STRUKTUR HUBUNGAN JANGKA PENDEK PASAR SAHAM INTERNASIONAL DENGAN PASAR SAHAM ASEAN-5  

Oleh:

Endri

Jenis: Article from Journal - ilmiah nasional - terakreditasi DIKTI
Dalam koleksi: Jurnal Keuangan dan Perbankan: Journal of Finance dan Banking vol. 11 no. 2 (Dec. 2009), page 121-137.
Topik: Structural VAR; Structural Shock; Contemporaneous Relationships

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ12.1 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This research was intended to investigate the integration of the stock market in the South East Asian Nation ASEAN-5 that is categorized as the developing stock markets, those are Indonesia, Singapore, Malaysia, Thailand and Philippine and correlate them with the influence of the strong stock market, those are US and Japan stock market with applied Structural VAR model. Empirical result showed that the contemporaneous correlation structure shown that US stock market was the most exogenous and had the strongest and the most significant influence to the ASEAN-5 stock markets, especially Singapore and Philippine stock markets for all period of the investigation. The Japan stock market had the positive, significant and consistent influence for all three period of the investigation to the Indonesia, Malaysia and Thailand stock markets. The shock coefficient of Singapore is bigger than the shock coefficient of US and Japan stock market to those three stock markets. During the crisis, there was a significant increasing in the shock coefficient of Singapore stock market to the shock of stock market in Indonesia, Malaysia and Thailand

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