Integrasi Pasar Modal di Kawasan Asia dan Amerika Serikat Pasca Pelantikan Donald Trump
Kata Kunci:
Amerika Serikat, Asia, Efek Penularan, Integrasi
Abstrak
Kemenangan Donald Trump sebagai Presiden Amerika Serikat yang ke-45 memberikan dampak negatif terhadap beberapa negara di Asia, khususnya pada kinerja pasar modal suatu negara. Penelitian ini mengkaji integrasi pasar modal di beberapa negara kasawan Asia dan Amerika Serikat pasca pelantikan Donald Trump. Data yang digunakan dalam penelitian ini adalah harga penutupan harian masing-masing indeks yang terdiri dari China (SSEC), Amerika Serikat (Dow Jones), Indonesia (IHSG), Jepang (NIKKEI 225), India (NIFTY), Singapura (STI), Malaysia (KLSE), Korea Selatan (KOSPI), Filipina (PSEI), dan Thailand (SETI) dari tanggal 21 Januari 2017 sampai 31 Desember 2019. Alat analisis yang digunakan adalah Vector Auto Regression (VAR) dan uji Kausalitas Granger. Hasil dari uji VAR dalam penelitian ini menunjukkan bahwa Indeks Dow Jones berpengaruh terhadap perubahan harga indeks di kawasan Asia. Sejalan dengan hasil uji VAR, uji Kausalitas Granger pada penelitian ini menunjukkan adanya hubungan kausalitas searah dari indeks Dow Jones ke seluruh indeks di kawasan Asia.
Referensi
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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. Retrieved from
https://www.econjournals.com/index.php/ijefi/article/view/87
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http://jurnal.ut.ac.id/index.php/JOM/article/view/663
Robiyanto, R. (2018). The Dynamic Correlation between ASEAN-5 Stock Markets and World Oil Prices. Jurnal Keuangan Dan Perbankan, 22(2), 198–210. https://doi.org/https://doi.org/10.26905/jkdp.v22i2.1688
Rosadi, D. (2012). Ekonometrika & Analisis Runtun Waktu Terapan dengan EViews. Yogyakarta: ANDI Yogyakarta. Retrieved from https://openlibrary.telkomuniversity.ac.id/pustaka/17094/ekonometrika-dan-analisis-runtun-waktu-terapan-dengan-eviews.html
Sharma, N. S. A. K. (2015). International stock market efficiency and integration: Evidences from Asian and US markets. Journal of Advances in Management Research, 12(2), 88–106. https://doi.org/10.1108/JAMR-07-2011-0010
Suastha, R. D. (2016). Menang Electoral College, Trump Resmi Jadi Presiden Baru AS. Retrieved September 27, 2019, from https://www.cnnindonesia.com/internasional/20161220093956-134-180907/menang-electoral-college-trump-resmi-jadi-presiden-baru-as
Suganda, T. R., & Hariyono, A. R. (2018). The Integration of ASEAN-5 Capital Market after the Donald Trump Election, 22(4), 656–669.
Tai, C.-S. (2007). Market integration and contagion : Evidence from Asian emerging stock and foreign exchange markets. Emerging Markets Review, 8, 264–283. https://doi.org/10.1016/j.ememar.2006.09.011
Uchoa, P. (2018). Krisis ekonomi 2008 dan keadaannya di sejumlah negara, termasuk Indonesia, 10 tahun kemudian. Retrieved October 12, 2019, from https://www.bbc.com/indonesia/dunia-45495304
Wagner, A. F., Zeckhauser, R. J., & Ziegler, A. (2018). Company Stock Price Reactions to the 2016 Election Shock: Trump, Taxes, and Trade. Journal of Financial Economics, 0, 1–24. https://doi.org/10.1016/j.jfineco.2018.06.013
Windasari, W. (2018). Pendekatan Analisis Vector Auto Regression (VAR) Dalam Hubungan Harga Saham Sektor Infrastruktur Dan Manufaktur. AdMathEdu, 8(1), 105–114. Retrieved from
http://journal.uad.ac.id/index.php/AdMathEdu/article/view/11124
Ardana, Y. (2017). Co-Integration dan Contagion Effect Antara Indeks Saham Syariah di Beberapa Negara dan Jakarta Islamic Index (JII) Pada Periode Krisis Yunani. Jurnal Manajemen Magister, 03(02), 224–260. Retrieved from https://jurnal.darmajaya.ac.id/index.php/jmmd/article/view/995/650
Balaji, C., Kusuma, G. D. V, & Kumar, B. R. (2018). Impact of General Elections on Stock Markets in India. Open Journal of Economics and Commerce, 1(2), 1–7. Retrieved from https://www.sryahwapublications.com/open-journal-of-economics-and-commerce/pdf/v1-i2/1.pdf
Chien, W., Mayer, R. W., & Wang, Z. (2014). Stock Market, Economic Performance, And Presidential Elections. Journal of Business & Economic Research, 12(2), 159–170. https://doi.org/10.19030/jber.v12i2.8530
Ersabathari, R. V., & Muharam, H. (2017). Integrasi Pasar Modal ASEAN-6 Periode Tahun 2007-2016. Diponegoro Journal of Management, 6(3), 1–15. Retrieved from
https://ejournal3.undip.ac.id/index.php/djom/article/view/17461/16714
Gujarati, D. N. (2003). Basic Econometrics, 4th Edition. New York: McGraw-Hill, Inc. Retrieved from
https://himayatullah.weebly.com/uploads/5/3/4/0/53400977/gujarati_book.pdf
Hamilton, J. D. (1994). Time-Series Analysis. New Jersey: Princeton University Press. Retrieved from
https://mirror.thelifeofkenneth.com/sites/virtualpanic.com/anonymousftplistings/ebooks/ECONOMICS/Time-Series Analysis By Hamilton (Econometrics).pdf
Ikrima, T. N., & Muharam, H. (2014). 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. https://doi.org/10.15294/jdm.v5i2.3656
Karim, B. A. (2010). The subprime crisis and Islamic stock markets integration. https://doi.org/10.1108/17538391011093298
Karim, B. A., Majid, M. S. A., & Ariffin, S. (2009). Integration of Stock Markets Between Indonesia and Its Major Trading Partners, 11(2), 229–252. https://doi.org/10.22146/gamaijb.5526
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. Retrieved from
https://www.econjournals.com/index.php/ijefi/article/view/87
Mohti, W., Dionísio, A., Vieira, I., & Ferreira, P. (2019). Research in International Business and Finance Regional and global integration of Asian stock markets. Research in International Business and Finance, 50(November 2018), 357–368. https://doi.org/10.1016/j.ribaf.2019.06.003
Muamar, Y. (2019). IHSG Anjlok Akibat AS-China, Waspadai Pelemahan Lanjutan. Retrieved September 27, 2019, from https://www.cnbcindonesia.com/market/20190826184438-17-94862/ihsg-anjlok-akibat-as-china-waspadai-pelemahan-lanjutan
Oktarianisa, S. (2019). Ronde Kedua Perang Dagang AS-China, Tarif Baru Resmi Berlaku. Retrieved September 27, 2019, from
https://www.cnbcindonesia.com/news/20190902064733-4-96380/ronde-kedua-perang-dagang-as-china-tarif-baru-resmi-berlaku
Prayogo, Harijono, & Robiyanto. (2019). Uji Integrasi Pasar Modal dan Contagion Effect Sebelum dan Sesudah Brexit pada Pasar Modal ASEAN. Jurnal Manajemen, Strategi Bisnis Dan Kewirausahaan, 13(1), 75–86. https://doi.org/https://doi.org/10.24843/MATRIK:JMBK.2019.v13.i01.p08
Purnomo, B., & Rider, M. W. (2012). Domestic and Foreign Shocks and the Indonesian Stock Market: Time Series Evidence. Retrieved from https://pdfs.semanticscholar.org/87ec/be18db414d9380c6979653ee5dd55f3277b5.pdf
Robiyanto, & Hartanto, A. F. (2018). Contagion Effect dan Integrasi Pasar Modal di Kawasan Asia, Eropa dan Amerika. Jurnal Organisasi Dan Manajemen, 14(1), 1–9. Retrieved from
http://jurnal.ut.ac.id/index.php/JOM/article/view/663
Robiyanto, R. (2018). The Dynamic Correlation between ASEAN-5 Stock Markets and World Oil Prices. Jurnal Keuangan Dan Perbankan, 22(2), 198–210. https://doi.org/https://doi.org/10.26905/jkdp.v22i2.1688
Rosadi, D. (2012). Ekonometrika & Analisis Runtun Waktu Terapan dengan EViews. Yogyakarta: ANDI Yogyakarta. Retrieved from https://openlibrary.telkomuniversity.ac.id/pustaka/17094/ekonometrika-dan-analisis-runtun-waktu-terapan-dengan-eviews.html
Sharma, N. S. A. K. (2015). International stock market efficiency and integration: Evidences from Asian and US markets. Journal of Advances in Management Research, 12(2), 88–106. https://doi.org/10.1108/JAMR-07-2011-0010
Suastha, R. D. (2016). Menang Electoral College, Trump Resmi Jadi Presiden Baru AS. Retrieved September 27, 2019, from https://www.cnnindonesia.com/internasional/20161220093956-134-180907/menang-electoral-college-trump-resmi-jadi-presiden-baru-as
Suganda, T. R., & Hariyono, A. R. (2018). The Integration of ASEAN-5 Capital Market after the Donald Trump Election, 22(4), 656–669.
Tai, C.-S. (2007). Market integration and contagion : Evidence from Asian emerging stock and foreign exchange markets. Emerging Markets Review, 8, 264–283. https://doi.org/10.1016/j.ememar.2006.09.011
Uchoa, P. (2018). Krisis ekonomi 2008 dan keadaannya di sejumlah negara, termasuk Indonesia, 10 tahun kemudian. Retrieved October 12, 2019, from https://www.bbc.com/indonesia/dunia-45495304
Wagner, A. F., Zeckhauser, R. J., & Ziegler, A. (2018). Company Stock Price Reactions to the 2016 Election Shock: Trump, Taxes, and Trade. Journal of Financial Economics, 0, 1–24. https://doi.org/10.1016/j.jfineco.2018.06.013
Windasari, W. (2018). Pendekatan Analisis Vector Auto Regression (VAR) Dalam Hubungan Harga Saham Sektor Infrastruktur Dan Manufaktur. AdMathEdu, 8(1), 105–114. Retrieved from
http://journal.uad.ac.id/index.php/AdMathEdu/article/view/11124
Diterbitkan
2020-09-01
##submission.howToCite##
Catherine, H., & Robiyanto, R. (2020). Integrasi Pasar Modal di Kawasan Asia dan Amerika Serikat Pasca Pelantikan Donald Trump. Jurnal Ilmiah Manajemen, Ekonomi, & Akuntansi (MEA), 4(3), 1-17. https://doi.org/10.31955/mea.v4i3.284
Bagian
Articles
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