International Linkages to the Indonesian Capital Market : Cointegration Test

Abstract

This paper explores the international linkages of the Indonesian capital market using cointegration tests to examine the long-run equilibrium relationship between the stock markets of Indonesia with China, France, Germany, Hong Kong, Japan, Korea, Malaysia, Netherlands, Philippine, Singapore, Thailand, Taiwan, the United Kingdom, and the United States. The method used in this paper is visual inspection, followed by Johansen cointegration. Our results show that there exist cointegration between these stock market indices except between Indonesia and Philippine.

Analisis Contagion Informasi Kenaikan Pajak Warga Amerika Terhadap Indeks Pasar Modal Tujuh Negara Kaya Berkembang

“…Uji Kointegrasi dilakukan untuk mengetahui hubungan antar pasar modal dan adanya pergerakan secara bersamasama (Abimanyu, et al, 2008). Berikut ini adalah rumus matematis dari uji -0,000006 -0,000005 0,002131 -0,001506 0,000274 Brasil -0,000006 0,000000 0,001702 -0,001554 0,000342 India 0,000001 0,000000 0,002795 -0,001802 0,000198 Indonesia 0,000011 0,000000 0,003557 -0,001709 0,000390 Meksiko 0,000004 -0,000007 0,003599 -0,001493 0,000281 Turki 0,000002 0,000000 0,002295 -0,001231 0,000356 n = 1140, sumber: data diolah, 2013 Tabel 7.…”