This thesis focuses on five of the founding nations of the Association of Southeast Asian Nations (ASEAN). The countries are Malaysia, Singapore, Thailand, Indonesia and the Philippines (ASEAN5). Asset pricing for the ASEAN5 equity markets is the main focus of this thesis, although we also develop vector error correction models (VECM) for GDP, trade and local equity market returns for the ASEAN5. While this allows further analysis of the robustness of asset pricing models, it also facilitates study of the fundamental links that exist within these economies. The traditional CAPM and the four factor-model that include market, size, value and momentum effects (Fama and French, 1993; Carhart, 1997) are employed in testing the variation in size/book-to-market equity (size-BTME) and industry portfolio returns for these markets for the period from January 1990 to March 2006. Three macro factors as well as world excess returns are then added to the basic four-factor asset pricing model. These macro factors include unexpected GDP, unexpected total trade and unexpected equity market returns, which are derived from VECM or VAR estimates for ASEAN5 GDP, total trade and equity market returns. This model is referred to as the macro-factor model. The results suggest that the explanatory power of the four-factor model consistently exceeds those of the one-factor CAPM in explaining size-BTME and industry portfolio returns. Further, the macro-factor model analysis suggests that collectively, this model does not substantially improve the explanatory power of the basic four-factor model, suggesting that the variation in portfolio returns is mostly captured by the four-factor model. There is some cross-country variation in these results. Regardless, these macro factors − taken as a group or individually − are statistically significant, particularly for Thailand and Malaysia. In addition, the cointegration test results document evidence of long-run linkages for the equity markets within the ASEAN5. This is also true for GDP within the ASEAN5. In both cases, closer links prevail in the post-crisis period. This is not the case for trade where there is little consistent evidence of close links between the countries. Mixed results are found for different ASEAN5 trade measures where the linkages for total trade, import and exports vary substantially according to the selected period of study, whether full period, pre-crisis or post-crisis period.

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Thesis (doctoral)--Universität, Trier, 2003.

本研究試圖將雙邊關係導入區域整合的解釋範疇，主要探討東南亞國家之間雙邊互動關係的解釋因素，以及東協對應成員國間衝突本質的制度建構，從而推進區域合作的進程。 從理論文獻與經驗事件，本研究運用「雙邊層次理論」（dyadic level theories）解釋東南亞國家間的互動現象，選擇「相對權力」、「軍事實力」、「政體類型」、「貿易互賴」、「經濟發展」作為開發中國家雙邊關係的解釋變數，用以理解東協成員國走向衝突與合作的選擇，並對「衝突－合作」的理論命題進行檢驗，據以提出適用於東協國家雙邊互動變異的解釋模式。本研究主張，開發中區域內雙邊關係受到國家屬性與相對特質的影響，爰須從個別國家互動交往的變遷軌跡予以觀察，其解釋變數將持續影響未來的整合道路。 在理論檢證的操作上，本研究參照「事件資料分析」（event-data analysis）方法，設計「雙邊互動的衝突—整合量表」（the Conflict-Integration Continuum, CIC），蒐集自1990年至2012年的「時間序列與橫斷面資料」（TSCS），並建置「東協成員國雙邊互動關係時間序列資料庫」（ASEAN-TSCS Data set）。透過資料庫分析和預測模型之建構，本研究釐清東協雙邊關係變異的解釋因素，並確認對於開發中國家間互動關係的影響關係。 為周延地理解東南亞次區域體系中單元層次（國家間互動）與整體層次（東協整合）的互動連結，本研究對東協歷年構建的安全制度與爭端解決機制進行文本分析，擇取區域內各組雙邊關係進行案例研究。透過對東協國家相對特質與互動事件的比較，進一步檢證次體系內國家間互動行為的關聯特徵，本研究期能為東南亞的整合研究提供一種理論啟示。 / This study aims to interpret regional integration through the lens of bilateral relations. It primarily addresses the factors in bilateral interactions between the Southeast Asian nations and delves into the process in which the ASEAN put forth an architecture to resolve the inherent conflicts between its member states to further promote regional cooperation. Based on theoretical literatures and historical events, this study uses dyadic-level theories to explain interactions among the Southeast Asian countries, chooses “Relative Power,” “Military Capability,” “Regime Types,” “Trade Interdependence,” and “Economic Development” as explanatory variables for bilateral relations between developing countries in this region for the purpose of understanding the choices made by the ASEAN member states towards either conflict or cooperation, and inspects the theoretical proposition of “conflict-cooperation” so as to put forth an explanatory model applicable for changes in the bilateral interactions between the ASEAN countries. The author argues that the bilateral relations in a developing region are not only influenced by the objective characteristics of each country, but also the relative relation to other countries. Therefore, observing the interactions between each individual country to others is required. The independent valuables are also dynamically influencing the approach of integration in the future. In terms of theoretical validation, a conflict-integration continuum (CIC) is designed for this paper with reference to event-data analysis approach, time-series cross-sectional (TSCS) data between 1990 and 2012 is collected, and an ASEAN-TSCS data set is established. By means of database analysis and construction of a prediction model, this research clarifies the explanatory factors for changes in bilateral relations between ASEAN countries and determines the effects that they have on interactions among developing countries. For the purpose of comprehensively understanding interactive linkages between the unit level (interactions amongst nations) and the overall level (ASEAN integration) in the Southeast Asia sub-regional system, this paper performs a text analysis on security regimes and dispute settlement mechanisms constructed by the ASEAN over the years and selects bilateral relations of pairs in the region as case studies. In addition to the data-driven analysis above, comprehensive knowledge of the interactive linkages between individual country and the overall ASEAN are also required. Therefore, a text analysis on security regimes and dispute settlement mechanisms constructed by the ASEAN is also conducted in this thesis. Several pairs of countries are used as case studies to investigate the bilateral relations in this region. By comparing relative qualities and interactional events of ASEAN countries, correlative features of interactions among the countries in the subsystem are further validated, as such, this paper aims to provide a theoretical revelation for research on the integration of Southeast Asia.