Publication:
Asymmetry in mean-reverting behavior of ASEAN stock market returns
Abstract
The present paper characterizes the mean-reverting behavior of six ASEAN markets - Indonesia, Malaysia, the Philippines, Singapore, Thailand, and Vietnam – using an autoregressive exponential GARCH-in mean model and daily data from August 2000 to May 2010. The results indicate fast speed of mean-reversion in the returns of these markets but with quite distinct patterns of return dynamics. The evidence seems strong to suggest asymmetric mean reversion and overreaction during market downturns in the Indonesian market. The Vietnamese market exhibits most persistent return autocorrelation with some evidence pointing to higher persistence during market downturns. However, there is no evidence indicating significant serial correlation in the markets of Singapore and Thailand. Finally, the leverage effect is documented in all markets except Vietnam. We tentatively attribute these differences to stages of market development and, accordingly their levels of efficiency, and to the degree of market volatility.
Keywords
Asymmetry , Mean Reversion , Volatility , AR-EGARCH(1, 1) , ASEAN Market
Citation
Ibrahim, M. H. (2011). Asymmetry in mean-reverting behavior of ASEAN stock market returns. Economic research, 24(2). pp. 1-14.
Publisher
Juraj Dobrila University of Pula, Department of Economics and Tourism
DOI
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Person
Mansor H. Ibrahim
mansorhi@inceif.org
Deputy President Academic (DPA)/Dean, School of Graduate and Professional Studies