Andiyasa, I. G. A., Purbawangsa, I. B. A., & Rahyuda, H. (2014). Pengaruh Beberapa Indeks
Saham dan Indikator Ekonomi Global terhadap Kondisi Pasar Modal Indonesia. E-Jurnal
Ekonomi Dan Bisnis Universitas Udayana, 3(4),
182–199.
Anoraga, P., & Pakarti, P. (2008). Pengantar Pasar
Modal. Jakarta: Rineka Cipta.
Ardiansari, A., & Saputra, A. (2016). Capital Market’s
Reaction Towards 2014 Working Cabinet Announcement (Indonesian Case Study). Jurnal
Dinamika Manajemen, 6(1), 62–72.
Argamaya, & Habsari, A. (2013). Nilai Tukar Mata
Uang Terhadap Indeks Harga Saham Gabungan ( Ihsg ) Di Bursa Efek Indonesia. Media
Riset Akuntansi, 5(1).
Arslanalp, S., Liao, W., Piao, S., & Seneviratne, D.
(2016). Tiongkok’s Growing Influence on
Asian Financial Markets. IMF Working Papers,
16(173), 1.
Ary, G. T. (2011). Manajemen Investasi Konsep, Teori
dan Aplikasi. Jakarta: Mitra Wacana Media.
Basuki, A. T., & Prawoto, N. (2016). Analisis Regresi
dalam Penelitian Ekonomi&Bisnis.
Cahyaningdyah, D., & Witiastuti, R. S. (2010). Analisis Monday Effect dan Rogalski Effect di Bursa
Efek Jakarta. Jurnal Dinamika Manajemen, 1(2),
154–161.
Chakimatuzzahroh, & Witiastuti, R. S. (2018). Pull
Factor and Push Factor Influences On The
Volatility Of Fereign Investment Flows In Indonesian Capital Market. Management Analysis
Journal, 7(1).
Christa, R., & Pratomo, W. A. (2013). Pengaruh Indeks Harga Saham Di Bursa Global Terhdap
Indkes Harga Saham Gabungan. Ekonomi Dan
Keuangan, (2008).
Devi Novitasari.2018. Model Vector Auto Regression
(VAR) dan Vector Error Correction Model
(VECM). http:www.diassatria.com
Eichengreen, B., Rose, A. K., & Wyplosz, C. (1996).
Contagious Currency Crises. National Bureau of
Economic Research.
Federova, E., Wallenius, L., & Collan, M. (2014). The
Impact of Euro Area Macroeconomic Announcements on CIVETS Stock Markets. Procedia Economics and Finance, 15(14), 27–37.
Ghozali, I. (2016). Aplikasi Analisis Multivariate dengan
Program IBM SPSS 21. Semarang: Badan Penerbit Universitas Negeri Diponegoro.
Gujarati, D. N., & Porter, D. C. (2015). Dasar-dasar
Ekonometrika. Jakarta: Salemba Empat.
Harjito, D. A. (2010). Perubahan Musiman ( Seasonality ) Pasar Modal dan Efek Kontagion di
Negara-Negara ASEAN. Fakultas Hukum UII,
1–18.
Harlina, V. R., & Khoiruddin, M. (2018). Dividend
Policy and Economic Variable To Stock Price
Volatility: Comparison of Indonesia and Malaysia. Management Analysis Journal, 7(4), 506–
515.
Horta, P. (2013). Contagion Effects in the European
Nyse Euronext Stock Markets in the Context
of the 2010 Sovereign Debt Crisis. Investment
Management and Financial Innovations, 0–29.
Ikrima, T. N., & Muharam, H. (2015). Co-Integration
Dan Contagion Effect Antara Pasar Saham
Syariah Di Indonesia, Malaysia, Eropa, Dan
Amerika Saat Terjadinya Krisis Yunani. Jurnal
Dinamika Manajemen, 5(2), 121–136.
Kearney, C., & Lucey, B. M. (2004). International equity market integration: Theory, evidence and
implications. International Review of Financial
Analysis, 13(5), 571–583.
Kenourgios, D., Samitas, A., & Paltalidis, N. (2011).
Financial Crises and Stock Market Contagion
in a Multivariate Time-Varying Asymmetric
Framework. Journal of International Financial
Markets, Institutions and Money, 21(1), 92–106.
Khoiruddin, M., & Faizati, E. R. (2015). Reaksi Pasar
Terhadap Dividend Announcement Perusahaan Yang Sahamnya Masuk Daftar Efek
Syariah. Jurnal Dinamika Manajemen, 5(2),
209–219.
Kizys, R., & Pierdzioch, C. (2011). The Financial Crisis and the Stock Markets of the CEE Countries. Journal of Economics, (2), 153–173.
Kowanda, D., Pasaribu, R. B. F., & Shauti, A. F.
(2017). Pengaruh Indeks Bursa Saham Asing
Dan Makro Ekonomi Terhadap Indeks Harga
Saham Gabungan Di Bursa Efek Indonesia
Pada Tahun 2010-2014. Jurnal Manajemen Indonesia, 15(3), 225.
Lee, H.-Y. (2012). Contagion in International Stock
Markets during the Sub Prime Mortgage Crisis.
International Journal of Economics and Financial
Issues, 2(1), 41–53.
Maharani, S., & Witiastuti, R. S. (2015). Fenomena
Market Overreaction di Bursa Efek Indonesia.
Management Analysis Journal, 4(1), 30–38.
Mailangkay, J. (2013). Integrasi Pasar Modal Indonesia dan Beberapa Bursa di Dunia (Periode Januari 2013-Maret 2013). Integrasi Pasar Modal….
722 Jurnal EMBA, 1(3), 722–731.
Mansur, M. (2002). Pengaruh Indeks Bursa Global terhadap Indeks Harga Saham Gabungan (IHSG)
pada Bursa Efek Jakarta (BEJ) Periode Tahun
2000-2002. Sosiohumaniora, 7, 203–219.
Moldovan, I., & Medrega, C. (2011). Correlation of
International Stock Markets Before and During
the Subprime Crisis. The Romanian Economic,
(40).
Nurhayati, M. (2012). Analisis Integrasi Pasar Modal Kawasan ASEAN dalam Rangka Menuju
Masyarakat Ekonomi ASEAN. Seminar Nasional Dan Call for …. http://eprints.unisbank.
ac.id/205/.
Nurmalasari, S. A. D., & Yulianto, A. (2015). Analisis
Pengaruh Perubahan Arus Kas Terhadap Return Saham. Management Analysis Journal, 4(4),
289–300.
Pamungkas, B. C., & Darmawan, A. (2018). Pengaruh
Nilai Tukar USD dan Bursa ASEAN terhadap
Indeks Harga Saham Gabungan (IHSG) (Studi
pada Bursa Efek Indonesia Periode 2014-2016).
Jurnal Administrasi Bisnis (JAB), 60.
Partono, T., Widiyanto, Yulianto, A., & Vidayanto,
H. (2017). The Analysis of Optimal Portfolio
Forming with Single Index Model on Indonesian Most Trusted Companies. International
Research Journal of Finance and Economics, (163)
50–59.
Pratama, M. A. J. (2017). Skripsi. Integrasi Pasar Saham Syariah dan Contagion Effect dari Gejolak Economic Slowdown di Tiongkok. eprints.
undip.ac.id.
Puspitasari, A., Siregar, H., & Andati, T. (2015). Analisis Intergrasi Bursa Saham ASEAN 5 ( Analysis of Stock Exchange Integration of ASEAN
5 ) Abstrak. Ekonomi Dan Kebijakan Pembangunan, 4(2), 187–206.
Safiroh, F., Sumiati, & Kusuma, R. (2018). Pengaruh
Variabel Makroekoni Dan Harga Saham Asing
Terhadap Indeks Harga Saham Gabungan. Jurnal Bisnis Dan Manajemen, 5(1), 118–126.
Sakul, E. (2018). Pengaruh Indeks Saham Global Dan
Kondisi Makro Indonesia Terhadap Indeks
Harga Saham Gabungan Bursa Efek Indonesia. Media Ekonomi, 22(2), 133.
Santosa, B. (2012). Integrasi Pasar Modal Kawasan
Eropa. Ilmu Ekonomi Dan Sosial. digilib.mercubuana.ac.id
Santosa, B. (2017). Integrasi Pasar Modal Kawasan
Cina - Asean. Jurnal Ekonomi Pembangunan: Kajian Masalah Ekonomi Dan Pembangunan, 14(1),
78.
Setiawan, A. P., & Wijayanto, A. (2017). Estimasi
Volatilitas Saham dengan Metode Momentum
(The Methods of Moments) dan Estimasi Kemungkinan Maksimum (Maximum Likelihood
Estimation). Management Analysis Journal, 6(2),
1–9.
Simbolon, L., & Purwanto. (2018). The Influence of
Macroeconomic Factors on Stock Price: The
Case of Real Estate and Property Companies.
Sofa, R. (2015). Analisis Potensi Contagion Effect Antar. Jurnal Ilmiah Mahasiswa. jimfeb.ub.ac.id.
Surat Keputusan Menteri Keuangan Republik Indonesia Nomor 179/KMK.010/2003 tentang Kepemilikan Saham dan Permodalan
Perusahaan Efek. 2003. Jakarta: diperbanyak oleh ojk.
go.id
Tandeilin, E. (1997). Determinants Of Systematic
Risk : The Experience of Some Indonesia
Common Stock. Kelola 1997, VI (16). i-lib.ugm.
ac.id
Tarigan, R. D., Suhadak, & Topowijono. (2015). Pengaruh Indeks Harga Saham Global Terhadap
Indeks Harga Saham Gabungan (IHSG) Studi
Pada Bursa Efek Indonesia (BEI) Periode 2011-
2014. Jurnal Administrasi Bisnis (JAB), 24(1),
1–8.
Thobarry, A. A. (2009). Tesis. Analisis Pengaruh Nilai
Tukar, Suku Bunga, Laju Inflasi dan Pertumbuhan GDP Terhadap Indeks Harga Saham
Sektor Properti (Kajian Empiris Pada Bursa
Efek Indonesia Periode Pengamatan Tahun
2000-2008). http://eprints.undip.ac.id/19029/
Trihadmini, N. (2011). Contagion dan Spillover Effect
Pasar Keuangan Global Sebagai Early Warning System. Finance and Banking Journal, 13(1),
47–61.
Wijayanto, A. (2010). Analisis Pengaruh ROA, EPS,
Financial Leverage, Proceed Terhadap Initial
Return. Jurnal Dinamika Manajemen, 1(1), 68–
78.
Witiastuti, R. S. (2013). Analisis Kinerja Portofolio:
Pengujian Single Index Model dan Naive Diversification. Jurnal Dinamika Manajemen, 4(2),
184–191.
Wondabio, L. S. (2006). Analisa Hubungan Index
Harga Saham Gabungan (Ihsg) Jakarta (Jsx),
London (Ftse), Tokyo (Nikkei) Dan Singapura
(Ssi). SNA 9 Padang, 23–26.
Yang, T., & Lim, J. J. (2004). Crisis , Contagion , and
East Asian Stock Markets. Pasific Basin Financial Markets and Policies, 7(1), 119–151.
Yulianto, A., Suhadak, Darminto, & Handayani, S.
R. (2014). The Role of Corporate Governance
, Dividend Policy , and Capital Structure on
Ownership Structure Toward the Firm Value.
European Journal of Business and Management,
6(8), 134–141.
Yunus, N. (2013). Contagion in International Financial Markets: A Recursive Cointegration Approach. Journal of Multinational Financial Management, 23(4), 327–337.
Saham dan Indikator Ekonomi Global terhadap Kondisi Pasar Modal Indonesia. E-Jurnal
Ekonomi Dan Bisnis Universitas Udayana, 3(4),
182–199.
Anoraga, P., & Pakarti, P. (2008). Pengantar Pasar
Modal. Jakarta: Rineka Cipta.
Ardiansari, A., & Saputra, A. (2016). Capital Market’s
Reaction Towards 2014 Working Cabinet Announcement (Indonesian Case Study). Jurnal
Dinamika Manajemen, 6(1), 62–72.
Argamaya, & Habsari, A. (2013). Nilai Tukar Mata
Uang Terhadap Indeks Harga Saham Gabungan ( Ihsg ) Di Bursa Efek Indonesia. Media
Riset Akuntansi, 5(1).
Arslanalp, S., Liao, W., Piao, S., & Seneviratne, D.
(2016). Tiongkok’s Growing Influence on
Asian Financial Markets. IMF Working Papers,
16(173), 1.
Ary, G. T. (2011). Manajemen Investasi Konsep, Teori
dan Aplikasi. Jakarta: Mitra Wacana Media.
Basuki, A. T., & Prawoto, N. (2016). Analisis Regresi
dalam Penelitian Ekonomi&Bisnis.
Cahyaningdyah, D., & Witiastuti, R. S. (2010). Analisis Monday Effect dan Rogalski Effect di Bursa
Efek Jakarta. Jurnal Dinamika Manajemen, 1(2),
154–161.
Chakimatuzzahroh, & Witiastuti, R. S. (2018). Pull
Factor and Push Factor Influences On The
Volatility Of Fereign Investment Flows In Indonesian Capital Market. Management Analysis
Journal, 7(1).
Christa, R., & Pratomo, W. A. (2013). Pengaruh Indeks Harga Saham Di Bursa Global Terhdap
Indkes Harga Saham Gabungan. Ekonomi Dan
Keuangan, (2008).
Devi Novitasari.2018. Model Vector Auto Regression
(VAR) dan Vector Error Correction Model
(VECM). http:www.diassatria.com
Eichengreen, B., Rose, A. K., & Wyplosz, C. (1996).
Contagious Currency Crises. National Bureau of
Economic Research.
Federova, E., Wallenius, L., & Collan, M. (2014). The
Impact of Euro Area Macroeconomic Announcements on CIVETS Stock Markets. Procedia Economics and Finance, 15(14), 27–37.
Ghozali, I. (2016). Aplikasi Analisis Multivariate dengan
Program IBM SPSS 21. Semarang: Badan Penerbit Universitas Negeri Diponegoro.
Gujarati, D. N., & Porter, D. C. (2015). Dasar-dasar
Ekonometrika. Jakarta: Salemba Empat.
Harjito, D. A. (2010). Perubahan Musiman ( Seasonality ) Pasar Modal dan Efek Kontagion di
Negara-Negara ASEAN. Fakultas Hukum UII,
1–18.
Harlina, V. R., & Khoiruddin, M. (2018). Dividend
Policy and Economic Variable To Stock Price
Volatility: Comparison of Indonesia and Malaysia. Management Analysis Journal, 7(4), 506–
515.
Horta, P. (2013). Contagion Effects in the European
Nyse Euronext Stock Markets in the Context
of the 2010 Sovereign Debt Crisis. Investment
Management and Financial Innovations, 0–29.
Ikrima, T. N., & Muharam, H. (2015). Co-Integration
Dan Contagion Effect Antara Pasar Saham
Syariah Di Indonesia, Malaysia, Eropa, Dan
Amerika Saat Terjadinya Krisis Yunani. Jurnal
Dinamika Manajemen, 5(2), 121–136.
Kearney, C., & Lucey, B. M. (2004). International equity market integration: Theory, evidence and
implications. International Review of Financial
Analysis, 13(5), 571–583.
Kenourgios, D., Samitas, A., & Paltalidis, N. (2011).
Financial Crises and Stock Market Contagion
in a Multivariate Time-Varying Asymmetric
Framework. Journal of International Financial
Markets, Institutions and Money, 21(1), 92–106.
Khoiruddin, M., & Faizati, E. R. (2015). Reaksi Pasar
Terhadap Dividend Announcement Perusahaan Yang Sahamnya Masuk Daftar Efek
Syariah. Jurnal Dinamika Manajemen, 5(2),
209–219.
Kizys, R., & Pierdzioch, C. (2011). The Financial Crisis and the Stock Markets of the CEE Countries. Journal of Economics, (2), 153–173.
Kowanda, D., Pasaribu, R. B. F., & Shauti, A. F.
(2017). Pengaruh Indeks Bursa Saham Asing
Dan Makro Ekonomi Terhadap Indeks Harga
Saham Gabungan Di Bursa Efek Indonesia
Pada Tahun 2010-2014. Jurnal Manajemen Indonesia, 15(3), 225.
Lee, H.-Y. (2012). Contagion in International Stock
Markets during the Sub Prime Mortgage Crisis.
International Journal of Economics and Financial
Issues, 2(1), 41–53.
Maharani, S., & Witiastuti, R. S. (2015). Fenomena
Market Overreaction di Bursa Efek Indonesia.
Management Analysis Journal, 4(1), 30–38.
Mailangkay, J. (2013). Integrasi Pasar Modal Indonesia dan Beberapa Bursa di Dunia (Periode Januari 2013-Maret 2013). Integrasi Pasar Modal….
722 Jurnal EMBA, 1(3), 722–731.
Mansur, M. (2002). Pengaruh Indeks Bursa Global terhadap Indeks Harga Saham Gabungan (IHSG)
pada Bursa Efek Jakarta (BEJ) Periode Tahun
2000-2002. Sosiohumaniora, 7, 203–219.
Moldovan, I., & Medrega, C. (2011). Correlation of
International Stock Markets Before and During
the Subprime Crisis. The Romanian Economic,
(40).
Nurhayati, M. (2012). Analisis Integrasi Pasar Modal Kawasan ASEAN dalam Rangka Menuju
Masyarakat Ekonomi ASEAN. Seminar Nasional Dan Call for …. http://eprints.unisbank.
ac.id/205/.
Nurmalasari, S. A. D., & Yulianto, A. (2015). Analisis
Pengaruh Perubahan Arus Kas Terhadap Return Saham. Management Analysis Journal, 4(4),
289–300.
Pamungkas, B. C., & Darmawan, A. (2018). Pengaruh
Nilai Tukar USD dan Bursa ASEAN terhadap
Indeks Harga Saham Gabungan (IHSG) (Studi
pada Bursa Efek Indonesia Periode 2014-2016).
Jurnal Administrasi Bisnis (JAB), 60.
Partono, T., Widiyanto, Yulianto, A., & Vidayanto,
H. (2017). The Analysis of Optimal Portfolio
Forming with Single Index Model on Indonesian Most Trusted Companies. International
Research Journal of Finance and Economics, (163)
50–59.
Pratama, M. A. J. (2017). Skripsi. Integrasi Pasar Saham Syariah dan Contagion Effect dari Gejolak Economic Slowdown di Tiongkok. eprints.
undip.ac.id.
Puspitasari, A., Siregar, H., & Andati, T. (2015). Analisis Intergrasi Bursa Saham ASEAN 5 ( Analysis of Stock Exchange Integration of ASEAN
5 ) Abstrak. Ekonomi Dan Kebijakan Pembangunan, 4(2), 187–206.
Safiroh, F., Sumiati, & Kusuma, R. (2018). Pengaruh
Variabel Makroekoni Dan Harga Saham Asing
Terhadap Indeks Harga Saham Gabungan. Jurnal Bisnis Dan Manajemen, 5(1), 118–126.
Sakul, E. (2018). Pengaruh Indeks Saham Global Dan
Kondisi Makro Indonesia Terhadap Indeks
Harga Saham Gabungan Bursa Efek Indonesia. Media Ekonomi, 22(2), 133.
Santosa, B. (2012). Integrasi Pasar Modal Kawasan
Eropa. Ilmu Ekonomi Dan Sosial. digilib.mercubuana.ac.id
Santosa, B. (2017). Integrasi Pasar Modal Kawasan
Cina - Asean. Jurnal Ekonomi Pembangunan: Kajian Masalah Ekonomi Dan Pembangunan, 14(1),
78.
Setiawan, A. P., & Wijayanto, A. (2017). Estimasi
Volatilitas Saham dengan Metode Momentum
(The Methods of Moments) dan Estimasi Kemungkinan Maksimum (Maximum Likelihood
Estimation). Management Analysis Journal, 6(2),
1–9.
Simbolon, L., & Purwanto. (2018). The Influence of
Macroeconomic Factors on Stock Price: The
Case of Real Estate and Property Companies.
Sofa, R. (2015). Analisis Potensi Contagion Effect Antar. Jurnal Ilmiah Mahasiswa. jimfeb.ub.ac.id.
Surat Keputusan Menteri Keuangan Republik Indonesia Nomor 179/KMK.010/2003 tentang Kepemilikan Saham dan Permodalan
Perusahaan Efek. 2003. Jakarta: diperbanyak oleh ojk.
go.id
Tandeilin, E. (1997). Determinants Of Systematic
Risk : The Experience of Some Indonesia
Common Stock. Kelola 1997, VI (16). i-lib.ugm.
ac.id
Tarigan, R. D., Suhadak, & Topowijono. (2015). Pengaruh Indeks Harga Saham Global Terhadap
Indeks Harga Saham Gabungan (IHSG) Studi
Pada Bursa Efek Indonesia (BEI) Periode 2011-
2014. Jurnal Administrasi Bisnis (JAB), 24(1),
1–8.
Thobarry, A. A. (2009). Tesis. Analisis Pengaruh Nilai
Tukar, Suku Bunga, Laju Inflasi dan Pertumbuhan GDP Terhadap Indeks Harga Saham
Sektor Properti (Kajian Empiris Pada Bursa
Efek Indonesia Periode Pengamatan Tahun
2000-2008). http://eprints.undip.ac.id/19029/
Trihadmini, N. (2011). Contagion dan Spillover Effect
Pasar Keuangan Global Sebagai Early Warning System. Finance and Banking Journal, 13(1),
47–61.
Wijayanto, A. (2010). Analisis Pengaruh ROA, EPS,
Financial Leverage, Proceed Terhadap Initial
Return. Jurnal Dinamika Manajemen, 1(1), 68–
78.
Witiastuti, R. S. (2013). Analisis Kinerja Portofolio:
Pengujian Single Index Model dan Naive Diversification. Jurnal Dinamika Manajemen, 4(2),
184–191.
Wondabio, L. S. (2006). Analisa Hubungan Index
Harga Saham Gabungan (Ihsg) Jakarta (Jsx),
London (Ftse), Tokyo (Nikkei) Dan Singapura
(Ssi). SNA 9 Padang, 23–26.
Yang, T., & Lim, J. J. (2004). Crisis , Contagion , and
East Asian Stock Markets. Pasific Basin Financial Markets and Policies, 7(1), 119–151.
Yulianto, A., Suhadak, Darminto, & Handayani, S.
R. (2014). The Role of Corporate Governance
, Dividend Policy , and Capital Structure on
Ownership Structure Toward the Firm Value.
European Journal of Business and Management,
6(8), 134–141.
Yunus, N. (2013). Contagion in International Financial Markets: A Recursive Cointegration Approach. Journal of Multinational Financial Management, 23(4), 327–337.
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Affiliations
Nur Chalimah
Universitas Negeri Semarang
Rini Setyo Witiastuti
Universitas Negeri Semarang
How to Cite
1.
Chalimah N, Witiastuti R. Co-Integration and Contagion Effect in Republic of Tiongkok and Asean Stock Market during The Economic Slowdown in Republic of Tiongkok. MAJ [Internet]. 18Sep.2020 [cited 27Dec.2024];9(3):327-39. Available from: https://journal.unnes.ac.id/sju/maj/article/view/31333
Co-Integration and Contagion Effect in Republic of Tiongkok and Asean Stock Market during The Economic Slowdown in Republic of Tiongkok
Vol 9 No 3 (2020): Management Analysis Journal
Submitted: Jul 8, 2019
Published: Sep 18, 2020
Abstract
This study aims to find empirical evidence of the relationship of co-integration and contagion effect on the stock market in the People's Republic of Tiongkok and ASEAN during economic slowdown in the People's Republic of Tiongkok in 2015-2017. The samples in this study were the stock market of the People's Republic of Tiongkok, Indonesia, Laos, Malaysia, the Philippines, Singapore, Thailand and Vietnam. The data used in the study are secondary data from the Composite Stock Price Index obtained from www.bloomberg.com. The research method used in this study is Vector Autoregression (VAR). The test results show that economic slowdown in the People's Republic of Tiongkok has no effect on the average JCI of the People's Republic of Tiongkok and ASEAN. There is co-integration in the average JCI of the People's Republic of Tiongkok and ASEAN. The average Indonesian JCI is not affected by the JCI average of the People's Republic of Tiongkok and ASEAN. There is contagion effect on the average JCI of the People's Republic of Tiongkok and ASEAN. Based on the results of the study it were concluded that co-integration and contagion effects occurs on the average JCI in the People's Republic of Tiongkok and ASEAN when economic slowdown occurs.