Financial Integration between Indonesia and Its Major Trading Partners

Bakri Abdul Karim, M. Shabri Abdul Majid and Samsul Ariffin Abdul Karim
Authors registered in the RePEc Author Service: M. Shabri Abd. Majid

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Stock Market Integration; Portfolio Diversification; Trading Partners (search for similar items in EconPapers)
JEL-codes: C32 F15 (search for similar items in EconPapers)
Date: 2009-09-14
New Economics Papers: this item is included in nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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