GDL

Jurnal Keuangan dan Perbankan, Volume 4, Nomor 2, Mei 2010
Journal from JIPTUNMERPP / 2011-12-19 06:58:30
Oleh : Nurika Restuningdiah, Diploma 3 of Finance and Banking Merdeka University Malang (jurkubank@yahoo.com)
Dibuat : 2010-05-01, dengan file

Keyword : Environmental performance, Corporate Social Responsibility (CSR) disclosure return on Asset

This article investigated both the statistic and dynamicinter dependence of the five stock markets in the original Association of Southeast Asian Nations countries (ASEAN-5), namely Indonesia, Singapore, Malaysia, Thailand and Philipine. Using data from 2000-2008, the paper employed both correlation and co-integration analysis to describe the behavior of the abovemarkets, both before and during 2007-2008 Global financial crisis. Examination of stock market index, using correlation analysis revealed an increase in the interdependencies (increased correlation) across the Southeast Asian stock markets during the crisi. Multivariate co-integration tests showed that ASEAN-5 stock markets only had one significant co intergration vector a long the crisis period. Along the full period there was one vector that significantly integrated or five common frends. This finding indicated the long time co-integration among the ASEAN-5. On the other hand, along the global financial crisis no proof of long time co-integration was found among the ASEAN-5.

Deskripsi Alternatif :

This article investigated both the statistic and dynamicinter dependence of the five stock markets in the original Association of Southeast Asian Nations countries (ASEAN-5), namely Indonesia, Singapore, Malaysia, Thailand and Philipine. Using data from 2000-2008, the paper employed both correlation and co-integration analysis to describe the behavior of the abovemarkets, both before and during 2007-2008 Global financial crisis. Examination of stock market index, using correlation analysis revealed an increase in the interdependencies (increased correlation) across the Southeast Asian stock markets during the crisi. Multivariate co-integration tests showed that ASEAN-5 stock markets only had one significant co intergration vector a long the crisis period. Along the full period there was one vector that significantly integrated or five common frends. This finding indicated the long time co-integration among the ASEAN-5. On the other hand, along the global financial crisis no proof of long time co-integration was found among the ASEAN-5.

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