STOCK MARKET INTEGRATION BETWEEN MALAYSIA AND INDONESIA
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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.
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References
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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.
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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)
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