Riko Hendrawan_abstract_1522011

KOINTEGRASI BURSA-BURSA SAHAM DI ASIA

Riko Hendrawan
Teika Trikartika Gustyana
Institut Manajemen TELKOM
Jl. Setiabudi No.156A, Bandung, 40152
Telp. +62 22 203 5691/ Fax. +62 22 203 3830
E-mai: riko_hendrawan@yahoo.com

Abstract
One important indicator of capital market development could be seen from the value of the composite stock price index. Composite stock price index reflected the performance of all shares registered in particular country. The objective of this research was to know whether there was co integration or long-term equilibrium among Indonesia, Malaysia, Singapore, Thailand, Philippines, Hongkong, Japan, South Korea and China, either in groups or in pairs using the method of co-integration during January 2000 – January 2010. The results of this research using Johansen Co-Integration test  indicated that there was long-term equilibrium among Indonesia, Malaysia, Singapore, Thailand, Philippines, Hongkong, Japan, South Korea and China in the period of January 2000 – January 2010, in groups and in pairs. The results showed that the South Korea stock market was the most influential to the Indonesian stock markets, and China’s stock market was the most dominant stock market among these countries during January 2000 – January 2010.

Key words:  Composite index, co-integration, multivariate, Johansen Co-Integration Test.

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