The Seasonality of Market Integration : The Case of Indonesia's Stock Markets

Shieldvie, Halim and Brahmana, Rayenda and Aldrin, Herwany (2011) The Seasonality of Market Integration : The Case of Indonesia's Stock Markets. Economics and Finance in Indonesia, 59 (2). pp. 177-190.

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Official URL: http://www.researchgate.net/publication/254399292

Abstract

Even though Market Integration and the weekend effect have been extensively investigated in the oast two decades, the examination of its linkage has been rarely found. Considering its importance for portfolio practices, this study investiagtes 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 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 adopetd 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, undergraduate, Postgraduate, research, Universiti Malaysia Sarawak
Subjects: H Social Sciences > HC Economic History and Conditions
Divisions: Academic Faculties, Institutes and Centres > Faculty of Economics and Business
Depositing User: Karen Kornalius
Date Deposited: 11 Nov 2015 08:48
Last Modified: 11 Nov 2015 08:48
URI: http://ir.unimas.my/id/eprint/9697

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