Cristabel, Elisabet Nathalia (2019) THE COINTEGRATION AND INTERDEPENDENCE RELATIONSHIP BETWEEN DEVELOPED, EUROPEAN AND SOUTHEAST ASIAN STOCK MARKET. S1 thesis, UAJY.
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Abstract
The stock market plays a pivotal role in the growth of the industry and commerce
of the country that eventually affects the economy of the country to a great extent.
That is reason that the government, industry and even the central banks of the
country keep a close watch on the happenings of the stock market. The topic of
this research is to examine and highlight the cointegration of South East Asian
stock markets vis-à-vis developed and European stock markets from January 1998
to December 2017. The assessment of interdependence between stock markets is
an important aspect of international portfolio management.
This research used Johansen Cointegration System and Granger Causality model
test as analysis tool. Johansen Cointegration System and Granger causality model
are employed to analyze the stock market’s return of each variable’s relationship.
The analysis indicates that the emerging Southeast Asian stock market and
developed countries stock market have stability relationship and the similarity
movement in the long-run. The analysis also uncover that the movement of
trading volume is useful information to predict future return in Indonesian stock
market. Furthermore, the result of Granger Causality test shows that there is
bidirectional (causality) relationship between JKSE and KLCI. Unidirectional
(causality) relationship can also be found mostly between developed stock
markets to emerging Southeast Asian stock market.
| Item Type: | Thesis (S1) |
|---|---|
| Uncontrolled Keywords: | Stock market, cointegration, Johansen system, Granger Causality, Southeast Asian stock market, European Stock Market. |
| Subjects: | Business Management > International Financial Management |
| Divisions: | Fakultas Ekonomi > Manajemen Internasional |
| Depositing User: | Editor 2 uajy |
| Date Deposited: | 12 Mar 2019 02:42 |
| Last Modified: | 12 Mar 2019 02:42 |
| URI: | https://repository.uajy.ac.id/id/eprint/17463 |
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