Analysis of Stock Markets Interconnection Across ASEAN Nation Using Cointegration Analysis

KHEM, PUTHY (2024) Analysis of Stock Markets Interconnection Across ASEAN Nation Using Cointegration Analysis. Masters thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

ABSTRACT Dalam konteks pasar keuangan global, keterhubungan pasar saham nasional, khususnya dalam blok ekonomi regional seperti Asosiasi Bangsa-Bangsa Asia Tenggara (ASEAN), menghadirkan peluang dan tantangan. Permasalahan krusialnya adalah kurangnya pemahaman komprehensif mengenai bagaimana pasar-pasar tersebut saling berhubungan, sehingga menghambat efektivitas manajemen risiko, perumusan kebijakan, dan pengembangan strategi investasi dalam menghadapi guncangan ekonomi dan krisis keuangan. Studi ini mengatasi kesenjangan ini dengan menganalisis keterhubungan pasar saham ASEAN selama periode 6 tahun, menggunakan analisis kointegrasi untuk mengeksplorasi hubungan keseimbangan jangka panjang dan dinamika jangka pendek. Dengan menggunakan kedua uji Augmented Dickey-Fuller untuk memastikan stasioneritas, penelitian ini kemudian menerapkan metode dua langkah Engle-Granger untuk pengujian kointegrasi guna mengidentifikasi hubungan jangka panjang di antara indeks-indeks utama. Untuk menilai perilaku pasar jangka pendek dan dampak arahnya, Error Correction Models (ECM) dan uji kausalitas Granger digunakan. Temuan studi ini diharapkan dapat memberikan pemahaman berbeda mengenai integrasi pasar keuangan di kawasan ASEAN, memberikan wawasan penting bagi para pembuat kebijakan, investor, dan akademisi dalam menavigasi kompleksitas pasar negara berkembang dalam lanskap keuangan global yang sangat saling terhubung. Studi ini mengungkapkan kausalitas dan kointegrasi jangka panjang yang signifikan di antara pasar saham ASEAN, dengan pengaruh signifikan dari Vietnam dan Kamboja. Meskipun skalanya lebih kecil, pasar Kamboja menunjukkan dampak yang mengejutkan, menyoroti keterhubungan yang kompleks dan kepentingan strategis di wilayah tersebut. ========================================================================= In the context of global financial markets, the interconnectedness among national stock markets, especially within regional economic blocks like the Association of Southeast Asian Nations (ASEAN), poses both opportunities and challenges. A crucial problem is the lack of comprehensive understanding of how these markets are interlinked, which hampers effective risk management, policy formulation, and investment strategy development in the face of economic shocks and financial crises. This study addresses this gap by analyzing the interconnections of ASEAN stock markets over a period of 6 years, utilizing cointegration analysis to explore long-term equilibrium relationships and short-term dynamics. Employing bothAugmented Dickey-Fuller tests to ensure stationarity, the research then applies the Engle-Granger two step method for cointegration test to identify long-term linkages among key indices. To assess short-term market behaviors and directional influences,Error Correction Models (ECM) and Granger causality tests are utilized. The findings of this study are anticipated to provide a nuanced understanding of financial market integration within the ASEAN region, offering critical insights for policymakers, investors, and academic scholars on navigating the complexities of emerging market economies in a tightly interconnected global financial landscape. The research revealed significant causal relationships and long-term cointegration among ASEAN stock markets, with notable influences from Vietnam and Cambodia. Despite its smaller scale, Cambodia's market demonstrated a surprising impact, highlighting the intricate interconnectedness and strategic importance within the region.

Item Type:	Thesis (Masters)
Uncontrolled Keywords:	ASEAN Stock Markets, Cointegration Analysis, Financial Market Integration, Time Series Analysis, Granger Causality Test.
Subjects:	H Social Sciences > HA Statistics H Social Sciences > HA Statistics > HA30.3 Time-series analysis H Social Sciences > HG Finance > HG4915 Stocks--Prices
Divisions:	Faculty of Science and Data Analytics (SCIENTICS) > Statistics > 49101-(S2) Master Thesis
Depositing User:	KHEM PUTHY
Date Deposited:	26 Jul 2024 01:10
Last Modified:	26 Jul 2024 01:10
URI:	http://repository.its.ac.id/id/eprint/109280

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