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

Shelia Novaruly, Irni Yunita

Abstract

Abstract In 2019 global economic growth has been downgraded to 3 percent, below previous projection 0,6 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. National Association for Business Economic (NABE)’s survey produces risk of recession enhances and threatens global economic growth. One of indicators of recession is the inverted yield curve of the United State during trade war between the United State and China. In this research used quantitative approach by using time series over January 2nd, 2009 to October 31st, 2019. Variables of this research are; Indonesia (^JKSE) as dependent variable, Japan (Nikkei 225), Korea (KOSPI), Hong Kong (Hang Seng) and Singapore (Straits Times Index) as independent variables. Engle-Grager cointegration test implemented in this research in three steps which is descriptive test to know the data, second unit root test used to selecting the stationary data after get the stationary data moved to third step co-integration test using Engle-Granger. The result is there are cointegration relation between Indonesia and the United State. But Japan, Korea, Hong Kong and Singapore is none. Means the United State has big impact in Indonesia export/import, investment, and capital market. Keyword: Economic Growth;Recession; Stock Price Indices; Co-integration; Engle-Granger

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