THE ANALYSIS OF COINTEGRATION TEST, CAUSALITY RELATIONSHIP, AND DYNAMIC RELATIONSHIP BETWEEN SHANGHAI COMPOSITE INDEX (SHCOMP) AND COMPOSITE STOCK PRICE INDEX (IHSG)

Nurazi, Ridwan and Paulus, Suluk Kananlua and Iskandar, Zulkarnain (2017) THE ANALYSIS OF COINTEGRATION TEST, CAUSALITY RELATIONSHIP, AND DYNAMIC RELATIONSHIP BETWEEN SHANGHAI COMPOSITE INDEX (SHCOMP) AND COMPOSITE STOCK PRICE INDEX (IHSG). Project Report. Fakultas Ekonomi dan Bisnis Universitas Bengkulu, Bengkulu.

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Abstract

This study aims to analyze the cointegration relationship between the Chinese Stock Exchange (SHCOMP) and Indonesia Stock Exchange (IHSG). This research conducted with monthly time series data at time period January 2008 through December 2012. The data consists of 60 months of observation. To test the time series data, we used Vector Auto Regression (VAR) with first differentiation model to estimate the response of shock that caused by the variables studied. Before performing the model of VAR estimation, the data used in this study should pass the unit root test, cointegration test, Granger causality test and after that, the data processed with VAR estimation model. Finally, the outputs of the results showed that, there is a long term correlation between China Stock Exchange that proxied by Shanghai Composite Index (SHCOMP) with Indonesia Stock Exchange that proxied by IHSG.

Item Type: Monograph (Project Report)
Subjects: H Social Sciences > H Social Sciences (General)
Divisions: Faculty of Economy > Department of Management
Depositing User: 161 Septi Septi
Date Deposited: 19 Jan 2017 05:08
Last Modified: 19 Jan 2017 05:08
URI: http://repository.unib.ac.id/id/eprint/11616

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