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All Journal Jurnal Keuangan dan Perbankan Gadjah Mada International Journal of Business Journal of Indonesian Economy and Business Jurnal Ilmu Manajemen dan akuntansi Terapan (JIMAT) Journal of Indonesian Economy and Business
Kusdhianto Setiawan
Department Of Management, Faculty Of Economics And Business, Universitas Gadjah Mada
Decision Sciences, Operations Research & Management Economics, Econometrics & Finance

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Journal : Jurnal Ilmu Manajemen dan akuntansi Terapan (JIMAT)

 1 
INTEGRATION OF SOUTHEAST ASIAN STOCK MARKETS WITH THE WORLD STOCK MARKET: APPLICATION OF INTERNATIONAL ASSET PRICING MODEL Muhammad Sofian Maksar; Kusdhianto Setiawan; Al Asy Ari Adnan Hakim
Jurnal Ilmu Manajemen dan Akuntansi Terapan (JIMAT) Vol 13 No 1 (2022): Jurnal Ilmu Manajemen dan Akuntansi Terapan (JIMAT)
Publisher : Sekolah Tinggi Ilmu Ekonomi Totalwin

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (473.337 KB) | DOI: 10.36694/jimat.v13i1.381

Abstract

This study aims to determine the integration level of Southeast Asian stock market with the world stock market using an international capital asset pricing model. The countries that were sampled in this study were Indonesia, Malaysia, Philippines, Singapore and Thailand. The sample period starts from January 2000 until August 2016. This study uses an partially-segmented international capital asset pricing model by including the assumption of residual that were correlated between asset pricing equations. Because of this assumption, the seemingly unrelated regression (SUR) estimation method is more appropriately compared to the ordinary least square (OLS) method. The results of this study indicate that the integration level of Southeast Asian stock market varies. The Singapore and Thailand stock markets are fully integrated with the world stock market, the Indonesian and Malaysian stock markets are partially integrated with the world stock market, while the Philippine stock market is segmented with the world stock market. This finding shows the difference in the effectiveness of the stock market liberalization process in Southeast Asia
Co-Authors Al Asy Ari Adnan Hakim Eddy Junarsin Hayun Kusumah Hayun Kusumah Marwan Asri Muhammad Sofian Maksar R. Agus Sartono R.A. Sartono Setiyono, Bowo Sri Handaru Yuliati Vera Pipin Wulandari Vera Pipin Wulandari, Vera Pipin