Logo

Financial Integration between Indonesia and International Markets: An Application of ARDL Bound Testing Approach

ABDUL KARIM, BAKRI and Majid ABDUL, M SHABRI and ABDUL KARIM, SAMSUL ARIFFIN (2009) Financial Integration between Indonesia and International Markets: An Application of ARDL Bound Testing Approach. In: Proceedings of the 5th International Conference on Global Research and Business , 28-30 December, 2009, Grand Seasons Hotel..

[img] PDF
Restricted to Registered users only

260Kb

Abstract

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:Conference or Workshop Item (Paper)
Subjects:H Social Sciences > HG Finance
Departments / MOR / COE:Departments > Fundamental & Applied Sciences
ID Code:7223
Deposited By: Samsul Ariffin Abdul Karim
Deposited On:19 Dec 2011 00:54
Last Modified:19 Jan 2017 08:25

Repository Staff Only: item control page

Document Downloads

More statistics for this item...