Analisis Perilaku Dinamis Bursa Saham Asia Timur

Abstract

The East Asia financial integration is restricted by the difference of economic and financial market characteristics of each country. The different characteristics implies a difference in resistance of each stock market to shocks. This study analyses the dynamic response of the stock price index in East Asia from the shocks of domestic monetary policy, currency exchange rate as well as the shocks of US and Europe monetary policy. The method used in this study is Vector Auto Regression (VAR). The data used are monthly data of stock price index, short-term interest rate and currency exchange rate from January 2000 to April 2013. The results show that: (1) There are causal relationships of stock price index among the East Asia countries. Hongkong stock price index has the most causal relationship among East Asia (2) Indonesia stock price index is the most susceptible to shocks (3) Hongkong is the most resistant to shocks (4) The most predominant contribution variant which explains the fluctuations in the stock price index is the shock of stock price index itself