Open AccessCONTAGION EFFECT ANTAR NEGARA ASEAN-5
Author(s) -
R. Adisetiawan,
Ahmadi Ahmadi
Publication year - 2018
Publication title -
jurnal manajemen dan sains
Language(s) - English
Resource type - Journals
eISSN - 2541-688X
pISSN - 2541-6243
DOI - 10.33087/jmas.v3i2.58
Subject(s) - granger causality , stock (firearms) , indonesian , stock exchange , economics , contagion effect , financial contagion , business , international economics , monetary economics , econometrics , geography , financial crisis , finance , macroeconomics , linguistics , philosophy , archaeology
This study was conducted to determine whether there is a contagion effect on the stock exchanges among ASEAN-5 countries (Indonesia, Singapore, Malaysia, Thailand and Philippines) during 2001.1 - 2018.5 period using the monthly return data of the five ASEAN-5 stock exchanges. This study uses granger causality test to see the direction of mutual influence that indicates the existence of contagion effect. The results revealed that the Indonesian stock exchange has a mutually influential relationship with the Thai stock exchange.