ANALISIS KETERKAITAN DINAMIS PASAR SAHAM DI ANTARA NEGARA-NEGARA ASEAN-5
Keywords:winner-loser anomaly, individual stock, industrial stock.
AbstractThis paper examines bilateral and multilateral integration of the stock markets of Indonesia, Malaysia, the Philippines, Singapore, and Thailand, or ASEAN-5. Using data from January 1999 to January 2008, the paper employs the Johansen cointegration procedure to describe the behaviour of the stock markets in ASEAN-5. With using multivariate co-integration test are carries out for all the above stock markets based on our empirical result show there is evidence of integration among between the ASEAN-5. For pairwise co-integration test or bivariate co-integration, give the empirical result that there are five-pairwise of stock markets Indonesia-Malaysia, Indonesia-Singapore, Indonesia-Thailand, Indonesia-the Philippines, and Singapore-the Phlippines. It seems that there has been significant increase in the integration between the ASEAN-5 stock markets, especially Indonesia stock market integrated with the other stock market.