research product . 2008

Early Warning System in ASEAN Countries Using Capital Market Index Return: Modiied Markov Regime Switching Model

Wahyudi, Imam; Luxianto, Rizky; Iwani, Niken; Sulung, Liyu Adhika Sari;
Open Access English
  • Published: 30 Jun 2008
Abstract
Asia's inancial crisis in July 1997 affects currency, capital market, and real market throughout Asian countries. Countries in southeast region (ASEAN), including Indonesia, Malaysia, Philippines, Singapore, and Thailand, are some of the countries where the crisis hit the most. In these countries, where inancial sectors are far more developed than real sectors and the money market sectors, most of the economic activities are conducted in capital market. Movement in the capital market could be a proxy to describe the overall economic situation and therefore the prediction of it could be an e...
Subjects
free text keywords: Indonesia, Capital Market, C34 - Truncated and Censored Models ; Switching Regression Models, E61 - Policy Objectives ; Policy Designs and Consistency ; Policy Coordination, E66 - General Outlook and Conditions, F36 - Financial Aspects of Economic Integration, O53 - Asia including Middle East
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