The data used in this research is from the
publicly listed firms of 8 stock markets; Bursa or
MYX, HNX, HOSE, IDX, PSE, SET, MAI, and SGX for
the years 1995–2012. The study period is divided
into 2 sub periods; the years 1995–2003 which is
prior to the official approval of ASEAN integration
as AEC, and the years 2004–2012 which is the
subsequent period, and both are 9-year periods.