Effect of Macro Factor Volatility on the Returns of Financial Sector in Southeast Asian Stock Markets

作     者：Siriwun Wongsrida Prasert Chaitip 

作者机构：Chiang Mai University Chiang Mai Thailand 

出 版 物：《Chinese Business Review》 (中国经济评论（英文版）)

年 卷 期：2014年第13卷第1期

页      面：28-33页

学科分类：12[管理学] 02[经济学] 0202[经济学-应用经济学] 1201[管理学-管理科学与工程(可授管理学、工学学位)] 020204[经济学-金融学（含∶保险学）] 020201[经济学-国民经济学] 

主　　题：rate of returns financial sector Southeast Asian Stock Markets panel unit root Panel AutoregressiveDistributed Lag (Panel ARDL) 

摘      要：The emphasis of this study is on the practice of the Pooled Mean Group （PMG） estimators to investigate the magnitude of macroeconomic performances： Real Gross Domestic Product （RGDP）, Foreign Exchange Rate （EX）, and Deposit Interest Rate （DINT） affecting on the rate of financial sector returns in Southeast Asian Stock Markets including Stock Exchange Of Thailand （SET） index （Thailand）, the Kuala Lumpur Composite Index （KLSE） index （Malaysia）, Financial Times Share Index （FTSI） （Singapore）, Philippine Stock Exchange （PSE）, and the Jakarta Composite Index （JKSE） （Indonesia）. The Panel Autoregressive Distributed Lag （Panel ARDL） is applied to model the relations. The study applies the Levin, Lin, and Chu （LLC） test （2002） and Im, Pesaran, and Shin （IPS） test （2003） to investigates a set of time series data to examine whether the determinants and the rate of financial sector returns contain a unit root, the next step is investigated the cointegration and causality relationship of the determinants of financial sector influencing on long-run rate of returns of financial sector in Southeast Asian Stock Markets.