Capital Market Integration in Asian and United States Region After Donald Trump's Inauguration
Keywords:
United States, Asia, Contagion Effect, Integration
Abstract
Donald Trump’s victory as the 45th President of the United States had negative responses on several countries in Asia, especially on the stock market performance. This study examines the integration of capital markets in several countries in Asia and United States after Donald Trump's inauguration. The data used in this study are the daily closing price of each index consisting of China (SSEC), United States (Dow Jones), Indonesia (IHSG), Japan (NIKKEI 225), India (NIFTY), Singapore (STI), Malaysia (KLSE), South Korea (KOSPI), the Philippines (PSEI), and Thailand (SETI) from January 21, 2017 to December 31, 2019. The analysis tools used were Vector Auto Regression (VAR) and Granger Causality Test. The results of the VAR test in this study indicate that the Dow Jones Index influences changes in index prices in the Asian region. In line with the results of the VAR test, the Granger Causality test in this study shows a direct causal relationship from the Dow Jones index to all indexes in the Asian region.
References
Adisetiawan, R., & Ahmadi. (2018). Contagion Effect Antar Negara ASEAN-5. Jurnal Manajemen Dan Sains, 3(2), 203–216. https://doi.org/10.33087/jmas.v3i2.58
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
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
Published
2020-09-01
How to Cite
Catherine, H., & Robiyanto, R. (2020). Capital Market Integration in Asian and United States Region After Donald Trump’s Inauguration. Jurnal Ilmiah Manajemen, Ekonomi, & Akuntansi (MEA), 4(3), 1-17. https://doi.org/10.31955/mea.v4i3.284
Section
Articles
Copyright (c) 2020 Jurnal Ilmiah MEA (Manajemen, Ekonomi, & Akuntansi)
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
