The Preparation towards Asean Exchange Link between Malaysia Stock Market and Asia Countries Macroeconomics Variables Interdependency
When Asean countries discuss the Asean Exchage link this includes the initiatives to assess and rank ASEAN public listed companies against international corporate governance standards, harmonized standards relating to disclosure for cross border offerings, facilitate cross border offerings of products and the establishment of the ASEAN Exchange link. With this development, we try to investigate the interaction between stock prices and macroeconomic variables in Asia countries (Malaysia, Indonesia, Thailand, Singapore, China, India, South Korea, Japan and Taiwan) with reference to the United States market as a benchmark to view the sensitivity and the interdependacy of our stock market to other Asia countries macroeconomics variables. The methodology used are cointegration, Vector Error Correction Model (VECM) and Sensitivity Analysis to determine the interactions between variables. The data is quarterly data for the period of January 1990 to December 2007. Our findings show that Malaysian stock market is more integrated with other Asia Countries economics variables after the financial crisis 1997. This situation arise because of more economics project cooperation and merger between Asia countries companies to strengthen the business foundations. However, too much independent will jeopardise our stock market from speculation activities, to reduce this risk we use sensitivity analysis to test the level of sensitiveness of the variables testes to our stock market and found out that only stock price and exchange rate of other Asia Countries have the most impact to our stock markets.