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  • Robiyanto Robiyanto
    Universitas Kristen Satya Wacana Salatiga
  • Aldhi Fajar Hartanto
    Universitas Kristen Satya Wacana Salatiga

Abstract

Capital market integration is a very interesting topic to study because it is constantly evolving along with the development of time and conditions that occur in the capital markets in the world. This study examines the integration of capital markets and the contagion effect of capital markets in Asia, Europe and America. This study uses monthly closing data of Jakarta Composite Index (JCI) for Indonesia, (KLCI) for Malaysia, PSE Composite Index (PSE) for Philippines, Straight Times Index (STI) for Singapore, SET Index (SET) for Indonesia Thailand, NIKKEI 225 for Japan, FTSE 100 for UK, DAX 30 for Germany, CAC 40 for France, IBEX 35 for Spain, Dow Jones for USA during period of January 2012 until December 2016. The result of this research is there is no comovement between capital markets of Indonesia, Malaysia, Philippines, Singapore, Thailand, Japan, UK, Germany, France, Italy, Spain and the United States.


Integrasi pasar modal merupakan topik yang masih sangat menarik untuk dikaji karena senantiasa berkembang seiring dengan perkembangan waktu dan kondisi yang terjadi pada pasar modal-pasar modal yang ada di dunia. Penelitian ini mengkaji integrasi pasar modal dan contagion effect dari pasar modal di Asia, Eropa dan Amerika. Penelitian ini menggunakan data penutupan bulanan Indeks Harga Saham Gabungan (IHSG) untuk Indonesia, Kuala Lumpur Composite Index (KLCI) untuk Malaysia, PSE Composite Index (PSE) untuk Filipina, Straight Times Index (STI) untuk Singapura, SET Index (SET) untuk Thailand, NIKKEI 225 untuk Jepang, FTSE 100 untuk Inggris, DAX 30 untuk Jerman, CAC 40 untuk Prancis, IBEX 35 untuk Spanyol, Dow Jones untuk Amerika Serikatselama periode bulan Januari 2012 sampai dengan Desember 2016. Hasil penelitian ini adalah tidak terdapat comovement antara pasar modal Indonesia, Malaysia, Filipina, Singapura, Thailand, Jepang, UK, Jerman, Perancis, Italia, Spanyol, dan Amerika Serikat.

Keywords

Capital market integration, Composite Stock Price Index, contagion effect, Indeks Harga Saham Gabungan, Integrasi pasar modal, JEL Classification: G15

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Published Mar 28, 2018
How to Cite
ROBIYANTO, Robiyanto; HARTANTO, Aldhi Fajar. CONTAGION EFFECT DAN INTEGRASI PASAR MODAL DI KAWASAN ASIA, EROPA DAN AMERIKA. Jurnal Organisasi Dan Manajemen, [S.l.], v. 14, n. 1, p. 1-9, mar. 2018. ISSN 2442-9155. Available at: <http://jurnal.ut.ac.id/index.php/JOM/article/view/663>. Date accessed: 21 sep. 2018. doi: https://doi.org/10.20885/vol14ino1pp1-9.
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