Rayenda Khresna, Brahmana and Aldrin, Herwany and Shieldvie, Halim (2015) The Seasonality Of Market Integration : Case Of Indonesian Stock Markets. Ekonomi dan Keuangan Indonesia, 59 (2). pp. 177-190. ISSN 0126-155X
![[img]](http://ir.unimas.my/style/images/fileicons/text.png) |
PDF
THE SEASONALITY OF MARKET INTEGRATION - Copy.pdf Download (2MB) |
Abstract
Even though Market Integration and the Weekend Effect have been extensively investigated in the past two decades, the examination of its linkage has been rarely found. Considering its importance for portfolio practices, this study investigates the possibility of integration to occur on a certain day over the period of January 2000 until December 2010. This research employed Stehle’s (1977) ICAPM model for measuring the market integration, and French’s (1980) Weekend Effect for measuring the Weekend Effect in rolling regression mode. To control the equation, we introduce the exchange rate of IDR-to-USD, and oil prices. For robustness, we adopted and modified the French’s Model to examine the seasonality inside market integration. This research remarks that there is seasonality in stock market integration
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | Stock markets, Seasonality, Market Integration, unimas, university, universiti, Borneo, Malaysia, Sarawak, Kuching, Samarahan, ipta, education, research, Universiti Malaysia Sarawak. |
| Subjects: | H Social Sciences > HF Commerce |
| Divisions: | Academic Faculties, Institutes and Centres > Faculty of Economics and Business Faculties, Institutes, Centres > Faculty of Economics and Business |
| Depositing User: | Gani |
| Date Deposited: | 03 Jun 2020 08:36 |
| Last Modified: | 03 Jun 2020 08:36 |
| URI: | http://ir.unimas.my/id/eprint/29816 |
Actions (For repository members only: login required)
 |
View Item |
