TESIS MANAJEMEN, 2010

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Analisis hubungan interdependensi Bursa Efek Indonesia dengan Bursa Internasional

Bagus Masto Hardja

Abstract


The purpose of this research is to find out whither there are short-run dynamics and long-run relationships between the jakarta Stock Exchange (JSX) and some of the binggeststock markets in the world. The analysis Were using simple lincar regression if the resoult ofgranger causality test show one-way relationship and using Victor Autoregression (VAR) model if the grager causality test show two-way relationship. Based on the result of this research, DJIA and FTSE have a significant impact to JSX,BUT jsx does not have significant impact to DJA and FTSE. This conditionhas aprofeved that the developed contries have a significant inpact to the economy of emerging contries as said by the contagion effect theory. The relationship between JSX and NIKKEI is a two-way relationship, whicth meanes there is an interdependency between JSX and NIKKEI. Such a relationship is caused by JSX and NIKKEI are on the same regional, although actually NIKKEI is a developed contries.

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