GDL

Jurnal Keuangan dan Perbankan: Volume 20, Nomer 2, Mei 2016
Journal from JIPTUNMERPP / 2016-11-03 15:27:47
Oleh : Tarsisius Renald Suganda ; Yonatan Soetrisno, Diploma 3 of Banking and Finance Merdeka University Malang
Dibuat : 2016-05-01, dengan file

Keyword : capital market comovement, contagion effect, subprime mortgage, Greece financial crisis, ASEAN countries

Financial market comovement in ASEAN main member countries is still attractive to scrunitized, becau
se this
area is vulnerable to the impact on a global economic event. This study examined capital market inte
gration of
five ASEAN main members (Indonesia, Singapore, Malaysia, Philippines, and Thailand) by using Septemb
er
2008—30 April 2013 data period. This period will divided into the post 2008 Subprime Mortgage crisis
period and the post 2010 Greece crisis period. Vector Autoregressive (VAR) was used to test the comovement
occurance among these capital markets and Granger ausality Test was used to analyze the contagion effect among these capital markets. The finding shows that the comovement was occurred among Indonesia, Malay-sia, Singapore and ThailandÂ’s capital market during September 2008 to 30 April 2013 period. The comovement was still occured after 2008 Subpime Mortgage crisis period and 2010 Greece crisis period, although there is country namely Philippines which did not have the comovement at all against the other countries. Further-more, the finding shows that Indonesia capital market gives contagion effect to other ASEAN countries after 2008 Subprime Mortgage crisis and Greece financial crisis

Deskripsi Alternatif :

Financial market comovement in ASEAN main member countries is still attractive to scrunitized, becau
se this
area is vulnerable to the impact on a global economic event. This study examined capital market inte
gration of
five ASEAN main members (Indonesia, Singapore, Malaysia, Philippines, and Thailand) by using Septemb
er
2008—30 April 2013 data period. This period will divided into the post 2008 Subprime Mortgage crisis
period and the post 2010 Greece crisis period. Vector Autoregressive (VAR) was used to test the comovement
occurance among these capital markets and Granger ausality Test was used to analyze the contagion effect among these capital markets. The finding shows that the comovement was occurred among Indonesia, Malay-sia, Singapore and ThailandÂ’s capital market during September 2008 to 30 April 2013 period. The comovement was still occured after 2008 Subpime Mortgage crisis period and 2010 Greece crisis period, although there is country namely Philippines which did not have the comovement at all against the other countries. Further-more, the finding shows that Indonesia capital market gives contagion effect to other ASEAN countries after 2008 Subprime Mortgage crisis and Greece financial crisis

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