Language:	English
Published:	2020
Subjects:	HG1-9999 Finance
Online Access:	http://eprints.usm.my/54723/1/MUHAMMAD%20AIRIL%20SYAFIQ%20BIN%20MOHD%20KHALID%20-%20TESIS%20cut.pdf
Tags:	Add Tag No Tags, Be the first to tag this record!

id	my-usm-ep.54723
record_format	uketd_dc
spelling	my-usm-ep.547232022-09-15T02:42:13Z Stock-Bond Correlations In Asean-5: The Roles Of Financial Integration And Financial Development 2020-07 Khalid, Muhammad Airil Syafiq Mohd HG1-9999 Finance Based on Markowitz’s (1952) modern portfolio theory, studies of stock-bond correlation have gained considerable attention in academia as it explores the extent of asset diversification benefit between stock and bond markets. Existing literature has shown that the asset diversification benefit in developing countries are limited due to its high-country risk, making them less attractive as a destination for investment. In a related literature, countries that engaged in higher level of financial integration initiatives have been known to provide better asset diversification benefit. This study argues that such benefit may only exist in developed countries where country risk is low as opposed to developing countries where the countries risk is high. Hence, this study aims to examine the dynamic correlation between stock returns and changes in bond yields, SBcorr, in ASEAN-5 community and how it is affected by the level of financial integration in the period of 2007 - 2016. There are four stages of analyses in this study. The first two stages examine the level of stock market integration and SBcorr using DCC-MGARCH analysis. The third and fourth stages of analysis highlight the main objective of this study, whereby the impact of financial integration on SBcorr is examined using panel data and SUR estimations, respectively. Evidently, financial integration has a negative impact on SBcorr, implying low diversification benefit, contradicting most past findings. The study contends that financial integration alone cannot provide higher diversification benefit as both stock and bond returns in ASEAN-5 are highly correlated due to high country risks. 2020-07 Thesis http://eprints.usm.my/54723/ http://eprints.usm.my/54723/1/MUHAMMAD%20AIRIL%20SYAFIQ%20BIN%20MOHD%20KHALID%20-%20TESIS%20cut.pdf application/pdf en public phd doctoral Universiti Sains Malaysia Pusat Pengajian Pengurusan
institution	Universiti Sains Malaysia
collection	USM Institutional Repository
language	English
topic	HG1-9999 Finance
spellingShingle	HG1-9999 Finance Khalid, Muhammad Airil Syafiq Mohd Stock-Bond Correlations In Asean-5: The Roles Of Financial Integration And Financial Development
description	Based on Markowitz’s (1952) modern portfolio theory, studies of stock-bond correlation have gained considerable attention in academia as it explores the extent of asset diversification benefit between stock and bond markets. Existing literature has shown that the asset diversification benefit in developing countries are limited due to its high-country risk, making them less attractive as a destination for investment. In a related literature, countries that engaged in higher level of financial integration initiatives have been known to provide better asset diversification benefit. This study argues that such benefit may only exist in developed countries where country risk is low as opposed to developing countries where the countries risk is high. Hence, this study aims to examine the dynamic correlation between stock returns and changes in bond yields, SBcorr, in ASEAN-5 community and how it is affected by the level of financial integration in the period of 2007 - 2016. There are four stages of analyses in this study. The first two stages examine the level of stock market integration and SBcorr using DCC-MGARCH analysis. The third and fourth stages of analysis highlight the main objective of this study, whereby the impact of financial integration on SBcorr is examined using panel data and SUR estimations, respectively. Evidently, financial integration has a negative impact on SBcorr, implying low diversification benefit, contradicting most past findings. The study contends that financial integration alone cannot provide higher diversification benefit as both stock and bond returns in ASEAN-5 are highly correlated due to high country risks.
format	Thesis
qualification_name	Doctor of Philosophy (PhD.)
qualification_level	Doctorate
author	Khalid, Muhammad Airil Syafiq Mohd
author_facet	Khalid, Muhammad Airil Syafiq Mohd
author_sort	Khalid, Muhammad Airil Syafiq Mohd
title	Stock-Bond Correlations In Asean-5: The Roles Of Financial Integration And Financial Development
title_short	Stock-Bond Correlations In Asean-5: The Roles Of Financial Integration And Financial Development
title_full	Stock-Bond Correlations In Asean-5: The Roles Of Financial Integration And Financial Development
title_fullStr	Stock-Bond Correlations In Asean-5: The Roles Of Financial Integration And Financial Development
title_full_unstemmed	Stock-Bond Correlations In Asean-5: The Roles Of Financial Integration And Financial Development
title_sort	stock-bond correlations in asean-5: the roles of financial integration and financial development
granting_institution	Universiti Sains Malaysia
granting_department	Pusat Pengajian Pengurusan
publishDate	2020
url	http://eprints.usm.my/54723/1/MUHAMMAD%20AIRIL%20SYAFIQ%20BIN%20MOHD%20KHALID%20-%20TESIS%20cut.pdf
_version_	1747822290969559040

Stock-Bond Correlations In Asean-5: The Roles Of Financial Integration And Financial Development

Similar Items