Constructing Stock Market Performance Index for ASEAN 5 Countries: Principal Component Analysis Approach-Reference-Cited by-同舟云学术

Constructing Stock Market Performance Index for ASEAN 5 Countries: Principal Component Analysis Approach

Published:2019-12-26 Issue:1 Volume:2 Page:77-85
ISSN:2590-3543
Container-title:UNIMAS Review of Accounting and Finance
language:
Short-container-title:URAF

Author:

Lee Kelvin Yong Ming

Abstract

This study develops the stock market performance index (SMPI) for ASEAN-5 countries, which include Indonesia, Malaysia, Thailand, Philippines, and Singapore. Along with that, principal component analysis is applied in developing the index. Annual data of ASEAN-5 countries ranging from the year 2000-2016 has been used for the purpose of analysis. The sources of data are the World Bank Database and Datastream. The results indicate that Singapore has the highest SMPI over the sample period, while Indonesia has the lowest SMPI over the sample period 2000 to 2016.

Publisher

UNIMAS Publisher

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