LONG-TERM CO-INTEGRATION OF STOCK MARKET INDICES: STUDY CASE IN INDONESIA, THE UNITED STATES (DOW JONES INDUSTRIAL AVERAGE), HONG KONG, JAPAN, KOREA, SINGAPORE PERIOD 2009-2019
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Institusion
Universitas Telkom
Author
SHELIA NOVARULY SAHITA DEWI
Subject
INVESTMENT ANALYSIS
Datestamp
2020-01-30 00:00:00
Abstract :
ABSTRACT In 2019 global economic growth has been downgraded to 3 percent. As recent softness abates, world growth is projected to edge up to 3,4 percent in 2020 and to 3,6 percent in 2021. One of the indicators of recession is the inverted yield curve of the United States during trade war between the United States and China. Hong Kong, Japan and South Korea are representative reference for Asian stock market movement. The slowdown of global economic growth also effecting Singapore in all areas. In this research used quantitative approach by using time series over January 2nd, 2009 to October 31st, 2019. Variables of this research are; Indonesia Composite Indeks (^JKSE) as dependent variable, Japan (Nikkei 225), Korea (KOSPI), Hong Kong (Hang Seng) and Singapore (Straits Times Index) as independent variables. In this research used Engle-Granger co-integration test. The result is there are co-integration relation between Indonesia and the United States. But Japan, Korea, Hong Kong and Singapore are not cointegrated. Keyword: Economic Growth;Recession; Stock Price Indices; Co-integration; Engle-Granger
ABSTRACT In 2019 global economic growth has been downgraded to 3 percent. As recent softness abates, world growth is projected to edge up to 3,4 percent in 2020 and to 3,6 percent in 2021. One of the indicators of recession is the inverted yield curve of the United States during trade war between the United States and China. Hong Kong, Japan and South Korea are representative reference for Asian stock market movement. The slowdown of global economic growth also effecting Singapore in all areas. In this research used quantitative approach by using time series over January 2nd, 2009 to October 31st, 2019. Variables of this research are; Indonesia Composite Indeks (^JKSE) as dependent variable, Japan (Nikkei 225), Korea (KOSPI), Hong Kong (Hang Seng) and Singapore (Straits Times Index) as independent variables. In this research used Engle-Granger co-integration test. The result is there are co-integration relation between Indonesia and the United States. But Japan, Korea, Hong Kong and Singapore are not cointegrated. Keyword: Economic Growth;Recession; Stock Price Indices; Co-integration; Engle-Granger
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