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All Journal Indonesian Capital Market Review
Hooy, Chee Wooi
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Economics, Econometrics & Finance

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Market, Country and World Effects on Regional Equity Market Integration Hooy, Chee Wooi; Goh, Kim Leng
The Indonesian Capital Market Review Vol. 2, No. 1
Publisher : UI Scholars Hub

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Abstract

This study explores the fundamental driving forces of regional equity market integration in a trading bloc. The determinant factors are categorized into market attribute, economic fundamentals and world information. Our sample consists of 26 equity markets of ive regional trading blocs, namely AFTA, CER, EFTA, EU and NAFTA over the period of January 1999 to August 2005. We measure market integration based on pricing errors as proposed by Korajczyk (1996) and Levine and Zervos (1998). Using panel regressions, our results show that equity integration in these trading blocs is driven internally, where only individual-market volatility and economic fundamentals play a signiicant role in the process. Intra-bloc trade is found to enhance regional equity market integration, supporting the notion that regional convergence extends beyond the trade sector that is promoted in the trade agreements. We also document regime shifting effects during stock market crises, where most of these markets became strongly integrated after a regional crisis, but integration was signiicantly weakened during a crisis that affected the world markets. Also, the level of equity market integration differs across trading blocs, where the blocs with a smaller number of country members are relatively more integrated.
Moon Effect on Paciic Basin Stock Markets Brahmana, Rayenda Khresna; Hooy, Chee Wooi; Ahmad, Zamri
The Indonesian Capital Market Review Vol. 3, No. 2
Publisher : UI Scholars Hub

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This is an empirical study on the inluences of moon on seven stock markets, which are Indonesia, Malaysia, United Kingdom, United States, Philippines, Japan, and Thailand. The period is from January 1999 until December 2009 in daily basis. This study investigates the relationship between moon phase and market returns. We divided moon phases into new moon and full moon. While literature mention the relationship between moon phase and market returns, our research reject the null hypothesis in regression analysis. However, the descriptive catches the indication and conirmed previous research. It also proposes that the market is still rational and not moon-mood inluenced. This result is not contending the EMH theorem. Further research is needed in term of investigating the relationship between psychology factors (heuristic bias, information ignorance, and other factors) and investor behavior. The effect of moon on certain anomalies has to examine speciically.
Co-Authors Goh, Kim Leng Rayenda Khresna Brahmana Zamri Ahmad