Due to the benefits of investment diversification across markets and industries, and the increasing importance of ASEAN capital markets, this paper attempts to review recent studies on capital market integration and investment implications in six selected ASEAN countries. Several methodologies including VAR, GARCH, Copula and DCC, Bayesian approach, CAPM and factor models have been examined in this research. Most of the existing studies consider the capital market integration and its investment implications at a country level, whereas this paper attempts to extend the analysis to the industry level of integration. It also reviews the uses of a VARMA-MGARCH-asymmetric BEKK models to investigate the integration at industry levels in recommending investment diversification. The findings of this paper may provide guidance to academia, investors and policy makers on asset diversification.
This paper investigates the investment performance of Malaysian Islamic equity funds and a matching sample of conventional equity funds relative to their market benchmark. An integrated model is used to simultaneously capture the market timing and selectivity skills of fund managers. Our findings indicate that the Islamic funds do not match the performance of the conventional funds in terms of selectivity skill. However, Islamic funds perform no worse than their conventional counterparts in market timing, although neither outperform the market. These findings have crucial implications not only for fund managers’ investment decisions, but also for sensitive shariah-compliant investors and risk-seeking investors of Islamic equity funds in their investment portfolio preference.
This paper aims to test the adaptive market hypothesis in the two main Vietnamese stock exchanges, namely Ho Chi Minh City Stock Exchange (HSX) and Hanoi Stock Exchange (HNX), by measuring the relationship between current stock returns and historical stock returns. In particular, the tests employed are the automatic variance ratio test (“AVR”), the automatic portmanteau test (“AP”), the generalized spectral test (“GS”), and the time-varying autoregressive (TV-AR) approach. The empirical results validate the adaptive market hypothesis in the Vietnamese stock market. Furthermore, the results suggest that the evolution of HSX has served as an important factor of the adaptive market hypothesis.
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