MODEL KOINTEGRASI PASAR MODAL INDONESIA DENGAN PASAR MODAL REGIONAL

Abstract

The purpose of this is research to find out cointegration between capital markets in Indonesia (IHSG) with regional capital markets. By knowing cointegration capital markets will be beneficial to investors as a consideration in the formation of an international portfolio.
Regional stock markets represented by the Singapore Stock Exchange (STI), the Philippine Stock Exchange (PSE) stock exchanges of Malaysia (KLSE) and to other Asian regional stock exchanges used HongKong Stock Exchange (HANSENG) and the Stock Exchange of Japan (NIKKEI) with consideration of both stock exchanges is considered the most powerful influence in the ASEAN region.
Data research using monthly stock index starting fromJanuary 2002 to December 2012. Data analysis tool using the Vector Auto Regression (VAR), Vector Error Correction Model(VECM) and the decomposition analysis. The results showed that there is cointegration between the Indonesian capital market with a regional capital market. Singapore stock exchange is the most influence in the region, while the Philippine stock market is a stock exchange that is least affected by the stock market in this region.
Keywords: Co integration, regional stock exchanges, VectorAuto regression and decomposition