ANALISIS CONTAGION EFFECT RESESI GLOBAL KE INDEKS PASAR MODAL ASEAN

Authors

  • Ana Elisa Ekonomi, Keuangan dan Perbankan, Fakultas Ekonomi dan Bisnis, Universitas Brawijaya, Indonesia
  • Dias Satria Ekonomi, Keuangan dan Perbankan, Fakultas Ekonomi dan Bisnis, Univwesitas Brawijaya, Indonesia

DOI:

https://doi.org/10.21776/csefb.2023.02.4.6

Keywords:

Market Reaction, COVID-19 Pandemic, Stock Prices, IHSG, PSEI, KLCI, STI

Abstract

The Covid-19 pandemic, the Russia-Ukraine war, and the increase in inflation in the United States have triggered a recession, leading to corrections in the global stock markets, including the ASEAN stock index. This research aims to examine how the relationships between stock markets in the ASEAN region mutually influence each other and seeks to identify which stock index exerts a dominant influence. This study employs the Vector Error Correction Mechanism (VECM) method, utilizing daily closing data from the stock indices of the Philippines (PSEi), Malaysia (KLCI), Indonesia (IHSG), Thailand (SET), and Singapore (STI) from 2018 to 2022. The findings indicate that in the short term, only STI influences PSEi, but in the long term, it is influenced by KLCI, IHSG, and STI. In the short term, KLCI is affected by PSEi, SET, and STI, while in the long term, it is influenced by PSEi, IHSG, and STI. In the short term, IHSG is impacted by PSEi, SET, and STI, while in the long term, it is influenced by PSEi, KLCI, and STI. In the short term, SET is influenced by PSEi and STI, while in the long term, it is influenced by PSEi, KLCI, IHSG, and STI. In the short term, PSEi, KLCI, IHSG, and SET do not influence STI, but in the long term, they are influenced by PSEi, KLCI, and IHSG. These five ASEAN stock indices are predominantly influenced by their respective stock indices.

References

Adisetiawan, R., & Ahmadi, A. (2018). Contagion Effect Antar Negara Asean-5. J-MAS (Jurnal Manajemen Dan Sains), 3(2), 203. https://doi.org/10.33087/jmas.v3i2.58

Andri, A., Primastiwi, A., & Mukhammad, A. (2021). Analisis Pengaruh Indeks Bursa ASEAN Terhadap IHSG Saat Terjadi Pandemi Covid-19. Media Akuntansi Perpajakan, 6(2), 1–16. https://doi.org/10.52447/map.v6i2.5123

Ariefianto, Moch. D., & Trinugroho, I. (2020). Statistik dan Ekonometrika Terapan Aplikasi dengan Stata Jilid 2 (Suryadi Saat, pp. 1–120). Penerbit Eirlangga.

Climent, F., & Meneu, V. (2003). Has 1997 Asian crisis increased information flows between international markets. International Review of Economics & Finance, 12(1), 111–143. https://doi.org/https://doi.org/10.1016/S1059-0560(02)00140-5

Investing.com. (2022). FTSE Malaysia KLCI Historical Data. Diakses dari https://www.investing.com/indices/ftse-malaysia-klci-historical-data.

Investing.com. (2022). FTSE Straits Times Singapore Historical Data. Diakses dari https://www.investing.com/indices/singapore-straits-time-historical-data.

Investing.com. (2022). SET Index Historical Data. Diakses dari https://www.investing.com/indices/thailand-set-historical-data.

Investing.com. (2022). Jakarta Stock Exchange Composite Index Historical Data. Diakses dari https://www.investing.com/indices/idx-composite-historical-data. D

Investing.com. (2022). PSEi Composite Historical Data. Diakses dari https://www.investing.com/indices/psei-composite-historical-data.

Mailangkay. (2013). Integrasi Pasar Modal Indonesia Dan Beberapa Bursa Di Dunia (Periode Januari 2013-Maret 2013). Jurnal EMBA: Jurnal Riset Ekonomi, Manajemen, Bisnis Dan Akuntansi, 1(3), 722–731.

Okorie, D. I., & Lin, B. (2021). Stock markets and the COVID-19 fractal contagion effects. Finance Research Letters, 38(June 2020), 101640. https://doi.org/10.1016/j.frl.2020.101640

Robiyanto, & Hartanto, A. (2018). Contagion Effect Dan Integrasi Pasar Modal Di Kawasan Asia, Eropa, Dan Amerika. Jurnal Organisasi Dan Manajemen, 14, 1–9. https://doi.org/10.33830/jom.v14i1.138.2018

Satria, D. (2023). Composite Stock Price Index and Currency Exchange Rates of 4 Countries in Southeast Asia after Covid-19. Jurnal Keuangan Dan Perbankan, 27, 2443–2687. https://doi.org/10.26905/jkdp.v27i1.9715

Sofa, R., & Maski, G. (2015). Analisis Potensi Contagion Effect Antar Indeks Pasar Modal di Kawasan Asia. Jurnal Ilmiah Mahasiswa FEB Universitas Brawijaya, 3(2), 1–16. https://jimfeb.ub.ac.id/index.php/jimfeb/article/view/1806

Supriyadi, D., & Satria, D. (2017). Model of Causality Between FDI And Gross Domestic Product On ASEAN-5 Countries From 1980-2014. Journal of Indonesian Applied Economics, 7(1), 1–17.

Trihadmini, N. (2011). Contagion Dan Spillover Effect Pasar Keuangan Global Sebagai Early Warning System. Finance and Banking Journal, 13(1), 47–61.

Uddin, G. S., Yahya, M., Goswami, G. G., Lucey, B., & Ahmed, A. (2022). Stock market contagion during the COVID-19 pandemic in emerging economies. International Review of Economics and Finance, 79(April 2020), 302–309. https://doi.org/10.1016/j.iref.2022.02.028

Downloads

Published

2023-11-15

Issue

Section

Articles