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Analisis tingkat integrasi pasar saham Brazil, Rusia, India, China dan Indonesia periode 2005 - 2009
In the context of globalization, the process of stock market integration across countries has long been a subject of discussion in financial research. In this study, the level of integration among stock markets of Brazil, Russia, India, China, Indonesia from 2005-2009 is examined using Granger causality test, vector autoregression, cointegration test, and sensitivity analysis. The evidence suggests that the stock markets among the countries examined are integrated even though the linkages are not yet strong, with the majority of countries that have dominant economic power influencing those with less economic power. Other factors such as the volume of bilateral trade and the value of foreign direct investments also play a role in explaining the linkages that are present. Using the cointegration test, the long-run equilibrium among the countries examined has not been found, indicating the possibility of doing international diversification. Generally it is found that the stock markets examined need more than 5 working days to go back to its normal level after there is a shock in another country.Ada tabel
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| 7246 | PSB lt.2 - Karya Akhir | 1 |
| Penerbit | Depok Program Studi Manajemen Fakultas Ekonomi Universitas Indonesia., 2011 |
|---|---|
| Edisi | - |
| Subjek | Financial management Stock markets Granger causality Cointegration Vector Autoregression |
| ISBN/ISSN | - |
| Klasifikasi | - |
| Deskripsi Fisik | ix, 63 p. ; 30 cmxiv, 119 p. : diagr. ; 30 cm |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |