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Integrasi Pasar Saham Asean-5


Some recent studies, found no evidence of stock market integration, on the other
hand others have indicated an increased degree of stock ...

  • CodeCallNoLokasiKetersediaan
    D4531D4531Perpustakaan Sekolah PascasarjanaTersedia
  • Perpustakaan
    Sekolah Pascasarjana
    Judul Seri
    -
    No. Panggil
    D4531
    Penerbit : Bandung.,
    Deskripsi Fisik
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    Bahasa
    Indonesia
    ISBN/ISSN
    -
    Klasifikasi
    NONE
    Tipe Isi
    -
    Tipe Media
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    Tipe Pembawa
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    Edisi
    -
    Subyek
    Info Detil Spesifik
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    Pernyataan Tanggungjawab
  • Some recent studies, found no evidence of stock market integration, on the other
    hand others have indicated an increased degree of stock market integration over
    time. Therefore, the empirical findings are mixed. In addition, earlier market
    integration studies were based on various versions of asset pricing models while
    more recent studies have tended to rely on econometric techniques. Thus, this
    thesis focuses on stock market integration in the region by using econometric
    techniques.
    Therefore, the results of research on the interaction between stock returns and
    exchange rate changes are mixed. there is a research that states that exchange
    rates affect the stock price, on the other hand there are researchers who found that
    stock prices affect the exchange rate. Thus the findings of the empirical
    relationship between stock prices and the exchange rate are mixed
    Therefore, the empirical findings the integration of stock market and relationship
    between exchange rate and stock market are mixed.
    The study utilizes a vector?autoregression (VAR) framework to estimate crossmarket
    correlations. The VAR methodology is appropriate for this study because
    it is difficult to segregate the degree of shocks that is transmitted from one market
    to the other. This methodology considers the endogeneity of the variables in the
    system and incorporates the impact of lagged values of these variables.
    Based on the results of studies with VAR models, it can be concluded that the
    integration of the stock markets of ASEAN-5 have been integrated, and the
    movement of ASEAN-5 exchange rate has affected the ASEAN-5 stock indices
    ASEAN-5, As well as the movement of the Dow Jones stock index influence the
    ASEAN-5.
    The above can be seen from the analysis which based on the characteristics of the
    model through the variance decomposition (VD), it provides information about
    the contribution of variables to one endogenous variable that is being observed in
    the VAR system and it also can be seen from the variance decomposition, that is
    how big the difference between the variance before and after the shock, either
    originating both from ourselves and shock of other variables

    ABSTRAK

    Berdasarkan hasil studi tidak menemukan bukti adanya integrasi pasar saham,
    namun di sisi lain terdapat hasil studi justru menemukan adanya peningkatan
    integrasi pasar saham dari waktu ke waktu. Dengan demikian, temuan empiris
    masih belum seragam. Selain itu, studi integrasi pasar saham sebelumnya
    didasarkan pada berbagai versi, seperti asset pricing model sementara studi yang
    lebih baru cenderung mengandalkan teknik ekonometrik. Desertasi ini berfokus
    pada integrasi pasar saham di tingkat regional dengan menggunakan teknik
    ekonometrik.
    Demikian pula hasil penelitian tentang interaksi antara return saham dan
    perubahan nilai tukar, masih belum seragam, ada hasil penelitian yang
    menyatakan bahwa nilai tukar mempengaruhi harga saham di pihak lain ada
    peneliti yang menemukan bahwa harga saham mempengaruhi nilai tukar. Dengan
    demikian temuan empiris hubungan antara harga saham dengan nilai tukar masih
    belum seragam
    Dengan demikian temuan empiris tentang integrasi pasar saham dan hubungan
    antara nilai tukar dengan pasar saham masih belum seragam.
    Penelitian ini menggunakan kerangka kerja vektor-autoregresi (VAR) untuk
    memperkirakan saling keterkaitan antar pasar sasam. Metodologi VAR sesuai
    untuk penelitian ini karena sulit untuk memisahkan tingkat guncangan yang
    ditularkan dari satu pasar ke pasar yang lain. Metodologi ini menganggap
    endogeneity variabel dalam sistem dan menggabungkan dampak nilai-nilai
    tertinggal dari variabel-variabel ini.
    Berdasarkan hasil kajian dengan model VAR dapat disimpulkan bahwa integrasi
    pasar saham ASEAN-5 telah terintegrasi, dan pergerakan nilai tukar ASEAN-5
    berpengaruh terhadap indeks saham ASEAN-5, demikian juga pergerakan
    indeks Dow Jones berpengaruh terhadap indeks saham ASEAN-5.
    Hal diatas dapat dilihat dari hasil analisis berdasarkan karakteristik model melalui
    variance decomposition (VD) memberikan keterangan tentang kontribusi
    variabel-variabel terhadap salah satu variabel endogen yang sedang diamati dalam
    sistem VAR. juga dapat terlihat dari Variance decomposition yaitu seberapa besar
    perbedaan antara variance sebelum dan sesudah adanya guncangan baik
    guncangan yang berasal dari diri sendiri maupun guncangan dari variabel lain
    Therefore, the results of research on the interaction between stock returns and
    exchange rate changes are mixed. there is a research that states that exchange
    rates affect the stock price, on the other hand there are researchers who found that
    stock prices affect the exchange rate. Thus the findings of the empirical
    relationship between stock prices and the exchange rate are mixed.
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