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Title: How the ASEAN Exchanges integration affects firms' position on the ASEAN Link and abnormal returns: evidence from Thailand
Authors: Nattawoot Koowattanatianchai; Kulkunya Prayarach
Kasetsart Business School, Kasetsart University, 50 Ngam Wong Wan Rd. Ladyao, Jatujak, Bangkok 10900, Thailand
Fiscal Policy Office, Ministry of Finance, Bangkok, Thailand
Abstract: This article examines the impact of ASEAN Exchanges integration on the position of Thai firms on the ASEAN Link platform. A two-stage regression technique exclusively developed for investigating the matter shows a statistically significant relationship between ASEAN Exchanges integration and the position on the ASEAN Link. Results also predict that, as linking becomes more likely, investors tend to earn fewer returns from investing in linked securities. Further analysis confirms that there are no linkage and announcement effects from the connection with the ASEAN Link. Our study provides empirical evidence that the ASEAN network has made ASEAN capital markets less speculative in nature.
Keywords: ASEAN Trading Link; ASEAN exchanges; ASEAN Economic Community; integration; AEC; firms position; abnormal returns; Thailand; capital markets.
Int. J. of Economics and Business Research, 2016 Vol.11, No.1, pp.58 - 82
Submission date: 13 Sep 2015
Date of acceptance: 14 Nov 2015
Available online: 29 Jan 2016