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Long-Term Relationship Analysis of Stock Exchanges in Asean, The United States of America And China
Last modified: 2020-12-19
Abstract
This study examines stock market cointegration using the latest data to investigate countries with the least integrated stock market and provide the most profitable diversification opportunities. This study aims to see the cointegration of the stock market of ASEAN countries (Indonesia, Malaysia, Singapore, Thailand, Philippines, Cambodia, Vietnam and Laos) with the stock markets of more developed countries, namely the United States and the People's Republic of China. The data used is the monthly price index of the composite stock index (Composite Index) of each country from 2012-2018. The method used is a bivariate cointegration approach with testing using the Johansen Test. The results of this study indicate
that stock exchanges in ASEAN do not have cointegration with the stock markets of the United States and China
that stock exchanges in ASEAN do not have cointegration with the stock markets of the United States and China
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