ANALISIS KOINTEGRASI BURSA SAHAM CINA DAN BURSA SAHAM ASEAN 5

Abstract

COVID-19 was first confirmed on December 31, 2019, not only affecting health conditions, but also
reducing the global economy. This is important for investors who diversify internationally who expect
good risk and portfolio returns. This study aims to analyze the presence or absence of cointegration of the
Chinese stock exchange and the ASEAN 5 stock exchange. With non-probability sampling methods and
purposive sampling techniques, the sample of this study is daily data on stock market indices in China and
ASEAN for the period January 1, 2013-31 December 2020. Data analysis used cointegration test which
consists of Augmented Dickey-Fuller (ADF) Unit Root Test and Engle Granger Cointegration Test. The
results of this study indicate that the Chinese Stock Exchange (SSECI) is co-integrated with the Singapore
Stock Exchange (STI) at the 1%, 5%, and 10% significance levels, and the Malaysia Stock Exchange
(KLSEI) at the 10% level. However, it is not co-integrated with the Indonesian Stock Exchange (IHSG)
and Thailand (SETI) and the Philippines (PSEI) at the 1%, 5% and 10% significance levels and KLSEI at
the 1% and 5% levels. Based on the results of this study, it is hoped that it can become a reference for
interested parties to find out the long-term relationship between these stock exchanges, especially to
adjust to the conditions provided by COVID-19