Abdul Karim, Bakri and Abdul Majid, M. Shabri and Abdul Karim, Samsul Ariffin (2009): Financial Integration between Indonesia and Its Major Trading Partners.
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This study examines stock market integration among the emerging stock market of Indonesia and its major trading partners (Japan, the US, Singapore and China). We employ the newly proposed autoregressive distributed lag (ARDL) approach to cointegration and recent weekly stock market data spanning from July 1998 to December 2007. The results indicate the Indonesian stock market is cointegrated with the stock markets of the US, Japan, Singapore and China. Thus, this implies that the opportunities for international investors to gain benefits from international portfolio diversification in those markets are limited. In addition, any development in Japan, the US, Singapore and China markets should be considered by the Indonesian government in making policies regarding to the stock market of Indonesia.
|Item Type:||MPRA Paper|
|Original Title:||Financial Integration between Indonesia and Its Major Trading Partners|
|English Title:||Financial Integration between Indonesia and Its Major Trading Partners|
|Keywords:||Stock Market Integration; Portfolio Diversification; Trading Partners|
|Subjects:||C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
F - International Economics > F1 - Trade > F15 - Economic Integration
|Depositing User:||Bakri Abdul Karim|
|Date Deposited:||15. Sep 2009 00:07|
|Last Modified:||12. Feb 2013 08:13|
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