HUBUNGAN KAUSALITAS HARGA SAHAM DAN NILAI TUKAR DI NEGARA-NEGARA ASEAN-5

Abstract

This study aims to analyze the causality relationship between stock prices and exchange rates in the countries of ASEAN-5 region are classified as emerging stock markets, namely Indonesia, Singapore, Malaysia, Thailand, and the Philippines to make use of the method of cointegration and Granger causality testing during the period 2000 to 2012 using weekly data. Based on bivariate cointegration test results indicate that the stock market and currency of Indonesia, Singapore, and Thailand are not mutually cointegrated, while Malaysia and the Philippines each country cointegrated. For Granger causality testing, the stock market and the forex market the Philippines has a causality relationship. For the stock market and foreign exchange market of Indonesia, Malaysia, and Singapore show the relationship in one direction, ie stock prices are influenced by the exchange rate. Meanwhile, the stock market and the forex market Thailand does not have a good relationship and a two-way direction which means that the exchange rate does not affect the stock price, and vice versa does not affect the price of the stock exchange