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Integrasi Pasar Saham Asean-5

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• Code	CallNo	Lokasi	Ketersediaan
  D4531	D4531	Perpustakaan Sekolah Pascasarjana	Tersedia

• Perpustakaan	Sekolah Pascasarjana
  Judul Seri	-
  No. Panggil	D4531
  Penerbit	: Bandung., 2017
  Deskripsi Fisik	-
  Bahasa	Indonesia
  ISBN/ISSN	-
  Klasifikasi	NONE
  Tipe Isi	-
  Tipe Media	-
  Tipe Pembawa	-
  Edisi	-
  Subyek	Integrasi Pasar Saham Asean-5
  Info Detil Spesifik	-
  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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