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ARE THE FIVE ASEAN STOCK PRICE INDICES DYNAMICALLY INTERACTED? | Atmadja | Jurnal Akuntansi dan Keuangan

ARE THE FIVE ASEAN STOCK PRICE INDICES DYNAMICALLY INTERACTED?

Adwin Surja Atmadja




Abstract


This study seeks to examine the dynamic interactions of stock price indices in five ASEAN countries, Indonesia; Malaysia; the Philippines; Singapore; and Thailand with particular attention to the 1997 Asian financial crisis and period onwards. Using monthly time series data of the stock price indices countries, a vector error correction model (VECM) is employed to empirically examine the interaction among the variables. The finding is that the five ASEAN stock market prices were found to be integrated with two cointegrating vectors during the sample period, and that accounting innovation analyses show the short run dynamic interactions among those stock markets. The important implication might be drawn from the finding is that portfolio diversification across the five ASEAN stock markets is unlikely to reduce investment risk due to high degree of financial integration of these markets.


Abstract in Bahasa Indonesia :

Studi ini bertujuan meneliti interaksi dinamis antara indeks harga saham yang terdapat di lima negara ASEAN, yaitu Indonesia, Malaysia, Filipina, Singapura, dan Thailan yang terjadi selama masa krisis finansial Asia tahun 1997 dan periode sesudahnya. Dengan menggunakan data time series bulanan indeks harga saham dari kelima negara tersebut selama periode penelitian, suatu vector error correction model (VECM) diaplikasikan untuk meneliti secara empiris interaksi dinamis yang terjadi diantara berbagai variabel yang dipergunakan dalam penelitian ini. Dari hasil penelitian ditemukan dua vektor kointegrasi (cointegration vector) selama masa penelitian, dan analisa inovasi akuntansi (accounting innovation analyses) menunjukan adanya interaksi dinamis jangka pendek diantara pasar saham tersebut. Implikasi penting yang mungkin perlu diperhatikan dari penemuan ini adalah bahwa diversifikasi portofolio saham pada lima pasar saham tersebut agaknya tidak akan secara signifikan mengurangi tingkat resiko investasi. Hal ini dikarenakan oleh tingginya tingkat integrasi diantara pasar saham tersebut.

Kata kunci: krisis finansial Asia, integrasi pasar modal, VECM.


Keywords


ASEAN financial crisis, stock markets integration, VECM.

Full Text: PDF

The Journal is published by The Institute of Research & Community Outreach - Petra Christian University. It available online supported by Directorate General of Higher Education - Ministry of National Education - Republic of Indonesia.


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