Analysis of the Effect of Asean 4 Stock Exchange, Japan and China to the Indonesian Stock Exchange in the Period of 2009- 2019 Using Vector Error Correction Model (Vecm) Method

DOI

10.2991/assehr.k.211102.010How to use a DOI?

Keywords

Integration; ASEAN; index; VECM

Abstract

The form of economic integration between countries can be established through cooperation between countries. Economic integration can have an impact on both domestic and regional capital markets. This study aims to determine and analyze the influence of the capital markets of ASEAN countries, Japan and China on performance of IHSG from 2009 until 2019. This type of research is quantitative research. The research samples were four countries in the ASEAN region and the two countries with the highest PMA in Indonesia. The data analysis technique in this study used the VECM (Vector Error Correction Model) method with stationary test, VAR stability test, optimum lag test, cointegration test, VECM. The results of the study indicate that there is integration between the Indonesian capital market and the regional capital markets of ASEAN (Singapore, Malaysia, Philippines, Thailand), Japan and China. However, in the short term all capital markets have no significant relationship, while in the long term only the Singapore and Japanese capital markets have a significant relationship.

Copyright

© 2021 The Authors. Published by Atlantis Press SARL.

Open Access

This is an open access article under the CC BY-NC license.

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TY  - CONF
AU  - Nuryunianto
AU  - Adriana Syariefur Rakhmat
PY  - 2021
DA  - 2021/11/16
TI  - Analysis of the Effect of Asean 4 Stock Exchange, Japan and China to the Indonesian Stock Exchange in the Period of 2009- 2019 Using Vector Error Correction Model (Vecm) Method
BT  - Proceedings of the 1st International Conference on Research in Social Sciences and Humanities (ICoRSH 2020)
PB  - Atlantis Press
SP  - 73
EP  - 78
SN  - 2352-5398
UR  - https://doi.org/10.2991/assehr.k.211102.010
DO  - 10.2991/assehr.k.211102.010
ID  - 2021
ER  -