The Integration of ASEAN-5 Capital Market after the Donald Trump Election

Tarsisius Renald Suganda, Anneth Regina Hariyono

Abstract


Donald Trump’s victory as the 45th President of the United States had negative responses on the ASEAN countries, especially on the stock market performance. This study conducted to investigate the existence of integration and contagion effect on the capital market of the ASEAN-5 countries after the election of Donald Trump. The five countries used in the research were Indonesia, Singapore, Malaysia, Thailand, and the Philippines. The five countries selected based on the highest FDI (foreign direct investment) flows among other ASEAN countries. Vector Error Correction models (VECM) and Granger Causality tests used as the analysis tools in the study. The daily closing stock price index of ASEAN-5 countries in 2016–2017 collected to be analyzed. The result of VECM model analysis and Granger causality test found the integration and contagion effect of the capital market in ASEAN-5 countries. The Granger Causality test showed that the Philippines had a contagion effect from other ASEAN-5 countries after the election of Donald Trump as the 45th President of the United States. In addition, it also found a two-way causal relationship between Singapore and Thailand, which showed that these two countries gave each other contagion effects.

JEL Classification: G31, G32, G34

DOI: https://doi.org/10.26905/jkdp.v22i4.1990


Keywords


ASEAN-5; Contagion Effect; Donald Trump Election; Integration

Full Text:

PDF

References


Ayuningtyas, A. (2009). Kajian Empiris Integrasi Ekonomi ASEAN+3: Analisis Pertumbuhan Ekonomi dan Konvergensi Kurs. Theses. Institut Pertanian Bogor.

Chandra, J. Y. (2015). Analisa kointegrasi pasar modal ASEAN-5 sebelum, saat, dan setelah krisis subprime mortgage. FINESTA, 3(1), 24–29.

Dornbusch, R., Park, Y. C., & Claessens, S. (2000). Contagion: Understanding how it spreads. The World Bank Research Observer, 15(2), 177–197. http://doi.org/10.1093/wbro/15.2.177.

Fisman, R. (2001). Estimating the value of political connections. The American Economic Review, 91(4), 1095–1102. http://doi.org/10.1257/aer.91.4.1095

Huyghebaert, N., & Wang, L. (2010). The co-movement of stock markets in East Asia. Did the 1997–1998 Asian financial crisis really strengthen stock market integration ? China Economic Review, 21(1), 98–112. http://doi.org/10.1016/j.chieco.2009.11.001.

Karim, B. A., & Karim, Z. A. (2012). Integration of ASEAN-5 stock markets: A revisit. Asian Academy of Management Journal of Accounting and Finance, 8(2), 21–41.

Karim, B. A., & Majid, M. S. A. (2009). International linkages among stock markets of Malaysia and its major trading partners. Journal of Asia-Pacific Business, 10(4), 326–351. http://doi.org/10.1080/10599230903340304.

Krueger, A. O. (1974). The political economy seeking of the society. The American Economic Review, 64(3), 291–303. http://doi.org/10.2307/1808883.

Kusuma, D. (2016). Trump Unggul Sementara dalam Pilpres AS, Bursa Saham Asia Berguguran. Retrieved from https://finance.detik.com/bursa-valas/3340996/trump-unggul-sementara-dalam-pilpres-as-bursa-saham-asia-berguguran.

Nainggolan, A. A. (2010). Analisis Pengaruh Peristiwa Politik (Turunnya Suharto, Mahathir dan Thaksin) Terhadap Integrasi Pasar Modal (Studi Pada Bursa di Lima Negara ASEAN). Theses. Fakultas Ekonomi Universitas Diponegoro.

Nugroho, A. C. A. R. S. (2016). Bursa Saham 9 November: JKSE Ditutup Melemah 0,11%. Retrieved from http://market.bisnis.com/read/20171109/7/707447/bursa-saham-9-november-JKSE-akan-kembali-tertekan/.

Pontianak Post. (2016). Pasar Saham Goncang, Efek Kemenangan Donald Trump. Retrieved from http://www.pontianakpost.co.id/pasar-saham-goncang-efek-kemenangan-donald-trump.

Roberts, B. E. (1990). A dead senator tells no lies: Seniority and the distribution of federal benefits. American Journal of Political Science, 34(1), 31-58. http://doi.org/10.2307/2111510.

Robiyanto, R. (2017). The analysis of capital market integration in ASEAN region by using the OGARCH Approach. Jurnal Keuangan dan Perbankan, 21(40), 169–175. Retrieved from: http://jurnal.unmer.ac.id/index.php/jkdp/article/view/1138

Setiawan, S. (2017). Catatan 2017, IHSG Berhasil Tembus Rekor Tertinggi Sepanjang Masa. Retrieved May 18th, 2018 from https://ekonomi.kompas.com/read/2017/12/26/063253926/catatan-2017-ihsg-berhasil-tembus-rekor-tertinggi-sepanjang-masa.

Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48, 1-48. http://doi.org/10.2307/1912017

Suganda, T. R., & Soetrisno, Y. (2016). Uji integrasi dan contagion effect pasar modal pada lima negara ASEAN (Riset empiris pasca terjadinya krisis subprime mortgage dan krisis greece). Jurnal Keuangan dan Perbankan, 20(2), 252–262. Retrieved from: http://jurnal.unmer.ac.id/index.php/jkdp/article/view/358

Tempo. (2016). Donald Trump Menang, Bursa Saham Filipina Jatuh. Retrieved from: https://bisnis.tempo.co/read/819625/donald-trump-menang-bursa-saham-filipina-jatuh.




DOI: https://doi.org/10.26905/jkdp.v22i4.1990

Refbacks

  • There are currently no refbacks.


Bookmark and Share


Jurnal Keuangan dan Perbankan (Journal of Finance and Banking)

Diploma Program of Banking and Finance, Faculty of Economics and Business, University of Merdeka Malang

Published by University of Merdeka Malang

Mailing Address:
2nd floor Finance and Banking Building, Jl. Terusan Raya Dieng No. 57 Malang, East Java, Indonesia
Phone: -
Email: [email protected]

This work is licensed under a Creative
Commons Attribution-ShareAlike 4.0