Integrasi Pasar Modal ASEAN Pasca Pemberlakukan MEA

Abstract

This research aimed to examine the Indonesian capital market integration with the ASEAN capital market after implementation of ASEAN Economic Community (AEC). Data that used in this research is time series data with observation periods of January 1, 2016 to September 30, 2016. Methods of data analysis using multivariate cointegration. The study concluded found an integrated ASEAN capital market. Integration indicated that existence long-term equilibrium relationship between the ASEAN capital market, although some of the capital markets in ASEAN only have a long-term relationship, but does not have a short-term relationship such as Singapore capital markets (FTSE), Philippines (PSEI) and Vietnam (VN30). Whereas the capital markets of Malaysia (KLSE) and Thailand (SET) has a long-term and short-term with Indonesia capital market.

Keywords: Integration, Capital Markets, MEA