Is There Any Sectoral Cointegration in Indonesia Equity Market?
This research analyzes short and medium-run cointegration relationship among 9 sectoral indices in Indonesia equity market (JCI), using 2012-2016 weekly closing prices as the data. Researchers analyzed the relationship among these sectors using Johansen-Julius Cointegration Test and predict the caus...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Prasetiya Mulya Publishing
2018-03-01
|
| Series: | International Research Journal of Business Studies |
| Subjects: | |
| Online Access: | http://irjbs.com/index.php/jurnalirjbs/article/view/1241 |
| _version_ | 1811218358231629824 |
|---|---|
| author | Aileen Clarissa Surya Gabriella Natasha |
| author_facet | Aileen Clarissa Surya Gabriella Natasha |
| author_sort | Aileen Clarissa Surya |
| collection | DOAJ |
| description | This research analyzes short and medium-run cointegration relationship among 9 sectoral indices in Indonesia equity market (JCI), using 2012-2016 weekly closing prices as the data. Researchers analyzed the relationship among these sectors using Johansen-Julius Cointegration Test and predict the causal relationship using Engle-Granger Causality and model the causalities using Vector Error Correction Model. Researchers findings based on the empirical results of Johansen cointegration tests are there is no cointegration in the short-run as the sector indices performance are caused by unique moving factors that affect all sectors differently. However, there is a medium run relationship among the sectors as they are moved by macroeconomic and political conditions towards the same direction. Other two methods, Engle-Granger and VECM, are also supporting the results from Johansen cointegration tests. The findings from this research can be useful as an insight for investors and fund managers in minimizing portfolio risk by using sectoral diversification, which based on the research can only be applied in the short run period. |
| first_indexed | 2024-04-12T07:08:05Z |
| format | Article |
| id | doaj.art-27b341de56594838a049d10168adf6ea |
| institution | Directory Open Access Journal |
| issn | 2089-6271 2338-4565 |
| language | English |
| last_indexed | 2024-04-12T07:08:05Z |
| publishDate | 2018-03-01 |
| publisher | Prasetiya Mulya Publishing |
| record_format | Article |
| series | International Research Journal of Business Studies |
| spelling | doaj.art-27b341de56594838a049d10168adf6ea2022-12-22T03:42:43ZengPrasetiya Mulya PublishingInternational Research Journal of Business Studies2089-62712338-45652018-03-0110315917210.21632/irjbs.10.3.159-172Is There Any Sectoral Cointegration in Indonesia Equity Market?Aileen Clarissa Surya0Gabriella Natasha1Universitas Prasetiya Mulya, Jakarta, IndonesiaUniversitas Prasetiya Mulya, Jakarta, IndonesiaThis research analyzes short and medium-run cointegration relationship among 9 sectoral indices in Indonesia equity market (JCI), using 2012-2016 weekly closing prices as the data. Researchers analyzed the relationship among these sectors using Johansen-Julius Cointegration Test and predict the causal relationship using Engle-Granger Causality and model the causalities using Vector Error Correction Model. Researchers findings based on the empirical results of Johansen cointegration tests are there is no cointegration in the short-run as the sector indices performance are caused by unique moving factors that affect all sectors differently. However, there is a medium run relationship among the sectors as they are moved by macroeconomic and political conditions towards the same direction. Other two methods, Engle-Granger and VECM, are also supporting the results from Johansen cointegration tests. The findings from this research can be useful as an insight for investors and fund managers in minimizing portfolio risk by using sectoral diversification, which based on the research can only be applied in the short run period.http://irjbs.com/index.php/jurnalirjbs/article/view/1241Stock MarketSectoral IntegrationPortfolio DiversificationJCI sectors |
| spellingShingle | Aileen Clarissa Surya Gabriella Natasha Is There Any Sectoral Cointegration in Indonesia Equity Market? International Research Journal of Business Studies Stock Market Sectoral Integration Portfolio Diversification JCI sectors |
| title | Is There Any Sectoral Cointegration in Indonesia Equity Market? |
| title_full | Is There Any Sectoral Cointegration in Indonesia Equity Market? |
| title_fullStr | Is There Any Sectoral Cointegration in Indonesia Equity Market? |
| title_full_unstemmed | Is There Any Sectoral Cointegration in Indonesia Equity Market? |
| title_short | Is There Any Sectoral Cointegration in Indonesia Equity Market? |
| title_sort | is there any sectoral cointegration in indonesia equity market |
| topic | Stock Market Sectoral Integration Portfolio Diversification JCI sectors |
| url | http://irjbs.com/index.php/jurnalirjbs/article/view/1241 |
| work_keys_str_mv | AT aileenclarissasurya isthereanysectoralcointegrationinindonesiaequitymarket AT gabriellanatasha isthereanysectoralcointegrationinindonesiaequitymarket |