The Seasonality of Market Integration : The Case of Indonesia's Stock Markets
Even though Market Integration and the weekend effect have been extensively investigated in the oast two decades, the examination of its linkage has been rarely found. Considering its importance for portfolio practices, this study investiagtes the possibility of integration to occur on a certain day...
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| Format: | Article |
| Language: | English |
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LPEM
2011
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| Online Access: | http://ir.unimas.my/id/eprint/9697/ http://ir.unimas.my/id/eprint/9697/1/THE%20SEASONALITY%20OF%20MARKET%20INTEGRATION%20CASE%20OF%20INDONESIAN%20STOCK%20MARKETS%28abstract%29.pdf |
| _version_ | 1848836625920950272 |
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| author | Shieldvie, Halim Brahmana, Rayenda Aldrin, Herwany |
| author_facet | Shieldvie, Halim Brahmana, Rayenda Aldrin, Herwany |
| author_sort | Shieldvie, Halim |
| building | UNIMAS Institutional Repository |
| collection | Online Access |
| description | Even though Market Integration and the weekend effect have been extensively investigated in the oast two decades, the examination of its linkage has been rarely found. Considering its importance for portfolio practices, this study investiagtes 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 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 adopetd and modified the FRench's Model to examine the seasonality inside market integration. This research remarks that there is seasonality in stock market integration. |
| first_indexed | 2025-11-15T06:26:45Z |
| format | Article |
| id | unimas-9697 |
| institution | Universiti Malaysia Sarawak |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T06:26:45Z |
| publishDate | 2011 |
| publisher | LPEM |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | unimas-96972015-11-11T08:48:29Z http://ir.unimas.my/id/eprint/9697/ The Seasonality of Market Integration : The Case of Indonesia's Stock Markets Shieldvie, Halim Brahmana, Rayenda Aldrin, Herwany HC Economic History and Conditions Even though Market Integration and the weekend effect have been extensively investigated in the oast two decades, the examination of its linkage has been rarely found. Considering its importance for portfolio practices, this study investiagtes 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 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 adopetd and modified the FRench's Model to examine the seasonality inside market integration. This research remarks that there is seasonality in stock market integration. LPEM 2011 Article NonPeerReviewed text en http://ir.unimas.my/id/eprint/9697/1/THE%20SEASONALITY%20OF%20MARKET%20INTEGRATION%20CASE%20OF%20INDONESIAN%20STOCK%20MARKETS%28abstract%29.pdf Shieldvie, Halim and Brahmana, Rayenda and Aldrin, Herwany (2011) The Seasonality of Market Integration : The Case of Indonesia's Stock Markets. Economics and Finance in Indonesia, 59 (2). pp. 177-190. http://www.researchgate.net/publication/254399292 |
| spellingShingle | HC Economic History and Conditions Shieldvie, Halim Brahmana, Rayenda Aldrin, Herwany The Seasonality of Market Integration : The Case of Indonesia's Stock Markets |
| title | The Seasonality of Market Integration : The Case of Indonesia's Stock Markets |
| title_full | The Seasonality of Market Integration : The Case of Indonesia's Stock Markets |
| title_fullStr | The Seasonality of Market Integration : The Case of Indonesia's Stock Markets |
| title_full_unstemmed | The Seasonality of Market Integration : The Case of Indonesia's Stock Markets |
| title_short | The Seasonality of Market Integration : The Case of Indonesia's Stock Markets |
| title_sort | seasonality of market integration : the case of indonesia's stock markets |
| topic | HC Economic History and Conditions |
| url | http://ir.unimas.my/id/eprint/9697/ http://ir.unimas.my/id/eprint/9697/ http://ir.unimas.my/id/eprint/9697/1/THE%20SEASONALITY%20OF%20MARKET%20INTEGRATION%20CASE%20OF%20INDONESIAN%20STOCK%20MARKETS%28abstract%29.pdf |