WSEAS Transactions on Business and Economics
Print ISSN: 1109-9526, E-ISSN: 2224-2899
Volume 12, 2015
Stability in ASEAN+3 Exchange Markets: An EGARCH-M Approach
Authors: ,
Abstract: This paper empirically investigates the advancement of exchange markets’ stability and comovement after the ASEAN+3 financial cooperation agreement. The study employs EGARCH-in-mean approach and uses daily exchange rates. The findings indicate that: 1) the exchange market volatility is resulted from regional markets’ shocks during both of pre and post-agreement periods, 2) the ASEAN+3 exchange markets progressed substantial development during post-agreement, 3) both of high and low income economies are improving the exchange market stability in a cooperative way regardless of income level, and 4) the overall impact of ASEAN+3 financial cooperation leads to stabilize the regional exchange markets.
Search Articles
Keywords: ASEAN+3, financial integration, Exchange market, E-GARCH, exchange markets, market stability
Pages: 426-432
WSEAS Transactions on Business and Economics, ISSN / E-ISSN: 1109-9526 / 2224-2899, Volume 12, 2015 , Art. #40