KOINTEGRASI PASAR SAHAM ASIA PASIFIK: IMPLIKASI DIVERSIFIKASI INTERNATIONAL

Abstract

This study aims to investigate the dynamic linkage of stock markets in the Asia Pacific region countries by applying the cointegration approach during the period of before, during and after the global financial crisis of 2007. Empirical results show that during the period of before the crisis and after the global financial crisis (stable period), the Asia-Pacific stock markets are cointegrated and the cointegration are increasing during the crisis period (unstable). The result is different if advanced Asia-Pacific stock markets, namely: the U.S., Japan, and Hong Kong are excluded in testing process. The Asia-Pacific emerging stock markets show mutual cointegration only in the period of before and after the global financial crisis, while there is not mutually cointegration during crisis period. These empirical results show evidence that the advanced stock market strongly affect the emerging stock market. The Asia-Pacific stock markets cointegration has important implications on portfolio diversification for international investors in establishing their portfolio in the Asia-Pacific stock markets