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Co-integration and Co-movement Between Asian Stock Price Index and Jakarta Composite Index

Indonesian Capital Market Review

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Title Co-integration and Co-movement Between Asian Stock Price Index and Jakarta Composite Index
 
Creator Stevanius Stevanius; Faculty of Economics and Business, Gadjah Mada University, Indonesia
Sukmawati Sukamulja; Faculty of Economics and Business, Gadjah Mada University, Indonesia
 
Subject Co-integration, Co-movement, interdependence, integration, Asian stock, Vector Error Correction Model
 
Description The profit from international diversification to eliminate risks has caused investors to spread their capital to different international stock exchanges. The dynamic relations among stock exchanges indicate the presence of one or two-way relations among the stock exchanges. This happens because of the interdependence and integration that takes place among stock exchanges, such as interdependence among Asian markets.  This research aims to analyze and discuss co-integration and co-movement between Asian stock price index and Indonesia. The research design used Vector Error Correction Model. The results of this research prove that in the short-term, there is a relationship between Kuala Lumpur Composite Index, Stock Exchange of Thailand Index, and Hang Seng Index against Jakarta Composite Index. In the results of co-integration test, there are co-integration and co-movement between the capital markets of Malaysia, Thailand, South Korea, Japan, Singapore, and Hong Kong with Indonesia capital market.
 
Publisher Management Research Center, Department of Management, Faculty of Economics and Business, U
 
Contributor —
 
Date 2020-06-11
 
Type —
 
Format application/pdf
 
Identifier http://journal.ui.ac.id/index.php/icmr/article/view/12175
 
Source Indonesian Capital Market Review; Vol 12, No 1 (2020): January 2020; 55-68
 
Language en