Analisis Kointegrasi Bursa Efek Indonesia, Malaysia dan Singapura: Pendekatan Pair-Case dan Multivariate

Amsal Irmalis, Fajri Hadi

Abstract


This study aims to examine the stock market cointegration between  Indonesia Stock Exchange (IDX),  Malaysian Stock Exchange (Bursa Malaysia) and Singapore Stock Exchange (SGX). The weekly stock indexes covering January 2013 to December 2018 are analyzed using the Johansen testing approach with the Vectorautoregresiv (VAR) framework. This study uses a pair-case and multivariate manner. The results show that multivariate analysis does not show any cointegration between Indonesia, Malaysia, and the Singapore Stock Exchange. However, cointegration exists between the Malaysian and Singapore capital markets. These results confirm that the same results of  bivariate analysis do not always support multivariate testing.

https://doi.org/10.26905/jmdk.v8i1.3538


Keywords


Cointegration, Diversification, Multivariate, Pair-case

Full Text:

PDF

References


Assidenou, K E. (2011) Cointegration of Major Stock Market Indices during the 2008 Global Financial Distress. International Journal of Economics and Finance. 3(2),212-222. http://www.ccsenet.org/journal/index.php/ijef/article/view/7451

Bhuvaneshwari, D & Ramya, K. (2017) Cointegration and Causality between Stock Prices and Exchange Rate: Empirical Evidence from India. SDMIMD Journal of Management. 8(1), 31-38.

https://www.researchgate.net/publication/317798202_Cointegration_and_Causality_between_Stock_Prices_and_Exchange_Rate_Empirical_Evidence_from_India

Brooks, Chris (2008) Introduction Economitrics for Finance. New York. Cambridge University Press.

https://www.cambridge.org/es/academic/textbooks/introductory-econometrics

Climent, F.J & Meneu V. (2003). Has 1997Asian Crisis Increased Information Flows between International Markets? International Review of Economics and Finance. 12,111–143.

https://www.researchgate.net/publication/223509718_Has_1997_Asian_crisis_increased_information_flows_between_international_markets

Claire G. Gilmore & Ginette M. McManus. (2002) International Portfolio Diversification: US and Central European Equity Markets. Emerging Markets Review.3(1), 69-83

https://www.researchgate.net/publication/222214527_International_Portfolio_Diversification_US_and_Central_European_Equity_Markets

Clare, A.D Maras, M & Thomas, S.H. (1995) The Integration and Efficiency of International Bond Market. Journal of Business Finance. 22(2), 313-322.

https://www.researchgate.net/publication/228049019_The_Integration_and_Efficiency_of_International_Bond_Markets

Danupranata, G. (2003). Pergerakan Bersama (Comovement) Indeks Harga Saham Antar Sektor Industri Di Bursa Efek Jakarta Dengan Menggunakan Pendekatan Statistik Non Parametrik Tahun 1998-2002. Jurnal Keuangan, 1-25.

https://studylibid.com/doc/629325/pergerakan-bersama--comovement--pasar-saham-antar

Ibrahim, M & Mussah, A. (2014) Causality and Cointegration Analysis: Evidence from the Brazilian Stock Market. European Journal of Business and Management. 6(3),130-142.

https://iiste.org/Journals/index.php/EJBM/article/view/10534

Introvigne, S. Bacchiocchi ,E. Vandone,D. (2017) A Cointegration Analysis of Wine Stock Indexes. Risk Governance and Control: Financial Markets & Institutions.7( 4), 178-188.

https://pdfs.semanticscholar.org/a464/bd2fffd8f759f1240186b26135f6b23f7aff.pdf

Lanouar, C., Najah, A., & Teulon, F. (2016). Socially Responsibility Investing and Islamic Fund: New Perspective for Portolio Allocation. Reasearch in International Business and Finance, 351-361.

https://www.sciencedirect.com/science/article/abs/pii/S0275531915300374

Mills, T. C. & Mills, A. G. (1991) The International Transmission of Bond Market Movements, Bulletin of Economic Research 43,.273—82.

https://onlinelibrary.wiley.com/doi/abs/10.1111/j.1467-8586.1991.tb00496.x

Muhajir, H.M (2008) Analisis Kointegrasi: Keterkaitan Jakarta Islamic Indeks Dengan IHSG dan SBI di Bursa Efek Jakarta.

https://www.researchgate.net/publication/277995772_ANALISIS_KOINTEGRASI_KETERKAITAN_JAKARTA_ISLAMIC_INDEKS_DENGAN_IHSG_DAN_SBI_DI_BURSA_EFEK_JAKARTA_Periode_April_2005_-_Juli_2007

Musnadi, Said. Zuraida. Irmalis, A. (2018) Cointegration Analysis of Industrial Sectors on the Indonesia Stock Exchange: A Multivariate Approach. Proceeding of The 136th International IRES Conference.

http://www.worldresearchlibrary.org/up_proc/pdf/1817-153880673429-33.pdf

Puspitasari,A. Siregar,H & Andati,T. (2015) Analisi Integrasi Bursa Saham ASEAN 5. Jurnal Ekonomi dan Kebijakan Pembangunan. 4(22), 187-206.

https://journal.ipb.ac.id/index.php/jekp/article/view/19807/0

Quang, V.T. (2007) Testing Cointegration for Czech Stock Market. Acta Oeconomica Pragensia, 15( 4),17-31.

https://aop.vse.cz/pdfs/aop/2007/04/02.pdf

Robert-jan Gerrits & Ayse Yuce (1999) Short- and Long-Term Links among European and US stock markets, Applied Financial Economics, 9:1

https://ideas.repec.org/a/taf/apfiec/v9y1999i1p1-9.html

Walid, M.A. Ahmed, (2012) On The Interdependence Structure of Market Sector Indices: The Case of Qatar Exchange. Review of Accounting and Finance. 11 (4),468-488.

https://www.emerald.com/insight/content/doi/10.1108/14757701211279204/full/html

Yang, C, Chen, Y, Niu, L, Li, Q.(2014) Cointegration Analysis and Influence Rank - A Network Approach to Global Stock markets. Physica A 400 (2014). 168–185.

https://www.sciencedirect.com/science/article/pii/S0378437114000156




DOI: https://doi.org/10.26905/jmdk.v8i1.3538

Refbacks

  • There are currently no refbacks.


Copyright (c)



Indexing by:

width="150" crossref
width=150;SINTA - Science and Technology Index

 

Index Copernicus International (ICI)

Tools:

TurnitinMendeley - Library 101 Citation Management Tools - Research guides at  University of Toronto

 

In Collaboration with:


 


Jurnal Manajemen dan Kewirausahaan

Management Department Faculty of Economics

University of Merdeka Malang

MAILING ADDRESS
Terusan Dieng Street 62-64, Sukun, Malang City, East Java, 65146, Indonesia
Phone: 081332569864
Email: [email protected]


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