STOCK MARKET INTEGRATION BETWEEN MALAYSIA AND INDONESIA
Abstract Views:
93 times
PDF - FULL TEXT Downloads:
110 times
Keywords:
stock market integration, Indonesian and Malaysian composite index, GARCH model
Abstract
This research is done to prove the integration market between Indonesian and Malaysian composite index. In this research, it used the GARCH model because of the classic assumption test of non heteroscedasticity model are not fulfilled. The research is quantitative research. It used the data from yahoo finance starting on January 2008 until December 2012. The samples used in this research are 1220 data from each Indonesian and Malaysian return price in daily basis. The data was processed into several test and hypothesis. The research results indicates that Malaysian composite index have a significant impact on Indonesian composite index in the same day. The data will be useful for investor to predict the return of Indonesian composite index.
Downloads
Download data is not yet available.
References
Armanious, A.N.R., 2007, Globalization Effect On Stock Exchange Integration, Working paper, Cairo University
Bhamra, H.S., 2002, International Stock Market Integration: A Dynamic General Equilibrium Approach.
Bollerslev, T., 1986, Generalized Autoregressive Conditional Heteroskedasticity, Journal of Econometrics, 307-327
Dolk, D.R., and Kottemann, J.E., 1993, Model Integration and A Theory of Model, Decision Support Systems 9, 51-63
Karim, A.K., Majid, M.S.A., and Karim, S.A.A., 2009, Financial Integration between Indonesia and Its Major Trading Partners, Working papers,
Universiti Malaysia Sarawak, International Islamic University Malaysia, Universiti Teknologi Petronas.
Kewal, S.S., 2012, “Pengaruh Inflasi, Suku Bunga, Kurs, dan Pertumbuhan PDB Terhadap Indeks Harga Saham Gabungan”, Jurnal Economia, Vol.8.
Korajczyk, R.A.,1995, A Measure of Stock Market Integration for Developed and Emerging Markets, Working paper, Northwestern University.
Setiawan, K., 2011, An Alternative Perspective on the Stock Market Integration: Multilateral Measure of the Degree of Integration, Working paper, Gajah Mada University.
Winarno, W.W., 2011, Analisis Ekonometrika dan Statistika dengan Eviews, Vol.3.
Witjaksono, A.A., 2010, “Analisis Pengaruh Tingkat Suku Bunga SBI, Harga Minyak Dunia, Harga Emas Dunia, Kurs Rupiah, Indeks Nikkei 225, dan Indeks Dow Jones terhadap IHSG”, Thesis, Universitas Diponegoro.
Yeoh, B.K., Arsad, Z., and Hooy, C.W., 2010, Stock Market Integration Measurement Investigation of Malaysia and Singapore Stock Markets, World Academy of Science, Engineering and Technology 42.
Yi, Z., and Tan, S.L., 2009, An Empirical Analysis of Stock Market Intehration: Comparison Study of Singapore and Malaysia, the Singapore Economic Review, vol 54, 217-232.
http://business.illinois.edu/finance_dev/lesson13_2_1.asp, retrieved 19 September 2012
http://www.canstar.com.au/home-loans/global-financial-crisis/, retrieved 10 July 2013
http://id.wikipedia.org/wiki/Indeks_Harga_Saham_Gabungan#
Metode_perhitungan, retrieved 19 September 2012
http://www.idx.co.id/id-id/beranda/informasi/bagiinvestor/indeks.aspx, retrieved 26 June 2013
http://www.investopedia.com/terms/i/investment.asp, retrieved 15 August 2012
http://www.jurnas.com/halaman/11/2012-05-29/210409, retrieved 15 August 2012
Bhamra, H.S., 2002, International Stock Market Integration: A Dynamic General Equilibrium Approach.
Bollerslev, T., 1986, Generalized Autoregressive Conditional Heteroskedasticity, Journal of Econometrics, 307-327
Dolk, D.R., and Kottemann, J.E., 1993, Model Integration and A Theory of Model, Decision Support Systems 9, 51-63
Karim, A.K., Majid, M.S.A., and Karim, S.A.A., 2009, Financial Integration between Indonesia and Its Major Trading Partners, Working papers,
Universiti Malaysia Sarawak, International Islamic University Malaysia, Universiti Teknologi Petronas.
Kewal, S.S., 2012, “Pengaruh Inflasi, Suku Bunga, Kurs, dan Pertumbuhan PDB Terhadap Indeks Harga Saham Gabungan”, Jurnal Economia, Vol.8.
Korajczyk, R.A.,1995, A Measure of Stock Market Integration for Developed and Emerging Markets, Working paper, Northwestern University.
Setiawan, K., 2011, An Alternative Perspective on the Stock Market Integration: Multilateral Measure of the Degree of Integration, Working paper, Gajah Mada University.
Winarno, W.W., 2011, Analisis Ekonometrika dan Statistika dengan Eviews, Vol.3.
Witjaksono, A.A., 2010, “Analisis Pengaruh Tingkat Suku Bunga SBI, Harga Minyak Dunia, Harga Emas Dunia, Kurs Rupiah, Indeks Nikkei 225, dan Indeks Dow Jones terhadap IHSG”, Thesis, Universitas Diponegoro.
Yeoh, B.K., Arsad, Z., and Hooy, C.W., 2010, Stock Market Integration Measurement Investigation of Malaysia and Singapore Stock Markets, World Academy of Science, Engineering and Technology 42.
Yi, Z., and Tan, S.L., 2009, An Empirical Analysis of Stock Market Intehration: Comparison Study of Singapore and Malaysia, the Singapore Economic Review, vol 54, 217-232.
http://business.illinois.edu/finance_dev/lesson13_2_1.asp, retrieved 19 September 2012
http://www.canstar.com.au/home-loans/global-financial-crisis/, retrieved 10 July 2013
http://id.wikipedia.org/wiki/Indeks_Harga_Saham_Gabungan#
Metode_perhitungan, retrieved 19 September 2012
http://www.idx.co.id/id-id/beranda/informasi/bagiinvestor/indeks.aspx, retrieved 26 June 2013
http://www.investopedia.com/terms/i/investment.asp, retrieved 15 August 2012
http://www.jurnas.com/halaman/11/2012-05-29/210409, retrieved 15 August 2012
Published
2013-09-20
Section
Bidang International Business Network (IBN)
- Articles published in CALYPTRA are licensed under a Creative Commons Attribution-ShareAlike 4.0 International license. You are free to copy, transform, or redistribute articles for any lawful purpose in any medium, provided you give appropriate credit to the original author(s) and the journal, link to the license, indicate if changes were made, and redistribute any derivative work under the same license.
- Copyright on articles is retained by the respective author(s), without restrictions. A non-exclusive license is granted to CALYPTRA to publish the article and identify itself as its original publisher, along with the commercial right to include the article in a hardcopy issue for sale to libraries and individuals.
- By publishing in CALYPTRA, authors grant any third party the right to use their article to the extent provided by the Creative Commons Attribution-ShareAlike 4.0 International license.
