Integrasi Pasar Saham Kawasan Perdagangan Bebas Asean - China (The Asean Free Trade Zone - China Stock Market Integration)

Abstract

Indonesian abstract: Studi ini mengkaji integrasi integrasi pasar saham diantara ASEAN-5 yaitu Indonesia, Malaysia, Filipina, Singapura dan Thailand plus China. Menggunakan data harian untuk tanggal 2 Januari 2003 sampai Periode 31 Desember 2009, penelitian mempekerjakan Johansen dan Juselius prosedur kointegrasi multivariat. Secara khusus, studi ini mempertimbangkan apakah pasar ASEAN-5 plus China terintegrasi atau tersegmentasi menggunakan teknik time series kointegrasi untuk mengekstrak jangka panjang hubungan. Hasil empiris menunjukkan bahwa ASEAN-5 plus China pasar saham terkointegrasi dan karenanya tidak sepenuhnya tersegmentasi dengan batas negara. Namun, hanya ada satu vektor kointegrasi, menyisakan empat kecenderungan umum di antara lima variabel. Karena itu kami menyimpulkan bahwa pasar saham ASEAN-5 plus Cina terintegrasi di pengertian ekonomi, tetapi integrasi itu masih jauh dari selesai. Tentang kebijakan tingkat, inisiatif untuk lebih mengintegrasikan pasar saham adalah layak, dan sebenarnya diinginkan. Dari perspektif portofolio internasional investor, manfaat dari diversifikasi portofolio internasional di lima pasar berkurang tetapi tidak dihilangkan.

English abstract: This study examines the integration of stock markets integration among ASEAN-5 that is Indonesia, Malaysia, the Philippines, Singapore and Thailand plus China. Using daily data for the January 2, 2003 to December 31, 2009 period, the study employs the Johansen and Juselius multivariate co-integration procedures. In particular, this study considers whether the ASEAN-5 plus China markets are integrated or segmented using the time series technique of co-integration to extract long-run relations. The empirical results suggest that the ASEAN-5 plus China stock markets are co-integrated and are thus not completely segmented by national borders. However, there is only one co-integrating vector, leaving four common trends among the five variables. We therefore conclude that ASEAN-5 plus China stock markets are integrated in the economic sense, but that integration is far from complete. On a policy level, initiatives to further integrate the stock markets are feasible, and in fact desirable. From the perspective of the international portfolio investor, benefits of international portfolio diversification across the five markets are reduced but not eliminated.

Note: Downloadable document available in Indonesian.

Keywords: Stock Markets Integration; ASEAN-5 Plus China Stock Markets; Co-Integration; Portfolio Diversification

JEL Classification: F36; G15