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All Journal Jurnal Ekonomi dan Manajemen Indonesian Capital Market Review
Adwin Surja Atmadja
Faculty of Economics, Petra Christian University
Economics, Econometrics & Finance

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Market Integration and Financial Crisis: New Evidence from Asian Paciic Markets Atmadja, Adwin Surja; Wu, Yanhui; Juli, Wan
The Indonesian Capital Market Review Vol. 2, No. 1
Publisher : UI Scholars Hub

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Abstract

We investigated the stock market integration among national equity indices in eight countries from the period of 1995 to 2009, which was then clustered into four sub-sample periods. The multivariate time series analyses were employed to observe the degree and the existence of the integration. We found a cointegrating vector in each of three sub-sample periods. Interestingly, in the 1997 inancial crisis, we found that there was no indication of cointegration relationship among the equity indices. The results of block causality tests and the accounting innovation analysis indicate that the short run dynamic interactions among the stock indices became more intense during the current inancial crisis, and that the U.S. stock market played dominant role in the regional markets.
THE INFLUENCE OF REAL INTEREST RATES, INFLATION, EXCHANGE RATE, AND GDP ON STOCK RETURN IN THE PROPERTY SECTOR Tejokusumo, Paulin; Anastasia, Njo; Atmadja, Adwin Surja
Jurnal Ekonomi dan Manajemen Vol 16 No 2 (2022): Jurnal Ekonomi dan Manajemen (Special Edition MSEPS UMKT)
Publisher : Universitas Muhammadiyah Kalimantan Timur

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30650/jem.v16i2.3608

Abstract

Stocks are one of the investment products in financial markets that need to be understood in terms of risk and return, where changes in stock returns can be influenced by external and internal factors. This study aims to determine the significant effect of real interest rates, inflation, exchange rates, and gross domestic product on property sector stock returns on the Indonesia Stock Exchange (IDX) in the 2012-2019 period. This period shows a fluctuating property market cycle due to changes in external factors, namely the economy and politics in Indonesia. Public companies in the property and real estate sector are listed on the IDX, with a total of 67 companies selected with certain criteria; 26 companies were selected. Secondary data obtained from the World Bank and Bank Indonesia were tested using panel data regression. The test results show that real interest rates, inflation, and exchange rates have a significant effect on stock returns, but the gross domestic product has no significant effect. This research proves the importance of the government's role in maintaining the economic and political stability of a country so that investors are interested in investing in the stock market. Contributions from the property and real estate sector in driving the economy from upstream to downstream also need government support regarding regulations and taxation.
Co-Authors Lani Siaputra Njo Anastasia Roeskamto, Ivana Merryawati Tejokusumo, Paulin Wan Juli Wu, Yanhui