Nurhayati, Mafizatun
(2012)
ANALISIS INTEGRASI PASAR MODAL KAWASAN ASEAN
DALAM RANGKA MENUJU MASYARAKAT EKONOMI ASEAN.
SEMINAR NASIONAL DAN CALL FOR PAPERS .
ISSN ISBN: 978-979-3649-65-8
Abstract
Capital market integration has been investigated using co-integration with the
Johansen co-integration approach and ARDL (Autoregressive Distributed Lag).
Utilizing the composite stocks price index data on the capital market of
Indonesia, Malaysia, Singapore, Philippines and Thailand were analyzed to
determine the extent and nature of capital market integration. In general, the
study of market integration can provide information about how markets operate,
which may be useful for improving capital market policies, monitoring the
movement of stocks prices, stocks price prediction, and improve the investment
policy. In the current capital market situation, the hypothesis that happens is that
only the capital market in Indonesia are significantly influenced by the capital
markets of Malaysia, Singapore, the Philippines, and Thailand capital markets do
not affect each other. Thus capital markets integrated in the ASEAN region, but
not completely.
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