INTEGRASI PASAR SAHAM ASEAN-5: ANALISIS SEBELUM DAN SEPANJANG KRISIS KEUANGAN GLOBAL 2007-2008
ABFI Institute Perbanas Jakarta
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This article investigated both the static and dynamic inter dependence of the five stock markets in the original Association of Southeast Asian Nations countries (ASEAN-5), namely Indonesia, Singapore, Malaysia, Thailand and Philippine. Using data from 2000-2008, the paper employed both correlation and co-integration analysis to describe the behavior of the above markets, both before and during 2007-2008 Global financial crisis. Examination of stock market index, using correlation analysis revealed an increase in the interdependencies (increased correlation) across the Southeast Asian stock markets during the crisis. Multivariate co-integration tests showed that ASEAN-5 stock markets only had one significant co integration vector along the crisis period. Along the full period there was one vector that significantly integrated or five common trends. This finding indicated the long time co-integration among the ASEAN-5 stock markets. On the other hand, along the global financial crisis no proof of long time co-integration was found among the ASEAN-5.
Key words: stock markets, co-integration, global financial crisis