LONG TERM RELATIONSHIP AMONG THE ASIAN’S STOCK MARKET & JAKARTA COMPOSITE INDICES
ALVINATTA SANTOSO, IGNATIUS RONI SETYAWAN

DEPARTMENT OF MANAGEMENT
FACULTY OF ECONOMICS TARUMANAGARA UNIVERSITY)

Abstract

This study is aimed to examine the significance of long run relationship among the stock price indices of Asia comprising NIKKEI 225, KOSPI, HANG SENG, STI, and KLCI to JCI from
1999 to 2013. The testing method used to analyze are Johansen co integration and VECM.
Furthermore, we can prove that there is significant
simultaneous short run relationship among stock price indices in Asia toward JCI although it reveals only from HANG SENG and STI. Thus, we conclude that there is still the co integration among stock indices in Asia toward JCI.

Keywords: stock market indices in Asia, co integration, VECM (Vector Error Correction Model, JCI

Topic: Financial Management and Accounting