Path: Top Journal Jurnal_Keuangan_dan_Perbankan 2017

THE ANALYSIS OF CAPITAL MARKET INTEGRATION IN ASEAN REGION BY USING THE OGARCH APPROACH

Jurnal Keuangan dan Perbankan: Volume 21, Nomor 2, April 2017
Journal from JIPTUNMERPP / 2017-10-04 11:21:01
Oleh : Robiyanto , Diploma 3 of Banking and Finance Merdeka University Malang
Dibuat : 2017-04-01, dengan 0 file

Keyword : ASEAN, integrasi pasar modal, Orthogonal Generalized Autoregressive Conditional Heteroscedasticity (OGARCH), Principal Component Analysis (PCA), ASEAN, capital market integration, Orthogonal Generalized Autoregressive Conditional Heteroscedasticity (OGARCH), Principal Component Analysis (PCA)
Url : http://drive.google.com/file/d/0B0uNqoBLtJGvNFNRMkEtYlM5RFU/view?usp=sharing

Integrasi pasar modal merupakan topik yang menarik banyak perhatian peneliti di pasar modal secara regional maupun internasional. Sayangnya berbagai penelitian yang telah dilakukan cenderung menggunakan alat analisis yang belum mampu menyimpulkan derajat integrasi pasar modal secara kuantitatif sehingga diperlukan suatu penelitian yang mampu mengukur derajat integrasi pasar modal secara kuantitatif. Penelitian ini mengkaji integrasi pasar modal di kawasan ASEAN dengan menggunakan metode Orthogonal Generalized Autoregressive Conditional Heteroscedasticity (OGARCH) yang dapat menghasilkan derajat integrasi secara kuantitatif. Pasar modal yang dikaji adalah Bursa Efek Indonesia, Kuala Lumpur Stock Exchange, Stock Exchange Thailand, Singapore Stock Exchange dan Philipines Stock Exchange selama periode Januari 2001 – Desember 2016. Penelitian ini menemukan bahwa terdapat comovement pada pasar modal-pasar modal ASEAN yang dikaji, namun tidak semua pasar modal ini terintegrasi sepenuhnya. Penelitian ini juga menemukan bahwa Bursa Efek Indonesia, Kuala Lumpur Stock Exchange, Stock Exchange Thailand, dan Singapore Stock Exchange terintegrasi namun Philipines Stock Exchange tidak. Philipines Stock Exchange cenderung tersegmentasi daripada terintegrasi.

Deskripsi Alternatif :

Capital market integration is a topic that attracts a lot of research interests in regional and international capital markets. Unfortunately, the various studies that have been done tend to use analytical tools that have not been able to conclude the degree of capital market integration quantitatively, hence a study that is able to measure the degree of capital market integration quantitatively is required. This study investigated the capital markets integration in ASEAN by using the Orthogonal Generalized Autoregressive Conditional Heteroscedasticity (OGARCH) method which could provide the degree of integration quantitatively. Capital markets studied were Indonesia Stock Exchange, Kuala Lumpur Stock Exchange, Thailand Stock Exchange, Singapore Stock Exchange and Philippines Stock Exchange during period of January 2001 – December 2016. The result of this study was there was a co-movement among ASEAN capital markets studied, but not all these ASEAN capital markets were fully integrated. This study also found that Indonesia Stock Exchange, Kuala Lumpur Stock Exchange, Stock Exchange Thailand, and Singapore Stock Exchange were integrated but Philippines Stock Exchange was not. The Philippines Stock Exchange tended to be segmented rather than integrated.

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PropertiNilai Properti
ID PublisherJIPTUNMERPP
OrganisasiDiploma 3 of Banking and Finance Merdeka University Malang
Nama KontakDra. Wiwik Supriyanti, SS
AlamatJl. Terusan Halimun 11 B
KotaMalang
DaerahJawa Timur
NegaraIndonesia
Telepon0341-563504
Fax0341-563504
E-mail Administratorperpus@unmer.ac.id
E-mail CKOwsupriyanti@yahoo.com

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  • Editor: Wiwik Supriyanti, Dra. SS.