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All Journal Proceedings of Annual International Conference Syiah Kuala University - Social Sciences Chapter Jurnal Manajemen dan Kewirausahaan (JMDK) Jurnal Ilmiah Bisnis dan Ekonomi Asia International Journal of Supply Chain Management Indonesian Journal of Social Science Education (IJSSE) Jurnal Bisnis Dan Kajian Strategi Manajemen Jurnal Sains Riset Akbis: Media Riset Akuntansi dan Bisnis IJELR: International Journal of Education, Language, and Religion Journal of Social and Policy Issues International Journal of Economic, Business, Accounting, Agriculture Management and Sharia Administration (IJEBAS) JURNAL PENGABDIAN AGRO AND MARINE INDUSTRY
Irmalis, Amsal
Universitas Teuku Umar
Religion Agriculture, Biological Sciences & Forestry Humanities Computer Science & IT Decision Sciences, Operations Research & Management Earth & Planetary Sciences Economics, Econometrics & Finance Education Engineering Environmental Science Industrial & Manufacturing Engineering Languange, Linguistic, Communication & Media Social Sciences Transportation Other

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Journal : Jurnal Manajemen dan Kewirausahaan (JMDK)

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Analisis Kointegrasi Bursa Efek Indonesia, Malaysia dan Singapura: Pendekatan Pair-Case dan Multivariate Amsal Irmalis; Fajri Hadi
Jurnal Manajemen dan Kewirausahaan Vol 8, No 1 (2020): June 2020
Publisher : University of Merdeka Malang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.26905/jmdk.v8i1.3538

Abstract

This study aims to examine the stock market cointegration between  Indonesia Stock Exchange (IDX),  Malaysian Stock Exchange (Bursa Malaysia) and Singapore Stock Exchange (SGX). The weekly stock indexes covering January 2013 to December 2018 are analyzed using the Johansen testing approach with the Vectorautoregresiv (VAR) framework. This study uses a pair-case and multivariate manner. The results show that multivariate analysis does not show any cointegration between Indonesia, Malaysia, and the Singapore Stock Exchange. However, cointegration exists between the Malaysian and Singapore capital markets. These results confirm that the same results of  bivariate analysis do not always support multivariate testing.https://doi.org/10.26905/jmdk.v8i1.3538
Co-Authors Al Munawir ALISMAN ALISMAN Anas Anas Cut Zakia Rizki Damrus Damrus, Damrus Daniel Sianturi Diana Sapha Fajri Hadi Fajri Hadi Ferayanti Ferayanti Firzan Firzan Hanafi Asnan Helmi Noviar Herri Darsan Holyness Nurdin Singadimedja Ika Rahmadani Ika Ramadani Ishak Hasan Jalil, Ivon Jumadil Saputra Leli Putri Ansari Luh Putu Ratna Sundari Masykur Masykur Mirdha Fahlevi SI Mirdha Fahlevi SI Muhammad Ilhamsyah Siregar Muhammad Rahmat Hidayat Muzakir Nadia Suci Hasri Nur Aidar Nur Kariza Puspaliya Puspaliya Siti Nurdiana Syahril Syahril Wahyuningsih, Yayuk Eko Yusnaidi Zhafira, Nabila Hilmy