Open AccessIndonesia, Malaysia, China Stock Market Long-Term Analysis
Author(s) -
Amsal Irmalis,
Fajri Hadi,
Mirdha Fahlevi
Publication year - 2020
Publication title -
jurnal bisnis dan kajian strategi manajemen
Language(s) - English
Resource type - Journals
eISSN - 2657-1544
pISSN - 2614-2147
DOI - 10.35308/jbkan.v4i2.2578
Subject(s) - stock exchange , cointegration , johansen test , bivariate analysis , china , composite index , capital market , stock market , stock market index , vector autoregression , econometrics , economics , financial economics , stock (firearms) , business , monetary economics , error correction model , finance , mathematics , statistics , geography , context (archaeology) , archaeology
The present paper examines the long-run relationship between the Indonesia Stock Exchange (IDX), Malaysia Stock Exchange (Bursa Malaysia) and China Stock Market (SSE). The data used is the daily price index (daily price) of the composite shares (Composite Index) of each country from 2012-2018. The method used is the bivariate and multivariate cointegration approach with testing using the Johansen Test. To strengthen the proof of independence or interdependence of the capital markets of these countries, an Impulse Responses Function and Var Decomposition test will be conducted.
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