INTEGRASI PASAR MODAL ASEAN 6 PERIODE TAHUN 2007-2016
Abstract: Capital market
integration has become a central topic in international finance. ASEAN
formulated a blueprint for an establishment of ASEAN Economic Community by
2015, and endorsed an Implementation Plan that was specifically written for the
goal of capital market integration. This study aims to analyze integration among
the ASEAN capital markets.
This study investigates the selected six members of ASEAN (Indonesia,
Malaysia, Phillipines, Singapore, Thailand and Vietnam) by using weekly data
from 2007 to 2016. The study examines the stock market return interdependence.
The Dynamic Conditional Correlation Multivariate-GARCH (DCC MGARCH) model is
engaged to assess the dynamic structure of capital market co-movements.
The results showed that ASEAN 6 capital markets are integrating. The
dynamic correlation indicates that there is correlation of stock return between
six members of ASEAN. Based on the result of integration, there is still a
chance to diversify the portofolio in ASEAN region because Vietnam has a low
correlational relationship with other countries.
Keywords: capital market
integration, DCC MGARCH, ASEAN 6, AEC
Penulis: Ruth Valencia
Ersabathari, Harjum Muharam
Kode Jurnal: jpmanajemendd170800
