This study aims to determine the integration level of Southeast Asian stock market with the world stock market using an international capital asset pricing model. The countries that were sampled in this study were Indonesia, Malaysia, Philippines, Singapore and Thailand. The sample period starts from January 2000 until August 2016. This study uses an partially-segmented international capital asset pricing model by including the assumption of residual that were correlated between asset pricing equations. Because of this assumption, the seemingly unrelated regression (SUR) estimation method is more appropriately compared to the ordinary least square (OLS) method. The results of this study indicate that the integration level of Southeast Asian stock market varies. The Singapore and Thailand stock markets are fully integrated with the world stock market, the Indonesian and Malaysian stock markets are partially integrated with the world stock market, while the Philippine stock market is segmented with the world stock market. This finding shows the difference in the effectiveness of the stock market liberalization process in Southeast Asia
This study investigates the predictability of sample skewness on Indonesian stock market returns as represented by the JCI, LQ45, and JCI. The sample period starts from January 2001 to December 2022, with a prediction period from July 2009 to December 2022 that accommodates the COVID-19 pandemic crisis. The results showed that sample skewness was able to predict market excess returns one month in advance. This ability emerged, especially when the COVID-19 pandemic crisis hit. This finding indicates that investors tend to look for securities that have lottery-like characteristics, which causes the price of these securities to experience mispricing. However, this mispricing can be adjusted in the next period so that this strategy is not profitable to implement. Keywords: Market return predictability, Sample skewness, Sample variance Abstrak Penelitian ini bertujuan untuk menginvestigasi kemampuan prediksi (prediktabilitas) sample skewness terhadap return pasar saham indonesia yang diwakili oleh IHSG, LQ45, dan JCI. Periode sampel dimulai dari Januari 2001 sampai Desember 2022 dengan periode prediksi dari Juli 2009 sampai Desember 2022 yang mengakomodir krisis pandemi Covid-19. Hasil penelitian menunjukkan bahwa sample skewness mampu memprediksi excess return pasar satu bulan ke depan. Kemampuan ini muncul khususnya saat krisis pandemi Covid-19 melanda. Temuan ini mengindikasikan bahwa investor cenderung mencari sekuritas yang memiliki karakteristik seperti lotere yang menyebabkan harga sekuritas ini mengalami mispricing. Akan tetapi, mispricing ini dapat disesuaikan di periode selanjutnya sehingga strategi ini tidak menguntungkan untuk diterapkan. Keywords: Prediktabilitas return pasar, Sample skewness, Sample variance
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