Islamic capital market integration and asymmetric information: a study in the five ASEAN countries from the post-global financial crisis
Abstract
This study aims at examining the integration impact of the five ASEAN Islamic capital markets on asymmetric information for ASEAN Economic Community (AEC) development. Utilizing samples of market and financial panel data from 2009 to 2015 among the five ASEAN Islamic capital markets, and applying two-country portfolios of the Islamic capital markets among the five ASEAN countries to measure the different levels of Islamic capital market integration, this study suggests that the different levels of the Islamic capital market integration between Indonesia and Malaysia are found to result in asymmetric information negatively. The strongest Islamic capital market integration between Indonesia and Malaysia affect reduced asymmetric information more consistently than the other two-country portfolios, while the weakest level of integration between the Philippines and any other four Islamic capital markets that affects asymmetric information inconsistently is also supported. These results confirm an interplay between a modern portfolio theory, Efficient Market Hypothesis (EMH), contract theory, and general economic theory, and also provide new insights for stakeholders in investment decisions and strategies, cross-border regulation of economic resources, and other plentiful benefits.
Keyword : Islamic capital market integration, asymmetric information, a modern portfolio theory, Efficient Market Hypothesis, contract theory, the five ASEAN countries
How to Cite
Qizam, I. (2021). Islamic capital market integration and asymmetric information: a study in the five ASEAN countries from the post-global financial crisis. Business: Theory and Practice, 22(1), 121-132. https://doi.org/10.3846/btp.2021.12832
This work is licensed under a Creative Commons Attribution 4.0 International License.
References
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Bonfiglioli, A. (2008). Financial integration, productivity and capital accumulation. Journal of International Economics, 76(2), 337–355. https://doi.org/10.1016/j.jinteco.2008.08.001
Caporale, G. M., You, K., & Chen, L. (2019). Global and regional stock market integration in Asia: A panel convergence approach. International Review of Financial Analysis, 65(101381), 1–21. https://doi.org/10.1016/j.irfa.2019.101381
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Chevallier, J., Nguyen, D. K., Siverskog, J., & Uddin, G. S. (2018). Market integration and financial linkages among stock markets in Pacific Basin countries. Journal of Empirical Finance, 46(March), 77–92. https://doi.org/10.1016/j.jempfin.2017.12.006
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Demsetz, H. (1968). The Cost of transacting. The Quaterly Journal of Economics, 82(1), 33–53. https://doi.org/10.2307/1882244
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Guan, T. K., & Wooi, H. C. (2017). Does market integration promote to firm information efficiency? Empirical evidence for Malaysia listed firms. Jurnal Ekonomi Malaysia, 51(2), 23–32.
Hanna, D., Khor, H., & Ali, S. (2019). Capital market deepening, financial integration, and macroeconomic policy management. In P. Intal & M. Pangestu, Integrated and Connected Seamless ASEAN Economic Community (pp. 218–233). Jakarta, ERIA.
Hooy, C. W., & Lim, K. P. (2013). Is market integration associated with informational efficiency of stock markets? Journal of Policy Modelling, 35(1), 29–44. https://doi.org/10.1016/j.jpolmod.2012.09.002
Hussain, S. S., Sabir, S. A., & Meo, M. S. A. (2017). Impact of political stability, government effectiveness and control of corruption on stock markets of South Asia. Journal of the Punjab University Historical Society (JPUHS), 30(1), 226–238. http://pu.edu.pk/images/journal/HistoryPStudies/PDF_Files/16_V-30-No1-Jun17.pdf
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Kabir, S. H., G. Dewandaru, & Masih, M. (2013). Are Islamic stock markets integrated globally? Evidence from time series techniques. Australian Journal of Basic and Applied Sciences, 7(7), 702–720. http://ajbasweb.com/old/ajbas/2013/may/702-720.pdf
Kassim, S. H. (2010). Global financial crisis of Islamic stock markets in developed and developing countries. Visiting Research Fellow (VRF Series, No. 451). Institute of Developing Economies, Japan External Trade Organization. http://www.ide.go.jp/library/English/Publish/Download/Vrf/pdf/461.pdf
Kose, M. A., Prasad, E. S., & Terrones, M. E. (2003). Financial integration and macroeconomic volatility. Working Paper. IMF. https://doi.org/10.2139/ssrn.393420
Lackmann, B. G. (2014). The six key countries driving global Islamic finance growth. Nomura Journal of Capital Markets, 6(2).
Lekovic, M. (2018). Investment diversification as a strategy for reducing investment risk. Economic Horizons, 20(2), 169–184. https://doi.org/10.5937/ekonhor1802173L
Majid, M. S. A., Yusof, R. M., & Razal, A. N. (2007). Dynamics financial linkage among selected OIC Countries. Journal of Economic Cooperation, 28(2), 25–56. http://www.sesric.org/files/article/199.pdf
Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 77–91. https://doi.org/10.1111/j.1540-6261.1952.tb01525.x
Matei, I. V. (2020). European integration between non-EU countries and the EU member countries – Romania and the Southeast Region. Journal of Applied Economic Sciences, 15(1), 83–87.
Mauro, P. (1996). The effects of corruption on growth, investment, and government expenditure (September). IMF Working Paper No. 96/98. https://doi.org/10.5089/9781451852097.001
Mikołajek-Gocejna, M. (2014). Information asymmetry and the problem of informational efficiency on capital markets. In Investor Expectations in Value Based Management (pp. 147–75). Springer, Cham. https://doi.org/10.1007/978-3-319-06847-3_6
Miyazawa, K., Ogawa, H., & Tamai, T. (2019). Capital market integration and fiscal sustainability. European Economic Review, 120(103305), 1–20. https://doi.org/10.1016/j.euroecorev.2019.103305
Mondria, J., & Wu, T. (2013). Imperfect financial integration and asymmetric information: competing explanations of the Home Bias Puzzle? [Integration Financiere Imparfaite Et Information Asymetrique: Explications Concurrentes De L’Enigme Du Biais En Faveur Du Marche Domestique?]. Canadian Journal of Economics/Revue canadienne d’économique, 46(1), 310-337. https://doi.org/10.1111/caje.12013
Nittayagasetwat, A., & Buranasiri, J. (2018). Evaluation of the investment in combined stock markets under co-integration and diversification benefit: The case of Southeast Asian markets. Journal of Applied Economic Sciences, 13(2), 543–548. http://cesmaa.org/Docs/JAES%20Spring%20Volume%20 XIII%20Issue%202(56)2018%20(1).pdf
Park, C. Y. (2013). Asian capital market integration: Theory and evidence. Asian Development Bank Economics Working Paper Series No. 351. https://doi.org/10.2139/ssrn.2282305
Qizam, I., Ardiansyah, M., & Qoyum, A. (2020). Integration of Islamic capital market in ASEAN-5 countries: Preliminary evidence for broader benefits from the post-global financial crisis. Journal of Islamic Accounting and Business Research, 11(3), 811–825. https://doi.org/10.1108/JIABR-08-2019-0149
Qizam, I., Qoyum, A., & Ardiansyah, M. (2015). Global financial crisis and Islamic capital market integration among 5-ASEAN countries. Global Review of Islamic Economics and Business, 2(3), 207–218. https://doi.org/10.14421/grieb.2015.023-04
Rangvid, J., Santa-Clara, P., & Schmeling, M. (2016). Capital market integration and consumption risk sharing over the long run. Journal of International Economics, 103(Nov.), 27–43. https://doi.org/10.1016/j.jinteco.2016.08.001
Reeb, D. M., Kwok, C. C. Y., & Baek, H. Y. (1998). Systematic risk of the multinational corporation, Journal of International Business Studies, 29(2), 263-279. https://doi.org/10.1057/palgrave.jibs.8490036
Roca, E. D., Selvanathan, E. A., & Shepherd, W. F. (1998). Are the ASEAN equity markets interdependent? ASEAN Economic Bulletin, 15(2), 109–20. https://doi.org/10.1355/AE15-2A
Rodrigues, S. S., & Galdi, F. C. (2017). Investor relations and information asymmetry. Revista Contabilidade and Finanças, 28(74), 297–312. https://doi.org/10.1590/1808-057x201703630
Shaik, M., & Maheswaran, S. (2017). Market efficiency of ASEAN stock markets. Asian Economic and Financial Review, 7(2), 109–122. https://doi.org/10.18488/journal.aefr/2017.7.2/102.2.109.122
Sharma, A., & Seth, N. (2012). Literature review of stock market integration: A global perspective. Qualitative Research in Financial Markets, 4(1), 84–122. https://doi.org/10.1108/17554171211213568
Siddiqui, S. (2009). Stock market integration: examining linkages between selected world markets. Vision – The Journal of Business Perspective, 13(1), 19–30. https://doi.org/10.1177/097226290901300103
Simpson, J. (2008). Financial integration in the GCC stock markets: Evidence from the early 2000s development phase. Journal of Economic Cooperation, 29(1), 1–28. https://doi.org/10.2139/ssrn.994706
Singh, D. R. A. (2009). ASEAN: perspectives on economic integration: ASEAN capital market integration: issues and challenges. In N. Kitchen (Ed.), IDEAS reports – special reports. SR002. LSE IDEAS, London School of Economics and Political Science, London, UK. http://eprints.lse.ac.uk/id/eprint/43635
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Swanson, P. E. (1987). Capital market integration over the past decade: The case of the US dollar. Journal of International Money and Finance, 6(2), 215–225. https://doi.org/10.1016/0261-5606(87)90035-0
The World Bank. (2015). World governance indicators. https://info.worldbank.org/governance/wgi/
Tinta, A., Sarpong, D., Ouedraogo, I., Hassan, R., Bonsu, A. M., & Onumah, E. (2018). Assessing the impact of integration on economic growth and food security in ECOWAS. Theoretical and Practical Research in the Economic Fields, 9(1), 32–44. https://journals.aserspublishing.eu/tpref/article/view/2233
Valadkhani, A., & Chancharat, S. (2008). Dynamic linkages between Thai and international stock markets. Journal of Economic Studies, 35(5), 425–441. https://doi.org/10.1108/01443580810903572
Yao, S., He, H., Chen, S., & Ou, J. (2018). Financial liberalization and cross-border market integration: Evidence from China’s stock market. International Review of Economics and Finance, 58(November), 220–245. https://doi.org/10.1016/j.iref.2018.03.023
Abbes, M. B., & Trichilli, Y. (2015). Islamic stock markets & potential diversification benefits, Borsa Istanbul Review, 15(2), 93–105. https://doi.org/10.1016/j.bir.2015.03.001
Akerlof, G. A. (1970). The market for “lemons”: Quality uncertainty and the market mechanism, The Quarterly Journal of Economics, 84(3), 488–500. https://doi.org/10.1016/B978-0-12-214850-7.50022-X
Albuquerque, R., Bauer, G. H., & Schneider, M. (2009). Global private information in international equity markets. Journal of Financial Economics, 94(1), 18–46. https://doi.org/10.1016/j.jfineco.2008.06.008
Aney, M., Banerji, S., & Lampousis, A. (2017). Financial market integration and firms’ access to capital: Evidence from the National stock exchange in India. In A Final Report to IGC. I-35121-INC-3. International Growth Center (IGC). https://www.theigc.org/wp-content/uploads/2017/04/Anneyet-al-2017-final-report-pt-2.pdf
Bekaert, G., Hordick, R. J., & Zhang, X. (2009). International stock return comovements. The Journal of Finance, 64(6), 2591–2626. https://doi.org/10.1111/j.1540-6261.2009.01512.x
Bonfiglioli, A. (2008). Financial integration, productivity and capital accumulation. Journal of International Economics, 76(2), 337–355. https://doi.org/10.1016/j.jinteco.2008.08.001
Caporale, G. M., You, K., & Chen, L. (2019). Global and regional stock market integration in Asia: A panel convergence approach. International Review of Financial Analysis, 65(101381), 1–21. https://doi.org/10.1016/j.irfa.2019.101381
Chan, K. S., Dang, V. Q. T., & Lai, J. T. (2018). Capital market integration in ASEAN: A non-stationary panel data analysis, The North American Journal of Economics and Finance, 46(November), 249–260. https://doi.org/10.1016/j.najef.2018.04.010
Chevallier, J., Nguyen, D. K., Siverskog, J., & Uddin, G. S. (2018). Market integration and financial linkages among stock markets in Pacific Basin countries. Journal of Empirical Finance, 46(March), 77–92. https://doi.org/10.1016/j.jempfin.2017.12.006
Click, R. W., & Plummer, M. G. (2005). Stock market integration in ASEAN after the Asian financial crisis. Journal of Asian Economics, 16(1), 5–28. https://doi.org/10.1016/j.asieco.2004.11.018
De Santis, R. A., & Sarno, L. (2008). Assessing the benefits of international portfolio diversification in bonds and stocks. Working Paper Series No 883. European Central Bank.
Demsetz, H. (1968). The Cost of transacting. The Quaterly Journal of Economics, 82(1), 33–53. https://doi.org/10.2307/1882244
Dima, B., Barna, F., & Nachescu, M. L. (2018). Does rule of law support the capital market? Economic Research-Ekonomska Istraživanja, 31(1), 461–479. https://doi.org/10.1080/1331677X.2018.1432371
Edison, H. J., Levine, R., Ricci, L., & Slok, T. (2002). International financial integration and economic growth. Journal of International Money and Finance, 21(6), 749–776. https://doi.org/10.1016/S0261-5606(02)00021-9
Ehigiamusoe, K. U., & Lean, H. H. (2018). Do economic and financial integration stimulate economic growth? A critical survey. Economics Discussion Papers, No 2018-51. Kiel Institute for the World Economy. http://www.economicsejournal.org/economics/discussionpapers/2018-51
Fabozzi, F., Gupta, F., & Markowitz, H. (2002, Fall). The legacy of modern portfolio theory. Journal of Investing, 11(3), 7–22. https://doi.org/10.3905/joi.2002.319510
Fama, E. (1970). Efficient capital markets: A review of theory and empirical work. Journal of Finance, 25(2), 383–417. https://doi.org/10.2307/2325486
Gehringer, A. (2013). Growth, productivity and capital accumulation: The effects of financial liberalization in the case of European integration. International Review of Economics and Finance, 25, 291–309. https://doi.org/10.1016/j.iref.2012.07.015
Gnath, K., Grose-Ruschkamp, B., Kastrop, C., Ponattu, D., Rocholl, J., & Wortmann, M. (2019). Financial market integration in the EU: A practical inventory of benefits and hurdles in the Single Market. Bertelsmann Stiftung, ESMT European School of Management and Technology, Berlin, Germany. https://www.bertelsmann-stiftung.de/en/publications/publication/did/financial-market-integration-in-the-eu-a-practical-inventory-of-benefits-and-hurdles-in-the-single/
Guan, T. K., & Wooi, H. C. (2017). Does market integration promote to firm information efficiency? Empirical evidence for Malaysia listed firms. Jurnal Ekonomi Malaysia, 51(2), 23–32.
Hanna, D., Khor, H., & Ali, S. (2019). Capital market deepening, financial integration, and macroeconomic policy management. In P. Intal & M. Pangestu, Integrated and Connected Seamless ASEAN Economic Community (pp. 218–233). Jakarta, ERIA.
Hooy, C. W., & Lim, K. P. (2013). Is market integration associated with informational efficiency of stock markets? Journal of Policy Modelling, 35(1), 29–44. https://doi.org/10.1016/j.jpolmod.2012.09.002
Hussain, S. S., Sabir, S. A., & Meo, M. S. A. (2017). Impact of political stability, government effectiveness and control of corruption on stock markets of South Asia. Journal of the Punjab University Historical Society (JPUHS), 30(1), 226–238. http://pu.edu.pk/images/journal/HistoryPStudies/PDF_Files/16_V-30-No1-Jun17.pdf
Islamic Finance Country Index (IFCI). (2019). http://www.gifr.net/publications/gifr2019/ifci.pdf
Kabir, S. H., G. Dewandaru, & Masih, M. (2013). Are Islamic stock markets integrated globally? Evidence from time series techniques. Australian Journal of Basic and Applied Sciences, 7(7), 702–720. http://ajbasweb.com/old/ajbas/2013/may/702-720.pdf
Kassim, S. H. (2010). Global financial crisis of Islamic stock markets in developed and developing countries. Visiting Research Fellow (VRF Series, No. 451). Institute of Developing Economies, Japan External Trade Organization. http://www.ide.go.jp/library/English/Publish/Download/Vrf/pdf/461.pdf
Kose, M. A., Prasad, E. S., & Terrones, M. E. (2003). Financial integration and macroeconomic volatility. Working Paper. IMF. https://doi.org/10.2139/ssrn.393420
Lackmann, B. G. (2014). The six key countries driving global Islamic finance growth. Nomura Journal of Capital Markets, 6(2).
Lekovic, M. (2018). Investment diversification as a strategy for reducing investment risk. Economic Horizons, 20(2), 169–184. https://doi.org/10.5937/ekonhor1802173L
Majid, M. S. A., Yusof, R. M., & Razal, A. N. (2007). Dynamics financial linkage among selected OIC Countries. Journal of Economic Cooperation, 28(2), 25–56. http://www.sesric.org/files/article/199.pdf
Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 77–91. https://doi.org/10.1111/j.1540-6261.1952.tb01525.x
Matei, I. V. (2020). European integration between non-EU countries and the EU member countries – Romania and the Southeast Region. Journal of Applied Economic Sciences, 15(1), 83–87.
Mauro, P. (1996). The effects of corruption on growth, investment, and government expenditure (September). IMF Working Paper No. 96/98. https://doi.org/10.5089/9781451852097.001
Mikołajek-Gocejna, M. (2014). Information asymmetry and the problem of informational efficiency on capital markets. In Investor Expectations in Value Based Management (pp. 147–75). Springer, Cham. https://doi.org/10.1007/978-3-319-06847-3_6
Miyazawa, K., Ogawa, H., & Tamai, T. (2019). Capital market integration and fiscal sustainability. European Economic Review, 120(103305), 1–20. https://doi.org/10.1016/j.euroecorev.2019.103305
Mondria, J., & Wu, T. (2013). Imperfect financial integration and asymmetric information: competing explanations of the Home Bias Puzzle? [Integration Financiere Imparfaite Et Information Asymetrique: Explications Concurrentes De L’Enigme Du Biais En Faveur Du Marche Domestique?]. Canadian Journal of Economics/Revue canadienne d’économique, 46(1), 310-337. https://doi.org/10.1111/caje.12013
Nittayagasetwat, A., & Buranasiri, J. (2018). Evaluation of the investment in combined stock markets under co-integration and diversification benefit: The case of Southeast Asian markets. Journal of Applied Economic Sciences, 13(2), 543–548. http://cesmaa.org/Docs/JAES%20Spring%20Volume%20 XIII%20Issue%202(56)2018%20(1).pdf
Park, C. Y. (2013). Asian capital market integration: Theory and evidence. Asian Development Bank Economics Working Paper Series No. 351. https://doi.org/10.2139/ssrn.2282305
Qizam, I., Ardiansyah, M., & Qoyum, A. (2020). Integration of Islamic capital market in ASEAN-5 countries: Preliminary evidence for broader benefits from the post-global financial crisis. Journal of Islamic Accounting and Business Research, 11(3), 811–825. https://doi.org/10.1108/JIABR-08-2019-0149
Qizam, I., Qoyum, A., & Ardiansyah, M. (2015). Global financial crisis and Islamic capital market integration among 5-ASEAN countries. Global Review of Islamic Economics and Business, 2(3), 207–218. https://doi.org/10.14421/grieb.2015.023-04
Rangvid, J., Santa-Clara, P., & Schmeling, M. (2016). Capital market integration and consumption risk sharing over the long run. Journal of International Economics, 103(Nov.), 27–43. https://doi.org/10.1016/j.jinteco.2016.08.001
Reeb, D. M., Kwok, C. C. Y., & Baek, H. Y. (1998). Systematic risk of the multinational corporation, Journal of International Business Studies, 29(2), 263-279. https://doi.org/10.1057/palgrave.jibs.8490036
Roca, E. D., Selvanathan, E. A., & Shepherd, W. F. (1998). Are the ASEAN equity markets interdependent? ASEAN Economic Bulletin, 15(2), 109–20. https://doi.org/10.1355/AE15-2A
Rodrigues, S. S., & Galdi, F. C. (2017). Investor relations and information asymmetry. Revista Contabilidade and Finanças, 28(74), 297–312. https://doi.org/10.1590/1808-057x201703630
Shaik, M., & Maheswaran, S. (2017). Market efficiency of ASEAN stock markets. Asian Economic and Financial Review, 7(2), 109–122. https://doi.org/10.18488/journal.aefr/2017.7.2/102.2.109.122
Sharma, A., & Seth, N. (2012). Literature review of stock market integration: A global perspective. Qualitative Research in Financial Markets, 4(1), 84–122. https://doi.org/10.1108/17554171211213568
Siddiqui, S. (2009). Stock market integration: examining linkages between selected world markets. Vision – The Journal of Business Perspective, 13(1), 19–30. https://doi.org/10.1177/097226290901300103
Simpson, J. (2008). Financial integration in the GCC stock markets: Evidence from the early 2000s development phase. Journal of Economic Cooperation, 29(1), 1–28. https://doi.org/10.2139/ssrn.994706
Singh, D. R. A. (2009). ASEAN: perspectives on economic integration: ASEAN capital market integration: issues and challenges. In N. Kitchen (Ed.), IDEAS reports – special reports. SR002. LSE IDEAS, London School of Economics and Political Science, London, UK. http://eprints.lse.ac.uk/id/eprint/43635
Stavarek, D., Repkova, I., & Gajdosova, K. (2011). Theory of financial integration and achievements in the European Union. In MPRA Paper 34393. University Library of Munich, Germany. https://ideas.repec.org/p/pra/mprapa/34393.html
Swanson, P. E. (1987). Capital market integration over the past decade: The case of the US dollar. Journal of International Money and Finance, 6(2), 215–225. https://doi.org/10.1016/0261-5606(87)90035-0
The World Bank. (2015). World governance indicators. https://info.worldbank.org/governance/wgi/
Tinta, A., Sarpong, D., Ouedraogo, I., Hassan, R., Bonsu, A. M., & Onumah, E. (2018). Assessing the impact of integration on economic growth and food security in ECOWAS. Theoretical and Practical Research in the Economic Fields, 9(1), 32–44. https://journals.aserspublishing.eu/tpref/article/view/2233
Valadkhani, A., & Chancharat, S. (2008). Dynamic linkages between Thai and international stock markets. Journal of Economic Studies, 35(5), 425–441. https://doi.org/10.1108/01443580810903572
Yao, S., He, H., Chen, S., & Ou, J. (2018). Financial liberalization and cross-border market integration: Evidence from China’s stock market. International Review of Economics and Finance, 58(November), 220–245. https://doi.org/10.1016/j.iref.2018.03.023