INTERNATIONAL LINKAGES TO THE INDONESIAN CAPITAL MARKET : COINTEGRATION TEST

Authors

  • Yoopi Abimanyu
  • Nur Sigit Warsidi
  • Sunu Kartiko
  • Ridiani Kurnia
  • Tety Mahrani

DOI:

https://doi.org/10.31685/kek.v16i2.43

Keywords:

Capital Market, Cointegration Test, Stock, Market

Abstract

This paper explores the international linkages of the Indonesian capital market using cointegration tests to examine the long-run equilibrium relationship between the stock markets of Indonesia with China, France, Germany, Hong Kong, Japan, Korea, Malaysia, Netherlands, Philippine, Singapore, Thailand, Taiwan, the United Kingdom, and the United States. The method used in this paper is visual inspection, followed by Johansen cointegration. Our results show that there exist cointegration between these stock market indices except between Indonesia and Philippine.

References

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Published

2015-11-09

Issue

Vol. 16 No. 2 (2012)

Section

Articles

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