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Jurnal Keuangan dan Perbankan


Stock markets, co-integration, global financial crisis






This article investigated both the stastic
and dynamic inter dependence of the five stock markets in the original
Association of Southeast Asian Nation countries (ASEAN-5), namely Indonesia,
Singapore, Malaysia, Thailand and Philippine. Using data from 2000-2008, the
paper employed both correlation and co-integration analysis to describe the
behavior of the above markets, both before and during 2007-2008 Global
financial crisis. Examination of stock market index, using correlation analysis
revealed an increase in the interdependencies (increased correlation) across
the Southheast Asian stock markets during the crisis. Multivariate
co-integration tests showed that ASEAN-5 stock markets only had one significant
co integration vector along the crisis period. Along the full period there was
one vector that significantly integrated or five common trends. This finding
indicated the long time co-integration among the ASEAN-5 stock markets. On the
order hand, along the global financial crisis no proof of long time
co-integration was found among the ASEAN-5


Vol 14, Nomor 02, Tahun 2010


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