The Corelation of Pandemic and Indonesia Presidency of G20 in The Capital Market G20 Member Countries
The correlation between the capital market of G20 member countries is important to analyze. Depending on a country’s economy, capital market integration may have different effects. A more intense bilateral relationship (trade intensity) can significantly affect the movement of capital market shares...
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| Format: | Article |
| Language: | Indonesian |
| Published: |
Pusat Pembinaan, Pendidikan, dan Pelatihan Perencana Bappenas
2022-12-01
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| Series: | The Journal of Indonesia Sustainable Development Planning |
| Subjects: | |
| Online Access: | http://journal.pusbindiklatren.bappenas.go.id/lib/jisdep/article/view/315 |
| _version_ | 1797397442001371136 |
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| author | Rahma Tri Benita |
| author_facet | Rahma Tri Benita |
| author_sort | Rahma Tri Benita |
| collection | DOAJ |
| description | The correlation between the capital market of G20 member countries is important to analyze.
Depending on a country’s economy, capital market integration may have different effects. A more intense
bilateral relationship (trade intensity) can significantly affect the movement of capital market shares
between countries. The current research used the Multivariate GARCH Model/DCC-GARCH method. The
condition of capital market integration before the Indonesian G20 Presidency showed that Indonesia
(JKSE) had the strongest integration with Australia (ASX) (0.563814) and South Korea (KOSPI) (0.542470).
After the G20 presidency, Indonesia (JKSE) had the strongest capital market integration with India (NSE)
(0.507229) and the USA (NYSE). It was also found that China (SSE) had an integration with South Korea
(KOSPI), while Germany (DAX) and Australia (ASX) had an integration with the UK (FTSE100). The
conclusion is that the higher autocorrelation, the higher the effect of the volatility of stock market
movements in the two countries involved. Furthermore, capital market integration can be influenced by
geospatial and economic relations. |
| first_indexed | 2024-03-09T01:11:01Z |
| format | Article |
| id | doaj.art-cffa20a4af574768b895dd3e113f9a5d |
| institution | Directory Open Access Journal |
| issn | 2721-8309 2722-0842 |
| language | Indonesian |
| last_indexed | 2024-03-09T01:11:01Z |
| publishDate | 2022-12-01 |
| publisher | Pusat Pembinaan, Pendidikan, dan Pelatihan Perencana Bappenas |
| record_format | Article |
| series | The Journal of Indonesia Sustainable Development Planning |
| spelling | doaj.art-cffa20a4af574768b895dd3e113f9a5d2023-12-11T07:28:39ZindPusat Pembinaan, Pendidikan, dan Pelatihan Perencana BappenasThe Journal of Indonesia Sustainable Development Planning2721-83092722-08422022-12-013329430310.46456/jisdep.v3i3.315315The Corelation of Pandemic and Indonesia Presidency of G20 in The Capital Market G20 Member CountriesRahma Tri Benita0BappenasThe correlation between the capital market of G20 member countries is important to analyze. Depending on a country’s economy, capital market integration may have different effects. A more intense bilateral relationship (trade intensity) can significantly affect the movement of capital market shares between countries. The current research used the Multivariate GARCH Model/DCC-GARCH method. The condition of capital market integration before the Indonesian G20 Presidency showed that Indonesia (JKSE) had the strongest integration with Australia (ASX) (0.563814) and South Korea (KOSPI) (0.542470). After the G20 presidency, Indonesia (JKSE) had the strongest capital market integration with India (NSE) (0.507229) and the USA (NYSE). It was also found that China (SSE) had an integration with South Korea (KOSPI), while Germany (DAX) and Australia (ASX) had an integration with the UK (FTSE100). The conclusion is that the higher autocorrelation, the higher the effect of the volatility of stock market movements in the two countries involved. Furthermore, capital market integration can be influenced by geospatial and economic relations.http://journal.pusbindiklatren.bappenas.go.id/lib/jisdep/article/view/315dccgarchg20integration |
| spellingShingle | Rahma Tri Benita The Corelation of Pandemic and Indonesia Presidency of G20 in The Capital Market G20 Member Countries The Journal of Indonesia Sustainable Development Planning dcc garch g20 integration |
| title | The Corelation of Pandemic and Indonesia Presidency of G20 in The Capital Market G20 Member Countries |
| title_full | The Corelation of Pandemic and Indonesia Presidency of G20 in The Capital Market G20 Member Countries |
| title_fullStr | The Corelation of Pandemic and Indonesia Presidency of G20 in The Capital Market G20 Member Countries |
| title_full_unstemmed | The Corelation of Pandemic and Indonesia Presidency of G20 in The Capital Market G20 Member Countries |
| title_short | The Corelation of Pandemic and Indonesia Presidency of G20 in The Capital Market G20 Member Countries |
| title_sort | corelation of pandemic and indonesia presidency of g20 in the capital market g20 member countries |
| topic | dcc garch g20 integration |
| url | http://journal.pusbindiklatren.bappenas.go.id/lib/jisdep/article/view/315 |
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