Global And Regional Sources Of Risk In Major ASEAN Stock Markets
Source: Universiti Kebangsaan Malaysia
While many studies have focused on the influence of global returns on Asian emerging markets, this study establish evidence on the influence of regional returns as well. The motivation attributed to the increasing evidence that these markets are regionally integrated. By employing both simple and multiple regressions this study examines the global and regional risk in explaining risk-return relationship on ASEAN-5 stock markets. The empirical evidence suggest that while both global and regional risk factors are significant components of systematic risk that explain the risk return relationship for these markets, regional risk factors has the largest impact except Singapore.