The interdependence of Indonesia stock market against the price volatility of G-20 countries’ stock market

• Main Author: Akwan, Itmamul
• Format: Thesis
• Language: English; English
• Published: 2020
• Subjects: HG Finance
• Online Access: https://etd.uum.edu.my/10511/1/permission%20to%20use-ALLOWED-%20after%2024%20months.pdf; https://etd.uum.edu.my/10511/2/s825839_01.pdf; https://etd.uum.edu.my/10511/

The issue of international financial system integration has appeared in many countries in the world. This is characterized by the closely linked together between financial markets in the global economy, regional, and neighbouring countries. It is a challenge to identify and determine the correlation of the Indonesia stock market with the other member of G- 20 countries where the major and emerging market are in it. The study aims to identify the correlation of Indonesia stock market and other member countries of G-20, as well as to identify either the volatility of other member countries in G-20 can lead the Indonesia stock market in the same movement in both short-term and long-term, or Indonesia tends to be more independent. The study utilizes the Autoregressive Distributed lag (ARDL) bound test to meet the objective of the study. This study uses Indonesia stock market as the dependent variable and other G-20 countries‟ stock market as the independent variable. The data is taken on a monthly average from January 2015 to June 2020. The finding from this study shows that Indonesia stock market is cointegrated with the other member counties in G-20 in both short-term and long-term. The regression result shows in the short-term can be found that Australia, Germany, European Union, United Kingdom, and the United Stated stock markets have a positive significant correlation. Then, Canada, China, France, Japan, South Africa stock market have a negative significant correlation. Meanwhile in the long-term can be found that Australia, Canada, Japan, Mexico, Russia, and the European Union have a negative significant correlation with the Indonesia stock market. Then, United States, United Kingdom, Turkey, South Africa, Saudi Arabia, and Germany have a positive significant correlation with Indonesia stock market. The degree of Indonesia open international trade with other G-20 member countries, stock market size comparison to other countries' stock market size, and economic performance becomes to have a vital role in the degree of cointegration.