The Seasonality of Market Integration: The Case of Indonesia’s Stock Markets

Shieldvie Halim, Rayenda Brahmana and Aldrin Herwany ()
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Shieldvie Halim: Faculty of Economics, University of Padjadjaran

Economics and Finance in Indonesia, 2011, vol. 59, 177-190

Abstract: Even though Market Integration and the Weekend Effect have been extensively investigated in the past two decades, the examination of its linkage has been rarely found. Considering its importance for portfolio practices, this study investigates the possibility of integration to occur on a certain day over the period of January 2000 until December 2010. This research employed Stehle’s (1977) ICAPM model for measuring the market integration, and French’s (1980) Weekend Effect for measuring the Weekend Effect in rolling regression mode. To control the equation, we introduce the exchange rate of IDR-to-USD, and oil prices. For robustness, we adopted and modified the French’s Model to examine the seasonality inside market integration. This research remarks that there is seasonality in stock market integration

Keywords: Screening device; Stock Markets; Seasonality; Market Integration (search for similar items in EconPapers)
JEL-codes: F36 G12 G15 (search for similar items in EconPapers)
Date: 2011
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Working Paper: THE SEASONALITY OF MARKET INTEGRATION: CASE OF INDONESIAN STOCK MARKETS (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:lpe:efijnl:201108

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