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The Seasonality of Market Integration: The Case of Indonesia’s Stock Markets

Author

Listed:
  • Shieldvie Halim

    (Faculty of Economics, University of Padjadjaran)

  • Rayenda Brahmana

    (Finance Cluster, School of Management, Universiti Sains Malaysia)

  • Aldrin Herwany

    (Faculty of Economics, University of Padjadjaran)

Abstract

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 integration

Suggested Citation

  • Shieldvie Halim & Rayenda Brahmana & Aldrin Herwany, 2011. "The Seasonality of Market Integration: The Case of Indonesia’s Stock Markets," Economics and Finance in Indonesia, Faculty of Economics and Business, University of Indonesia, vol. 59, pages 177-190, August.
    • Handle: RePEc:lpe:efijnl:201108
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    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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