The Integration of International Capital Market from Indonesian Investors’ Perspective: Do Integration Still Give Diversification Benefit

Amizuar, Sabilil Hakimi; Ratnawati, Anny; Andati, Trias

doi:10.5539/ijef.v9n9p157

Cited by 6 publications

(7 citation statements)

References 11 publications

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“…This result shows that IHSG was co-integrated to the global stock market indices; therefore, in the long-run, shocks to the global stock market indices had a significant effect on IHSG. This finding supports Amizuar, Ratnawati, & Andati (2017). By using VECM method and by covering both emerging market and developed market, their analysis provides the evidence of integration between Indonesia stock market and international stock markets.…”

Section: The Relationship Between Ihsg and Six Stock Market Indicessupporting

confidence: 65%

The Effect of Crude Oil Price Shocks on Indonesia Stock Market Performance

Darmawan

Siregar

Hakim

et al. 2020

j. Organisasi dan manaj.

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The main purpose of this study is to observe the effects of the crude oil price shocks on Indonesia stock market performance to complete the literature on Indonesia stock market behavior. We examined the effects of the crude oil price shocks on Indonesia stock market performance through the cointegration relationship mechanism between IHSG and the crude oil price and between IHSG and the global stock market indices. The Brent crude oil price data taken from FRED economic data, the Federal Reserve Bank of St.Lois, and the stock market indices data taken from yahoo.finance.com. By using a vector error correction model (VECM) approach, we found that IHSG has significant long-run relationships with the crude oil price and the global stock market indices. This finding indicates that the effects of the crude oil price shocks on IHSG transmitted directly through the cointegration mechanism between IHSG and the crude oil price, and indirectly through the cointegration mechanism between IHSG and the global stock market indices.

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Section: The Relationship Between Ihsg and Six Stock Market Indicessupporting

confidence: 65%

The Effect of Crude Oil Price Shocks on Indonesia Stock Market Performance

Darmawan

Siregar

Hakim

et al. 2020

j. Organisasi dan manaj.

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show abstract

“…On the other hand, in 2004, Kearney and Lucey [17] emphasized reduced diversification benefits in emerging markets as correlations increase over time [18], [19]. Many authors have confirmed these conclusions [20], [21], [22].…”

Section: Literature Reviewmentioning

confidence: 99%

Testing of portfolio optimization through investments in stock market indices and Bitcoin

Grujić¹,

Mekinjić²,

Vujičić-Stefanović³

2021

Ekonomika preduzeća

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This paper presents an empirical verification of the effectiveness and usefulness of investment diversification using the main stock exchange indices and Bitcoin. The objective is to determine the effects applying the Markowitz portfolio optimization theory, i.e., the advantages of applying the modern portfolio theory for institutional investors. The research offers an answer to the following question: what are the advantages and disadvantages of using Bitcoin in portfolio optimization? The paper contributes to the representation of the reach and limitations of the modern portfolio theory for institutional investors. The conclusion is that rational behaviour of institutional investors requires consideration of portfolio optimization using the Markowitz model, because it is possible to create portfolios which, on the basis of historical returns, provide desired returns alongside certain risks. The methodology includes the analysis of high frequency data, i.e., daily trading data were used. The results indicate that the use of the Markowitz portfolio selection method, with all its limitations, is desirable, possible and applicable, but that it entails serious flaws in the sense of neglecting transaction costs, foreign exchange differences and the real value in the stock market. The results of the research show that Bitcoin is a good source of diversification in a portfolio that contains traditional financial instruments both for the risk-averse investor as well as for those investors who have a greater appetite for risk. The conclusion is that rational behavior of institutional investors requires consideration of investing in Bitcoin using the Markowitz model. However, given the high degree of volatility, investors should be very careful when making decisions about including Bitcoin in the portfolio.

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“…Pasar modal yang semakin terintegrasi dengan semakin tingginya korelasi antar bursa saham, korelasi yang tinggi disebabkan oleh beberapa hal diantaranya, kemajuan teknologi, informasi, komunikasi, serta koordinasi kebijakan antar negara yang semakin tinggi (Robiyanto 2017 [1]; Robiyanto dan Hartanto 2018 [2]). Dampak negatif integrasi pasar modal yaitu kesempatan bagi investor dalam mendapatkan keuntungan dari arbitrage pricing akan terbatas, dampak positifnya terciptanya pasar modal yang lebih efisien dan dapat menciptakan kerjasama perdagangan yang saling menguntungkan (Amizuar, Ratnawati, dan Andati 2017) [3].…”

Section: Pendahuluanunclassified

Pengaruh Indeks Volatilitas, Nilai Tukar dan Pertumbuhan Ekonomi Terhadap Integrasi Pasar Modal ASEAN Dengan Pasar Modal Amerika Serikat

Listiana,

Robiyanto

2021

jakb

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There are many variables which will be influencing capital market integration. Some of those variables are come from external factor, such as Volatility Index (VIX), exchange rate, and economic growth. This study aims to analyze the effect of VIX, exchange rate, and economic growth to the integration of ASEAN capital market and United States capital market. The data was collected from secondary data in the form of VIX quarterly data, exchange rate, economic growth, ASEAN capital market such as Indonesia (JKSE), Singapore (STI), Philippines (PSEi), Thailand (SETi), Malaysia (KLCI), and United States capital market (DJIA) during the first quarter from 2005 to third quarter 2020. Further, the data was analyze by using DCC GARCH method was used to see the dynamic correlation between ASEAN capital market and US capital market. Hence, GARCH method to examine the effect of changes in VIX, exchange rate, and economic growth for ASEAN capital market and US capital market. The result showed a positive dynamic correlation between ASEAN capital market and US capital market, the presence of VIX and exchange rate has significant effect for ASEAN capital market and US capital market, while economic growth only has significant effect to the integration of STI.

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The Integration of International Capital Market from Indonesian Investors’ Perspective: Do Integration Still Give Diversification Benefit

Cited by 6 publications

References 11 publications

The Effect of Crude Oil Price Shocks on Indonesia Stock Market Performance

The Effect of Crude Oil Price Shocks on Indonesia Stock Market Performance

Testing of portfolio optimization through investments in stock market indices and Bitcoin

Pengaruh Indeks Volatilitas, Nilai Tukar dan Pertumbuhan Ekonomi Terhadap Integrasi Pasar Modal ASEAN Dengan Pasar Modal Amerika Serikat

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