Open AccessANALISIS INTEGRASI BURSA SAHAM ASEAN 5
Author(s) -
Ardina Puspitasari,
Hermanto Siregar,
Trias Andati
Publication year - 2018
Publication title -
jurnal ekonomi dan kebijakan pembangunan
Language(s) - English
Resource type - Journals
eISSN - 2686-2514
pISSN - 1979-5149
DOI - 10.29244/jekp.4.2.187-206
Subject(s) - cointegration , error correction model , stock (firearms) , stock market , economics , oil price , financial economics , market integration , econometrics , monetary economics , business , international economics , macroeconomics , geography , context (archaeology) , archaeology
This study aimed to analyze the integration of the stock markets of ASEAN 5 (Indonesia, Malaysia, Singapore, Thailand, and the Philippines) associated with the event of dropped world oil prices in 2014. This study using Vector Error Correction Model (VECM) to analyze market integration 5 stocks with variable stock market. In this study uses a dummy variable of oil price with the value of 0 for the period 2009 to 2013 where world oil prices are still stable and the value of 1 for the period 2014 to 2015 where a decline in world oil prices. Results from this study shows that there is a relationship between the stock market cointegration ASEAN 5 during the study period that’s mean that there is integration among ASEAN 5 stock markets. Indonesia's stock market is influenced by Thailand and Singapore in the long term. Dummy variables significantly influence the JCI during the short term.