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The Seasonality Of Market Integration : Case Of Indonesian Stock Markets

By Brahmana Rayenda Khresna, Herwany Aldrin and Halim Shieldvie


Even though Market Integration and the Weekend Effect have been extensively investigated in the past two decades, the examination of its linkage has been rarely found. Considering its importance for portfolio practices, this study investigates 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 market integration, and French’s (1980) Weekend Effect 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 adopted and modified the French’s Model to examine the seasonality inside market integration. This research remarks that there is seasonality in stock market integratio

Topics: HF Commerce
Publisher: 'Universitas Indonesia, Directorate of Research and Public Service'
Year: 2015
DOI identifier: 10.7454/efi.v59i2.62
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