Studi interlinkage Bursa Saham Indonesia dengan beberapa bursa saham Asia Pacifik, Eropa, dan Amerika Serikat (periode 1999 - 2009)

Deskripsi

This study aims to show international linkage of Indonesia stock market with worldwide stock markets. Based on test results with Granger causality, Johansen cointegration test, as well as modeling VAR, impulse response function and the last variance decomposition, confirmed that the Indonesian stock market was influenced by the majority of Asia Pacific stock markets, the majority of the European stock market, and the United States stock market both in short term and long term. Others observation indicate that the Indonesian stock market (emerging market) with smaller market capitalization is significantly influenced by U.S. stock market (developed market) which is a stock market with a largest market capitalization in the world.Ada tabel