Examining Cointegration of Macroeconomic and International Capital Market on Jakarta Composite Index (JCI)
Prisca Octavia Indrawati, Mahfud Sholihin, M. Acc., Ph. D.
2013 | Tesis | S2 Magister Manajemen-
In borderless investment activities, investors, portfolio managers, and policy makers seek for model which is able to reveal linkage and causality among financial markets, particularly, those located at neighboring area. Increasingly closer relationships among international financial markets and increase in international portfolio investments have important implication for macroeconomic policies as well and investors (Hoque, 2007; Lucey and Muckley, 2012). In addition, cointegration can also limit potential benefits of international diversification (Balarezo, 2010). Considering previous studies (Cha and Oh, 2000; Sheng and Tu, 2000; Yang et al., 2003; Ahmed and Mustafa, 2004; Phylaktis and Ravazzolo, 2005; Herwany and Febrian, 2008; Valadkani and Chancharat, 2008; Hussainey and Ngoc, 2009; Kamaralzaman et al., 2011), this research investigates the influence of domestic macroeconomic indicators and international capital market indicators on Indonesian stock price by using co-integration approach. Co-integration techniques, theoretically, are widely used by previous researchers to investigate long-run relationship among stock markets. It aims to assess interaction between international stock market linkages and domestic influencing power. This research mainly focuses on Indonesia capital market, four domestic macroeconomic indicators, seven developed markets, and two emerging markets observed from year 2000 to 2011 using monthly data. The findings shows that those Cointegration test by Johansen's between Jakarta Composite Index (JCI) and domestic macroeconomics indicator, JCI and developed market index and JCI and emerging market index, shows existance of cointegration among them in range of reseach periods. It tend to adjust the short term to achieve long-term equilibrium. This study provides some recommendations for investors, policy makers of macroeconomic and some suggestions for next researchers based on limitations.
Kata Kunci : macroeconomic, developed market, emerging market, JCI, cointegration
