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Laura Grace Gabriella
Bank Indonesia
Economics, Econometrics & Finance

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Financial Integration in ASEAN-5 Laura Grace Gabriella; Revathy Suryanarayana; Vania Esady
Economics and Finance in Indonesia Volume 62, Number 1, April 2016
Publisher : Institute for Economic and Social Research

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (247.468 KB) | DOI: 10.47291/efi.v62i1.522

Abstract

The financial integration in South East Asia has varied over time. This paper focuses on three periods: before, during, and after the global financial crisis in 2008. This paper finds that ASEAN-5 countries have indeed taken a step towards financial integration. While we do not observe any (cointegrating) long-run relationships between the ASEAN-5 countries, we find that there has been a significant increase in the volatility spillovers between them. This is particularly true in the recovery period following the global financial crisis.  AbstrakIntegrasi keuangan di Asia Tenggara telah mengalami perubahan dari waktu ke waktu. Penelitian ini berfokus pada tiga periode waktu, yaitu pada sebelum, saat, dan setelah Krisis Keuangan Global tahun 2008. Hasil penelitian ini menemukan bahwa negara ASEAN-5 memiliki kecenderungan kearah integrasi keuangan. Walaupun kami belum melihat adanya hubungan jangka panjang dari kelima negara tersebut, namun kami menemukan adanya peningkatan signifikan dari volatility spillover diantara mereka. Hal ini khususnya benar terjadi sepanjang periode pemulihan dari Krisis Keuangan Global.Kata kunci: Integrasi Keuangan; Krisis Keuangan Global; ASEAN; GARCHJEL classifications: F21; F33
Co-Authors Revathy Suryanarayana Vania Esady