International market integration : a study of Thai market

Abstract

To provide additional evidence of the integration-segmentation issue in Thai financial markets, including the period after financial reforms were implemented. The paper uses the appropriate data set to test international investment barriers, incorporating the effects of segmentation within the market. The portfolio consists of eligible stocks derived from equities chosen by mutual funds and the alien board. The resutls show that the investment barriers faced by foreign investors from Hong Kong, Singapore, and Japan are decreasing after the liberalization (1988-1995). Barriers faced by UK and US investors are increasing during the same period. This evidence supports the increased regional integration. The paper also applies the Markov Switching model to estimate the degree of mobility in the money market, a variable that can act as an indicator of integration. The results indicate that Thai market is moving toward international market integration.