International linkage of stock prices: the case of Indonesia

Abstract

If you would like to write for this, or any other Emerald publication, then please use our Emerald for Authors service information about how to choose which publication to write for and submission guidelines are available for all. Please visit www.emeraldinsight.com/authors for more information. About Emerald www.emeraldinsight.comEmerald is a global publisher linking research and practice to the benefit of society. The company manages a portfolio of more than 290 journals and over 2,350 books and book series volumes, as well as providing an extensive range of online products and additional customer resources and services.Emerald is both COUNTER 4 and TRANSFER compliant. The organization is a partner of the Committee on Publication Ethics (COPE) and also works with Portico and the LOCKSS initiative for digital archive preservation. Inter na tional Link age of Stock Prices: The Case of In do ne siaby Man sor H. Ibra him, De part ment of Eco nom ics, Inter na tional Is lamic Uni ver sity, KM 16 Jalan Gombak 53100, Kuala Lum pur, Ma lay sia Ab stractThe pa per evalu ates the in ter na tional link age of In do ne sian stock mar ket dur ing pre-crisis and post-crisis pe ri ods us ing time se ries tech niques of co inte gra tion and vec tor autore gres sion (VAR). We find evi dence for lack of coin te gra tion among the In do ne sian mar ket, other ASEAN mar kets (Ma lay sia, the Phil ip pines, Sin ga pore and Thai land) and two ad vanced mar kets (the US and Ja pan) dur ing both pre-crisis and post-crisis pe ri ods. Look ing at short run dy nam ics, we docu ment evi dence for sub stan tial in ter ac tions among the ASEAN mar kets. How ever, it seems that the In do ne sian mar ket be comes more seg mented from other ASEAN mar kets dur ing the post-crisis pe riod. Ad di tion ally, while most ASEAN mar kets re spond quickly to shocks in the US re gard less of the sam ple pe riod and seem to be less in flu enced by the Japa nese mar ket post cri sis, the In do ne sian mar ket be comes more re sponsive to the de vel oped mar kets of the US and Ja pan dur ing the post cri sis period.

Kemeruapan Bersyarat dan Korelasi Dinamik Pasaran Saham ASEAN

“…Antaranya, kajian ke atas pasaran saham ASEAN (Ibrahim 2006a(Ibrahim , 2006bKarim & Karim 2012;Hwa, Teng & Sheng 2012), kajian ke atas pasaran saham Asia Baharumshah et al 2003;Tai 2007), kajian khusus untuk negara tertentu seperti Singapura (Maysami & Koh 2000), Indonesia (Ibrahim 2005), Poland dan Hungary (Li & Majerowska 2008), Eropah (Fonseca 2008) dan pasaran saham utama dunia seperti Amerika Syarikat (US), United Kingdom (UK), Jepun dan Jerman (Morana & Beltratti 2008). Selain itu, terdapat kajian ke atas pasaran saham Asia dan hubungannya dengan US dan Jepun (Maysami & Koh 2000;Baharumshah et al 2003;Ibrahim 2005Ibrahim , 2006aIbrahim , 2006b.…”

“…Dalam kajian lepas ada membincangkan tentang corak dan gelagat kemeruapan dalam sejumlah pasaran saham Asia termasuk Malaysia. Antaranya Ibrahim (2005), Chakrabarti (2011) Hasil ujian hipotesis menunjukkan korelasi antara pulangan saham ASEAN adalah bersifat dinamik iaitu berubah mengikut masa seperti yang ditunjukkan oleh hipotesis nol, H 0 : θ 1 = θ 2 = 0 ditolak pada aras keertian 0.01 (1%). Sementara, kesan asimetri adalah signifi kan terutama dalam pasaran saham Singapura, Indonesia dan Filipina.…”

“…Hasil keputusan ini mencadangkan bahawa kesan asimetri adalah signifikan dan mempengaruhi korelasi antara pulangan saham iaitu kesan tindak balas ke atas sesuatu kejutan (negatif) yang berlaku dalam Karim (2012). Hasil kajian Ibrahim (2005) Berdasarkan senario di atas, tiada penjelasan yang khusus berkaitan dengan sebab mengapa kemeruapan pasaran saham Malaysia didapati lebih tinggi pada masa krisis kewangan Asia dan sebaliknya didapati lebih rendah pada masa krisis kewangan global. Senario yang sama juga berlaku bagi pasaran lain.…”

Stock Market Integration and International Portfolio Diversification between U.S. and ASEAN Equity Markets

“…In other words, if the degree of integration between the international markets is high, the potential returns from these markets will be minimal. Moreover, the studies on the ASEAN stock market integration done by Ibrahim (2000Ibrahim ( , 2005, Hee (2002) and Azman-Saini et al (2002) indicates that ASEAN markets become more integrated between themselves and U.S. market during the post recent Asian crisis period.…”

Stock Market Return and Volatility Spillovers: The Case of Selected Muslim Majority Countries

“…A. -Stock market return volatility .... 70 the markets (Ibrahim, 2005), helps attain economic prosperity (Lee & Hsieh, 2014;Lee, Huang, & Yin, 2013), and decreases the cost of capital (Odell & Ali, 2016). But on account of contagion impact of crises, the national markets grip shocks rapidly through an increased volatility spillover.…”