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Co-Integration and Contagion Effect in Republic of Tiongkok and Asean Stock Market during The Economic Slowdown in Republic of Tiongkok

Management Analysis Journal · Vol. 9 No. 3 (2020) · hlm. 327–339

DOI
10.15294/maj.v9i3.31333
ISSN
2502-1451, 2252-6552
Terbit
2020-09-18
Penerbit
Universitas Negeri Semarang
Bahasa
eng

Abstrak

This study aims to find empirical evidence of the relationship of co-integration and contagion effect on the stock market in the People's Republic of Tiongkok and ASEAN during economic slowdown in the People's Republic of Tiongkok in 2015-2017. The samples in this study were the stock market of the People's Republic of Tiongkok, Indonesia, Laos, Malaysia, the Philippines, Singapore, Thailand and Vietnam. The data used in the study are secondary data from the Composite Stock Price Index obtained from www.bloomberg.com. The research method used in this study is Vector Autoregression (VAR). The test results show that economic slowdown in the People's Republic of Tiongkok has no effect on the average JCI of the People's Republic of Tiongkok and ASEAN. There is co-integration in the average JCI of the People's Republic of Tiongkok and ASEAN. The average Indonesian JCI is not affected by the JCI average of the People's Republic of Tiongkok and ASEAN. There is contagion effect on the average JCI of the People's Republic of Tiongkok and ASEAN. Based on the results of the study it were concluded that co-integration and contagion effects occurs on the average JCI in the People's Republic of Tiongkok and ASEAN when economic slowdown occurs.

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22 penulis · 28 tautan kepenulisan bersama · 1 lintas organisasi

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  • State University of Semarang
  • Diponegoro University
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Rekan penulisOrganisasiArtikel bersama
Moh KhoiruddinState University of Semarang1
Ketut SudarmaState University of Semarang1
Ascariena RafindaState University of Semarang1
Anindya ArdiansariState University of Semarang1
Fafurida FafuridaState University of Semarang1
Harjum MuharamDiponegoro University1
Elsa Nur Rizky FayzatyState University of Semarang1
Kris Brantas AbiprayuState University of Semarang1
Erisa Aprilia WicaksariState University of Semarang1
Nabila Rifa HanifahState University of Semarang1
Santi MaharaniState University of Semarang1
Siti BarokahAfiliasi tidak diketahui1
Riski AmaliyahAfiliasi tidak diketahui1
Dina Christina RaharjoState University of Semarang1
Iwan FadilahState University of Semarang1
Chakimatuzzahroh ChakimatuzzahrohState University of Semarang1
Kharisma ZuliardiState University of Semarang1
Sari Fitri FatimahState University of Semarang1
Bibit RobiatunState University of Semarang1
Elisa FajarwatiState University of Semarang1

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Sumber metadata: OAI-PMH (metadata jurnal) https://journal.unnes.ac.id/sju/index.php/maj/oai, pertama di-harvest 6 Nov 2026, terakhir terlihat 6 Nov 2026.
Metadata asli (oai_dc) 
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	<dc:title xml:lang="en-US">Co-Integration and Contagion Effect in Republic of Tiongkok and Asean Stock Market during The Economic Slowdown in Republic of Tiongkok</dc:title>
	<dc:creator>Chalimah, Nur</dc:creator>
	<dc:creator>Witiastuti, Rini Setyo</dc:creator>
	<dc:description xml:lang="en-US">This study aims to find empirical evidence of the relationship of co-integration and contagion effect on the stock market in the People's Republic of Tiongkok and ASEAN during economic slowdown in the People's Republic of Tiongkok in 2015-2017. The samples in this study were the stock market of the People's Republic of Tiongkok, Indonesia, Laos, Malaysia, the Philippines, Singapore, Thailand and Vietnam. The data used in the study are secondary data from the Composite Stock Price Index obtained from www.bloomberg.com. The research method used in this study is Vector Autoregression (VAR). The test results show that economic slowdown in the People's Republic of Tiongkok has no effect on the average JCI of the People's Republic of Tiongkok and ASEAN. There is co-integration in the average JCI of the People's Republic of Tiongkok and ASEAN. The average Indonesian JCI is not affected by the JCI average of the People's Republic of Tiongkok and ASEAN. There is contagion effect on the average JCI of the People's Republic of Tiongkok and ASEAN. Based on the results of the study it were concluded that co-integration and contagion effects occurs on the average JCI in the People's Republic of Tiongkok and ASEAN when economic slowdown occurs.</dc:description>
	<dc:publisher xml:lang="en-US">Universitas Negeri Semarang</dc:publisher>
	<dc:date>2020-09-18</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.unnes.ac.id/sju/maj/article/view/31333</dc:identifier>
	<dc:identifier>10.15294/maj.v9i3.31333</dc:identifier>
	<dc:source xml:lang="en-US">Management Analysis Journal; Vol 9 No 3 (2020): Management Analysis Journal; 327-339</dc:source>
	<dc:source>2502-1451</dc:source>
	<dc:source>2252-6552</dc:source>
	<dc:source>10.15294/maj.v9i3</dc:source>
	<dc:language>eng</dc:language>
	<dc:relation>https://journal.unnes.ac.id/sju/maj/article/view/31333/16886</dc:relation>
	<dc:rights xml:lang="en-US">Copyright (c) 2020 Management Analysis Journal</dc:rights>
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