Indonesian Stock Market’s Dynamic Integration with Asian Stock Markets and World Stock Markets

Abstract

The study examines the relationship and integration of stock markets by using a DCC-GARCH from the period of is chosen because in this period there has been a revocation of foreign ownership restrictions on the Indonesia Stock Exchange. By using this dynamic approach, the relationship, even the integration, of the ever-changing stock markets need to be analyzed with an approach that can accommodate and capture the dynamism of emerging stock markets studied in more detail. Beside DCC-GARCH, several additional analysis were also conducted. The data used in this study are the stock price index data on the stock markets studied namely Nikkei 225 index, Dow Jones . This study found that after subprime mortgage crisis in 2008, the Indonesian stock market was more integrated with several stock markets in Asia and especially in the stock markets in the ASEAN region. By separating the study period into three periods of pre-crisis, during crisis and post-crisis, this study found that the level of stock market integration in Indonesia with stock markets in Asia and the world is increasing. This study shows the importance of dynamic approach's usage in stock market integration analysis. dan Indeks Komposit Jakarta (JCI). Kajian ini mendapati selepas krisis "gadai janji subprima" pada tahun 2008, pasaran saham Indonesia lebih terintegrasi dengan beberapa pasaran saham di Asia dan terutama di pasaran saham di rantau ASEAN. Dengan memisahkan tempoh kajian kepada tiga tempoh pra-krisis, semasa krisis dan pasca krisis, kajian ini mendapati bahawa tahap integrasi pasaran saham di Indonesia dengan pasaran saham di Asia dan dunia semakin meningkat. Kajian ini menunjukkan kepentingan penggunaan pendekatan dinamik dalam analisis integrasi pasaran saham.Kata kunci: DCC-GARCH; integrasi pasaran saham; segmen pasaran saham; pasaran baru muncul, pasaran mantap JPengurusan 15 (52) 2018.indd 181

Measuring Asian Stock Market Integration by Using Orthogonal Generalized Autoregressive Conditional Heteroscedasticity

“…This is higher than all period and pre-GFC period. This finding also consistent with Robiyanto (2018b). Meanwhile, the principal component (PC) 2 has an eigenvalue of 0.717 with a proportion of 0.079.…”

“…This finding is also supported by the results of Robiyanto (2018b) study which used dynamic methods in predicting capital market integration in ASEAN countries. Robiyanto (2018b) found that capital markets in ASEAN countries tended to have stronger dynamic correlations after the GFC.…”

Islamic stock market and sukuk market development, economic growth, and trade openness (the case of Indonesia and Malaysia)

“…In literature related with the stock market and bond market, there is a "flight-to-quality" phenomenon, which explains that investors tend to shift their capital from risky investments like stocks to safer investments like bonds. This opinion is supported by Baur and Lucey (2009), Durand et al (2009), Guler and Ozlale (2005), Robiyanto (2018aRobiyanto ( , 2018bRobiyanto ( , 2018c, Robiyanto et al (2017aRobiyanto et al ( , 2017b. Their research results revealed that during a financial fluctuation period (financial crisis), investors tend to switch from high risk assets (like stocks) to safer assets (bonds).…”

Gold VS Bond: What Is the Safe Haven for the Indonesian and Malaysian Capital Market?

“…The following describes the definitions of the operational variables used in this study. Returns on the Indonesian stock market were calculated from the CSPI's returns by applying this following formula (Robiyanto 2018b Return on gold per gram in rupiah (GOLDIDR) was calculated from GOLDIDR which was counted by converting the world gold price per troy ounce in US dollars (GOLD) into rupiah per gram by following the US dollar exchange rate against the rupiah (USDIDR). The calculation was done as follows:…”