1. Is There a Friendship Linkage Between Shanghai Versus Indoensia Stock Market?
- Author
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Christianto, Joseph Ivanda and Muharam, Harjum
- Subjects
STOCK exchanges ,DISRUPTIVE innovations ,DOW Jones industrial average ,INDONESIAN economy, 1997- ,INTERNATIONAL economic relations - Abstract
The global economy nowdays color with the shifts from conventional towards disruptive phenomena. This might also affected to the stock markets situation. Based on the empirical observation, the behavior of Indonesia's stock market is vary from the US stock market as indicated in Dow Jones Industrial Average (DJIA) movement. Mostly investor in Indonesia is likely more rely on Dow Jones rather than to Shanghai composite index (SSEC). In fact the balance of payment of US may no longer favourable to be used as a reference for Indonesia. This due to the macro economic anatomy of US perhaps shifting to different direction compare to the characterisitics of Indonesian macro economy. Eventually the china economy's characteristics might more closer to Indonesia. Those hypothesis need to be proved in this study. The econometrics model of Vector Autoregressive was assigned to analyze the data in this study. The time series data of monthly from January 2010- July 2018 were collected from the competence websites of stock market for China and Indonesia. The stock market in the respective country (Indonesia and/ or China) was determined by inflation, country production index, interest rate and world oil price. Moreover causality test has been done between Shanghai and Indonesia stock market. The result of the research showed that the Shanghai Composite Index and the Indonesia composite stock price index have a two-way relationship (causality). China's inflation, China's IPI and OIL as exogenous variables prove that they have influence upon the Shanghai Composite Index. Furthermore, Indonesia's IPI and OIL also prove that they have influence on the Indonesia composite stock price index. [ABSTRACT FROM AUTHOR]
- Published
- 2018