PENGARUH PASAR MODAL AMERIKA TERHADAP PASAR MODAL LIMA NEGARA ASEAN PADA KONDISI: SEBELUM, SAAT, DAN SESUDAH KRISIS SUBPRIME MORTGAGE
ABSTRACT: This
study is conducted to determine the impact of U.S. stock market on ASEAN five
stock markets before, during, and after subprime mortgage crisis. The data is
composed of daily closing stock price over the period from January 1st 2000 –
June 1st 2007 (before crisis), June 2nd 2007 – April and 2009 (during crisis),
and April 3rd 2009 – December 31st 2014 (after crisis). The research methodology
employed includes linear regression and chow test. The results of this study
reveal evidence that U.S. stock market significantly give the positive effect
on ASEAN five stock markets before, during, and after subprime mortgage crisis.
Chow test result showed that there are differences of influence among U.S.
stock market and ASEAN five stock markets before, during, and after subprime
mortgage crisis. For further research can add other Asia stock markets such as
Nikkei225 Index (Japan), Hang Seng Index (Hong Kong), Kospi Index (South
Korea), and BSE Index (India).
Keyword: U.S.
Stock Market, ASEAN Stock Markets, Subprime Mortgage Crisis
Penulis: Budi
Setiawan dan Taufik
