Original scientific paper
ASYMMETRY IN MEAN-REVERTING BEHAVIOR OF ASEAN STOCK MARKET RETURNS
Mansor Ibrahim
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
Hrčak ID:
70506
URI
Publication date:
1.6.2011.
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