Capital Market Cointegration Based on ASEAN-4 Capital Market Financial Sector Stock Price Index

Imron Imron; Tri Widyastuti; Apolo Daito; Widarto Rachbini

doi:10.59573/emsj.7(5).2023.5

Авторы

Imron Imron
Tri Widyastuti
Apolo Daito
Widarto Rachbini

DOI:

https://doi.org/10.59573/emsj.7(5).2023.5

Ключевые слова:

ASEAN-4, capital market integration, sectoral index, ACMF, Vector autoregressive

Аннотация

This research aims to test and analyze the ASEAN capital market integration plan, which has been declared since 2004, and whether the ASEAN capital market was integrated or segmented during the research sample period of 2008–2020. This research will test cointegration based on sectoral stock price indices, namely the financial sector index (FIN) from four ASEAN countries: Indonesia (IDX), Malaysia (KL), Thailand (SET), and the Philippines (PHS). Using a vector autoregressive (VAR) model and time series data, a series of tests have been carried out, especially stationarity, stability, and cointegration tests, to capture the existence of long-term relationships between variables in the VAR system. Empirical evidence shows that using the Granger Causality, Impulse Response Function (IRF), and Variance Decomposition (VD) test approaches, all three found relatively the same thing: the industrial and financial sector index of the ASEAN-4 Exchange tends to be segmented rather than integrated. This finding follows the results of the 2015 ASEAN Capital Market Forum (ACMF) study, where ASEAN capital market integration only showed limited progress because many obstacles still had not been resolved.

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