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Integration of Stock Markets between Indonesia and Its Major Trading Partners

Gadjah Mada International Journal of Business (GamaIJB) · Vol. 11 No. 2 (2009) · pp. 229–252

DOI
10.22146/gamaijb.5526
ISSN
2338-7238, 1411-1128
Published
2009-05-12
Publisher
Master in Management, Faculty of Economics and Business, Universitas Gadjah Mada
Language
eng

Abstract

Using Autoregressive Distributed Lag (ARDL) and Vector Autoregressive (VAR) frameworks, this study examines the integration between the emerging stock market of Indonesia and its major trading partners (i.e., Japan, the U.S., Singapore, and China). During the period of July 1998 to December 2007, the Indonesian stock market is found to be integrated with its major trading partners. Thus, this implies that there is a limited room available for investors to gain risk-reduction benefits through diversifying their portfolio in those markets. Meanwhile, in the short run, the Indonesian market responds more to shocks in the U.S. and Singapore than in Japan and China. In designing policies pertaining to its stock market, the Indonesian government should take into account any development in the stock markets of its major trading partners, particularly the U.S. and Singaporean markets.

Keywords

Collaboration network of the authors

14 authors · 17 co-authorship links · 11 across different organisations

Hover or tap a name to highlight its co-authors. Double-click to open the author's page.

  • International Islamic University Malaysia
  • Universitas Syiah Kuala
  • Universiti Malaysia Sarawak
  • Universiti Teknologi Petronas
  • National University of Malaysia
  • International Centre for Education in Islamic Finance
  • Universiti Sains Malaysia
  • Affiliation unknown
  • Different organisations
  • Same organisation
  • Affiliation unknown
  • Thicker line = more joint articles · bigger circle = more articles
Show as table
Co-authorOrganisationJoint articles
Hartomi MaulanaAffiliation unknown1
Said MusnadiUniversitas Syiah Kuala1
Indra Yadi PutraUniversitas Syiah Kuala1
Zulkefly Abdul KarimNational University of Malaysia1
Naziruddin AbdullahInternational Islamic University Malaysia1
Salina KassimInternational Islamic University Malaysia1
Mohd Azmi OmarInternational Centre for Education in Islamic Finance1
Ronald RulindoInternational Islamic University Malaysia1
Rosylin Mohd YusofInternational Islamic University Malaysia1
Hasan BasriUniversitas Syiah Kuala1
A.K. Siti‐NabihaUniversiti Sains Malaysia1

Affiliations come from OpenAlex; journal OAI-PMH metadata carries none. Authors without an OpenAlex ID are matched by name, which can merge or split people.

Metadata source: OAI-PMH (metadata jurnal) https://journal.ugm.ac.id/gamaijb/oai, first harvested 28 Okt 2026, last seen 28 Okt 2026.
Original metadata (oai_dc) 
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	<dc:title xml:lang="en-US">Integration of Stock Markets between Indonesia and Its Major Trading Partners</dc:title>
	<dc:creator>Karim, Bakri Abdul</dc:creator>
	<dc:creator>Majid, M. Shabri Abdul</dc:creator>
	<dc:creator>Abdul Karim, Samsul Ariffin</dc:creator>
	<dc:subject xml:lang="en-US">ARDL; Indonesia; international portfolio diversification; stock market integration; trading partners</dc:subject>
	<dc:description xml:lang="en-US">Using Autoregressive Distributed Lag (ARDL) and Vector Autoregressive (VAR) frameworks, this study examines the integration between the emerging stock market of Indonesia and its major trading partners (i.e., Japan, the U.S., Singapore, and China). During the period of July 1998 to December 2007, the Indonesian stock market is found to be integrated with its major trading partners. Thus, this implies that there is a limited room available for investors to gain risk-reduction benefits through diversifying their portfolio in those markets. Meanwhile, in the short run, the Indonesian market responds more to shocks in the U.S. and Singapore than in Japan and China. In designing policies pertaining to its stock market, the Indonesian government should take into account any development in the stock markets of its major trading partners, particularly the U.S. and Singaporean markets.</dc:description>
	<dc:publisher xml:lang="en-US">Master in Management, Faculty of Economics and Business, Universitas Gadjah Mada</dc:publisher>
	<dc:date>2009-05-12</dc:date>
	<dc:type>info:eu-repo/semantics/article</dc:type>
	<dc:type>info:eu-repo/semantics/publishedVersion</dc:type>
	<dc:type xml:lang="en-US">Peer-reviewed Article</dc:type>
	<dc:format>application/pdf</dc:format>
	<dc:identifier>https://journal.ugm.ac.id/gamaijb/article/view/5526</dc:identifier>
	<dc:identifier>10.22146/gamaijb.5526</dc:identifier>
	<dc:source xml:lang="en-US">Gadjah Mada International Journal of Business; Vol 11, No 2 (2009): May - August; 229 - 252</dc:source>
	<dc:source>2338-7238</dc:source>
	<dc:source>1411-1128</dc:source>
	<dc:language>eng</dc:language>
	<dc:relation>https://journal.ugm.ac.id/gamaijb/article/view/5526/4498</dc:relation>
</oai_dc:dc>