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All Journal Fair Value: Jurnal Ilmiah Akuntansi dan Keuangan
Khairani Syafril
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Economics, Econometrics & Finance

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ANALISIS KOINTEGRASI BURSA SAHAM CINA DAN BURSA SAHAM ASEAN 5 Khairani Syafril; Dewi, Andrieta Shintia
Fair Value: Jurnal Ilmiah Akuntansi dan Keuangan Vol. 4 No. 3 (2021): FairValue : Jurnal Ilmiah Akuntansi dan Keuangan
Publisher : Departement Of Accounting, Indonesian Cooperative Institute, Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (356.689 KB) | DOI: 10.32670/fairvalue.v4i3.723

Abstract

COVID-19 was first confirmed on December 31, 2019, not only affecting health conditions, but alsoreducing the global economy. This is important for investors who diversify internationally who expectgood risk and portfolio returns. This study aims to analyze the presence or absence of cointegration of theChinese stock exchange and the ASEAN 5 stock exchange. With non-probability sampling methods andpurposive sampling techniques, the sample of this study is daily data on stock market indices in China andASEAN for the period January 1, 2013-31 December 2020. Data analysis used cointegration test whichconsists of Augmented Dickey-Fuller (ADF) Unit Root Test and Engle Granger Cointegration Test. Theresults of this study indicate that the Chinese Stock Exchange (SSECI) is co-integrated with the SingaporeStock Exchange (STI) at the 1%, 5%, and 10% significance levels, and the Malaysia Stock Exchange(KLSEI) at the 10% level. However, it is not co-integrated with the Indonesian Stock Exchange (IHSG)and Thailand (SETI) and the Philippines (PSEI) at the 1%, 5% and 10% significance levels and KLSEI atthe 1% and 5% levels. Based on the results of this study, it is hoped that it can become a reference forinterested parties to find out the long-term relationship between these stock exchanges, especially toadjust to the conditions provided by COVID-19
Co-Authors Andrieta Shintia Dewi