印尼资本市场的国际联系:协整检验

Kajian Ekonomi dan Keuangan Pub Date : 2015-11-09 DOI:10.31685/KEK.V16I2.43

Yoopi Abimanyu, Nur Sigit Warsidi, Sunu Kartiko, Ridiani Kurnia, Tety Mahrani

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引用次数: 6

摘要

本文运用协整检验方法探讨印尼资本市场与中国、法国、德国、香港、日本、韩国、马来西亚、荷兰、菲律宾、新加坡、泰国、台湾、英国和美国股市之间的长期均衡关系。本文使用的方法是目视检验，其次是约翰森协整。结果表明，除印尼和菲律宾股市指数之间存在协整关系外，其他股市指数之间存在协整关系。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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INTERNATIONAL LINKAGES TO THE INDONESIAN CAPITAL MARKET : COINTEGRATION TEST

This paper explores the international linkages of the Indonesian capital market using cointegration tests to examine the long-run equilibrium relationship between the stock markets of Indonesia with China, France, Germany, Hong Kong, Japan, Korea, Malaysia, Netherlands, Philippine, Singapore, Thailand, Taiwan, the United Kingdom, and the United States. The method used in this paper is visual inspection, followed by Johansen cointegration. Our results show that there exist cointegration between these stock market indices except between Indonesia and Philippine.

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Kajian Ekonomi dan Keuangan

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