Analisis Kointegrasi Bursa Efek Indonesia, Malaysia dan Singapura: Pendekatan Pair-Case dan Multivariate
This study aims to examine the stock market cointegration between Indonesia Stock Exchange (IDX), Malaysian Stock Exchange (Bursa Malaysia) and Singapore Stock Exchange (SGX). The weekly stock indexes covering January 2013 to December 2018 are analyzed using the Johansen testing approach with the...
| Main Authors: | , |
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| Format: | Article |
| Language: | Indonesian |
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Universitas Merdeka Malang
2020-06-01
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| Series: | Jurnal Manajemen Dan Kewirausahaan |
| Subjects: | |
| Online Access: | http://jurnal.unmer.ac.id/index.php/jmdk/article/view/3538/pdf |
| Summary: | This study aims to examine the stock market cointegration between Indonesia Stock Exchange (IDX), Malaysian Stock Exchange (Bursa Malaysia) and Singapore Stock Exchange (SGX). The weekly stock indexes covering January 2013 to December 2018 are analyzed using the Johansen testing approach with the Vectorautoregresiv (VAR) framework. This study uses a pair-case and multivariate manner. The results show that multivariate analysis does not show any cointegration between Indonesia, Malaysia, and the Singapore Stock Exchange. However, cointegration exists between the Malaysian and Singapore capital markets. These results confirm that the same results of bivariate analysis do not always support multivariate testing. |
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| ISSN: | 2301-9093 2540-8259 |