Indonesian Stock Market’s Dynamic Integration with Asian Stock Markets and World Stock Markets

Robiyanto Robiyanto



The study examines the relationship and integration of stock markets by using a DCC-GARCH from the period of January 1999 to September 2015. The period of January 1999 to September 2015 is chosen because in this period there has been a revocation of foreign ownership restrictions on the Indonesia Stock Exchange. By using this dynamic approach, the relationship, even the integration, of the ever-changing stock markets need to be analyzed with an approach that can accommodate and capture the dynamism of emerging stock markets studied in more detail. Beside DCC-GARCH, several additional analysis were also conducted. The data used in this study are the stock price index data on the stock markets studied namely Nikkei 225 index, Dow Jones Industrial Average (DJIA), FTSE index, All Ordinaries index, Straits Times Index (STI), SET index, KOSPI index, Taipei WG index, KLSE Composite Index, Hang Seng Index (HSI), Manila Composite index (PSEi) and Jakarta Composite Index (JCI). This study found that after subprime mortgage crisis in 2008, the Indonesian stock market was more integrated with several stock markets in Asia and especially in the stock markets in the ASEAN region. By separating the study period into three periods of pre-crisis, during crisis and post-crisis, this study found that the level of stock market integration in Indonesia with stock markets in Asia and the world is increasing. This study shows the importance of dynamic approach’s usage in stock market integration analysis.

Keywords: DCC-GARCH; stock market integration; stock market segmentation; emerging market; established market


Kajian ini mengkaji hubungan dan integrasi pasaran modal dengan menggunakan DCC-GARCH untuk tempoh Januari 1999 sehingga September 2015. Tempoh Januari 1999 sehingga September 2015 dipilih kerana pada tempoh ini berlakunya penarikan semula sekatan terhadap pemilikan asing di Bursa Saham Indonesia. Dengan menggunakan pendekatan dinamik ini, hubungan dan integrasi pasaran saham yang sentiasa berubah perlu dianalisis dengan pendekatan yang dapat menampung dan menangkap dinamisme pasaran saham baru muncul yang dikaji dengan lebih terperinci. Selain DCC-GARCH, beberapa analisis tambahan juga turut dijalankan. Data yang digunakan dalam kajian ini adalah data indeks harga saham di pasaran saham yang dikaji iaitu indeks Nikkei 225, Dow Jones Industrial Average (DJIA), Indeks FTSE, Indeks All Ordinaries, Indeks Straits Times (STI), indeks SET, indeks KOSPI, Indeks Taipei WG, Indeks Komposit KLSE, Indeks Hang Seng (HSI), Indeks Komposit Manila (PSEi) dan Indeks Komposit Jakarta (JCI). Kajian ini mendapati selepas krisis “gadai janji subprima” pada tahun 2008, pasaran saham Indonesia lebih terintegrasi dengan beberapa pasaran saham di Asia dan terutama di pasaran saham di rantau ASEAN. Dengan memisahkan tempoh kajian kepada tiga tempoh pra-krisis, semasa krisis dan pasca krisis, kajian ini mendapati bahawa tahap integrasi pasaran saham di Indonesia dengan pasaran saham di Asia dan dunia semakin meningkat. Kajian ini menunjukkan kepentingan penggunaan pendekatan dinamik dalam analisis integrasi pasaran saham.

Kata kunci: DCC-GARCH; integrasi pasaran saham; segmen pasaran saham; pasaran baru muncul, pasaran mantap


DCC-GARCH; Stock market integration; Stock market segmentation; Emerging market; Established Market

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