Constructing Stock Market Performance Index for ASEAN 5 Countries: Principal Component Analysis Approach
Abstract
This study develops the stock market performance index (SMPI) for ASEAN-5 countries, which include Indonesia, Malaysia, Thailand, Philippines, and Singapore. Along with that, principal component analysis is applied in developing the index. Annual data of ASEAN-5 countries ranging from the year 2000-2016 has been used for the purpose of analysis. The sources of data are the World Bank Database and Datastream. The results indicate that Singapore has the highest SMPI over the sample period, while Indonesia has the lowest SMPI over the sample period 2000 to 2016.
References
Ang, J. B., & McKibbin, W. J. (2007). Financial Liberalization, Financial Sector Development and Growth: Evidence from Malaysia. Journal of Development Economics, 84(1), 215-333.
https://doi.org/10.1016/j.jdeveco.2006.11.006
Badeeb, R. A., & Lean, H. H. (2017). The Determinants of Financial Development in the Republic of Yemen: Evidence from the Principal Components Approach. Capital Market Review, 25(2), 32-48.
Blundell, R., & Bond, S. (1998). Initial conditions and moment restrictions in dynamic panel data models. Journal of Econometrics, 87, 115-143.
https://doi.org/10.1016/S0304-4076(98)00009-8
Chen, B., & Woo, Y. P. (2010). Measuring Economic Integration in the Asia-Pacic Region: A Principal Components Approach. Asian Economic Paper, 9(2), 121-143.
https://doi.org/10.1162/ASEP_a_00009
Dahalan, J., Abdullah, H. B., & Umar, M. (2016). Measuring Financial Stress Index for Malaysian Economy. International Journal of Economics and Financial Issues, 6(3), 942-947.
Dai, Y. H., Han, D. M., & Dai. W. H. (2014). Modeling and Computing of Stock Index Forecasting Based on Neural Network and Markov Chain. The Scientific World Journal, 2014.
https://doi.org/10.1155/2014/124523
Demirguc-Kunt, A., & Levine, R. (1996). Stock Market Development and Financial Intermediaries: Stylized Facts. The World Bank Economic Review, 19(2), 291-321.
https://doi.org/10.1093/wber/10.2.291
Ho, S. Y., & Iyke, B. N. (2017). Determinants of Stock Market Development: A Review of the Literature. Studies in Economics and Finance, 34(1), 1-24.
https://doi.org/10.1108/SEF-05-2016-0111
Karanovic, G., & Karanovic, B. (2015). Developing An Aggregate Index for Measuring Financial Stability in the Balkans. In 7th International Conference, The Economies of Balkan and Eastern Europe Countries in the Changed World, EBEEC 2015, May 8-10 (pp.3-17).
https://doi.org/10.1016/S2212-5671(15)01690-1
Menon, S. (2018). A Comparative Study of the Indian Stock Market with Two International Stock Markets between 2012-17. International Journal of Engineering Technology Science and Research, 5(3), 446-459.
Morales, M. A., & Estrada, D. (2010). A Financial Stability Index for Colombia. Annals of Finance, 6(4), 555-581.
https://doi.org/10.1007/s10436-010-0161-7
Naseer, F. A. M., Rosid, C. M. A. C., & Baharuddin, N. S. (2017). Relation between Macroeconomic Variables and ASEAN Stock Index. Terengganu International Finance and Economics Journal, 5(1), 7-13.
Osei, V. (2005). Does the Stock Market Matter in Ghana? A Granger-Causality Analysis (Working Paper). Retrieved from Bank of Ghana
Pan, L., & Mishra, V. (2016). Stock Market Development and Economic Growth: Empirical Evidence from China. Economic Modelling, 68, 661-673.
https://doi.org/10.1016/j.econmod.2017.07.005
Qiu, M. Y., & Song, Y. (2016). Predicting the Direction of Stock Market Index Movement Using an Optimized Artificial Neural Network Model. PLoS ONE, 11(5), 1-11. https: doi:10.1371/journal.pone.0155133.
https://doi.org/10.1371/journal.pone.0155133
Soedarmono, W. (2018). Stock Market Integration in the Asia Pacific Region: Evidence from Cointegration of Liquidity Risk. Economic Bulletin, 38(1), 60-70.
https://doi.org/10.2139/ssrn.3096393
Yamamoto, S. (2012). Association of Southeast Asian Nations. In George. R (1st Edition), The Wiley-Blackwell Encyclopedia of Globalization.
https://doi.org/10.1002/9780470670590.wbeog033
Yorulmaz, R. (2013). Construction of a Regional Financial Inclusion Index in Turkey. Journal of BRSA Banking and Financial Markets, 7(1), 79-101.
Copyright (c) 2019 UNIMAS Review of Accounting and Finance
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.
Copyright Transfer Statement for Journal
1) In signing this statement, the author(s) grant UNIMAS Publisher an exclusive license to publish their original research papers. The author(s) also grant UNIMAS Publisher permission to reproduce, recreate, translate, extract or summarize, and to distribute and display in any forms, formats, and media. The author(s) can reuse their papers in their future printed work without first requiring permission from UNIMAS Publisher, provided that the author(s) acknowledge and reference publication in the Journal.
2) For open access articles, the author(s) agree that their articles published under UNIMAS Publisher are distributed under the terms of the CC-BY-NC-SA (Creative Commons Attribution-Non Commercial-Share Alike 4.0 International License) which permits unrestricted use, distribution, and reproduction in any medium, for non-commercial purposes, provided the original work of the author(s) is properly cited.
3) For subscription articles, the author(s) agree that UNIMAS Publisher holds copyright, or an exclusive license to publish. Readers or users may view, download, print, and copy the content, for academic purposes, subject to the following conditions of use: (a) any reuse of materials is subject to permission from UNIMAS Publisher; (b) archived materials may only be used for academic research; (c) archived materials may not be used for commercial purposes, which include but not limited to monetary compensation by means of sale, resale, license, transfer of copyright, loan, etc.; and (d) archived materials may not be re-published in any part, either in print or online.
4) The author(s) is/are responsible to ensure his or her or their submitted work is original and does not infringe any existing copyright, trademark, patent, statutory right, or propriety right of others. Corresponding author(s) has (have) obtained permission from all co-authors prior to submission to the journal. Upon submission of the manuscript, the author(s) agree that no similar work has been or will be submitted or published elsewhere in any language. If submitted manuscript includes materials from others, the authors have obtained the permission from the copyright owners.
5) In signing this statement, the author(s) declare(s) that the researches in which they have conducted are in compliance with the current laws of the respective country and UNIMAS Journal Publication Ethics Policy. Any experimentation or research involving human or the use of animal samples must obtain approval from Human or Animal Ethics Committee in their respective institutions. The author(s) agree and understand that UNIMAS Publisher is not responsible for any compensational claims or failure caused by the author(s) in fulfilling the above-mentioned requirements. The author(s) must accept the responsibility for releasing their materials upon request by Chief Editor or UNIMAS Publisher.
6) The author(s) should have participated sufficiently in the work and ensured the appropriateness of the content of the article. The author(s) should also agree that he or she has no commercial attachments (e.g. patent or license arrangement, equity interest, consultancies, etc.) that might pose any conflict of interest with the submitted manuscript. The author(s) also agree to make any relevant materials and data available upon request by the editor or UNIMAS Publisher.
