The Effect of Capital Market Liberalization Measures on the Integration of the Philippine Stock Market with International Markets: Evidence from Johansen&#039;s Multivariate Cointegration Procedure

Angelo  A. Unite,

The Effect of Capital Market Liberalization Measures on the Integration of the Philippine Stock Market with International Markets: Evidence from Johansen's Multivariate Cointegration Procedure

Abstract:

Given the recent developments in the liberalization and internationalization of the Philippine capital market, it is important to re-examine the issue of Philippine equity market integration with the international equity markets. In particular, this study will investigate the impact of the domestic capital market liberalization on the degree of integration of the equity market of the Philippines with those of its top sources of foreign investments and major trading partners in the Asia-Pacific region, namely, Taiwan, Japan, Hong Kong, Singapore and the United States.