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The Seasonality Of Market Integration: Case Of Indonesian Stock Markets

  • 1Shieldvie Halim Author_Email:

    (Faculty of Economics, University of Padjadjaran, Dipati Ukur 35, Bandung,Indonesia)

  • Aldrin Herwany,

    (Faculty of Economics, University of Padjadjaran, Dipati Ukur 35, Bandung,Indonesia)

  • Rayenda Brahmana

    (Finance Cluster, School of Management, University of Science Malaysia,Penang,Malaysia)

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File URL: http://www.internationalconference.com.my/proceeding/2ndicber2011_proceeding/439-2nd%20ICBER%202011%20PG%202304-2319%20Market%20Integration.pdf
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Paper provided by Conference Master Resources in its series 2nd International Conference on Business and Economic Research (2nd ICBER 2011) Proceeding with number 2011-439.

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Date of creation: Mar 2011
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Publication status: Published in 2nd ICBER 2011 Proceeding, March 2011
Handle: RePEc:cms:2icb11:2011-439
Contact details of provider: Web page: http://www.internationalconference.com.my/proceeding.htm

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  1. Levine, Ross & Zervos, Sara, 1998. "Capital Control Liberalization and Stock Market Development," World Development, Elsevier, vol. 26(7), pages 1169-1183, July.
  2. Levine, Ross & Zervos, Sara, 1996. "Stock market development and long-run growth," Policy Research Working Paper Series 1582, The World Bank.
  3. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
  4. Bussière, Matthieu & Fidrmuc, Jarko & Schnatz, Bernd, 2005. "Trade integration of Central and Eastern European countries: lessons from a gravity model," Working Paper Series 0545, European Central Bank.
  5. Dumas, Bernard & Solnik, Bruno, 1995. " The World Price of Foreign Exchange Risk," Journal of Finance, American Finance Association, vol. 50(2), pages 445-79, June.
  6. Gikas A. Hardouvelis & Dimitrios Malliaropulos & Richard Priestley, 2006. "EMU and European Stock Market Integration," The Journal of Business, University of Chicago Press, vol. 79(1), pages 365-392, January.
  7. Lakonishok, Josef & Maberly, Edwin, 1990. " The Weekend Effect: Trading Patterns of Individual and Institutional Investors," Journal of Finance, American Finance Association, vol. 45(1), pages 231-43, March.
  8. Geert Bekaert & Campbell R. Harvey & Christian Lundblad, 2001. "Does Financial Liberalization Spur Growth?," NBER Working Papers 8245, National Bureau of Economic Research, Inc.
  9. Geert Bekaert & Campbell R. Harvey, 1994. "Time-Varying World Market Integration," NBER Working Papers 4843, National Bureau of Economic Research, Inc.
  10. Abraham, Abraham & Ikenberry, David L., 1994. "The Individual Investor and the Weekend Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(02), pages 263-277, June.
  11. Devereux, Michael B & Smith, Gregor W, 1994. "International Risk Sharing and Economic Growth," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(3), pages 535-50, August.
  12. Ng, David T., 2004. "The international CAPM when expected returns are time-varying," Journal of International Money and Finance, Elsevier, vol. 23(2), pages 189-230, March.
  13. Korajczyk, Robert A., 1995. "A measure of stock market integration for developed and emerging markets," Policy Research Working Paper Series 1482, The World Bank.
  14. Josef Lakonishok, Seymour Smidt, 1988. "Are Seasonal Anomalies Real? A Ninety-Year Perspective," Review of Financial Studies, Society for Financial Studies, vol. 1(4), pages 403-425.
  15. Carrieri, Francesca & Errunza, Vihang & Hogan, Ked, 2007. "Characterizing World Market Integration through Time," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 42(04), pages 915-940, December.
  16. Fredriksson Per G & Mani Muthukumara, 2004. "Trade Integration and Political Turbulence: Environmental Policy Consequences," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 3(2), pages 1-28, February.
  17. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  18. Gerard, Bruno & Thanyalakpark, Kessara & Batten, Jonathan A., 2003. "Are the East Asian markets integrated? Evidence from the ICAPM," Journal of Economics and Business, Elsevier, vol. 55(5-6), pages 585-607.
  19. Wayne E. Ferson & Campbell R. Harvey, 1994. "Sources of Risk and Expected Returns in Global Equity Markets," NBER Working Papers 4622, National Bureau of Economic Research, Inc.
  20. Taufiq Choudhry, 2000. "Day of the week effect in emerging Asian stock markets: evidence from the GARCH model," Applied Financial Economics, Taylor & Francis Journals, vol. 10(3), pages 235-242.
  21. Gibbons, Michael R & Hess, Patrick, 1981. "Day of the Week Effects and Asset Returns," The Journal of Business, University of Chicago Press, vol. 54(4), pages 579-96, October.
  22. Wincoop, Eric van, 1994. "Welfare gains from international risksharing," Journal of Monetary Economics, Elsevier, vol. 34(2), pages 175-200, October.
  23. Mahendra Chandra, 2006. "The day-of-the-week effect in conditional correlation," Review of Quantitative Finance and Accounting, Springer, vol. 27(3), pages 297-310, November.
  24. Wilson Tong, 2000. "International Evidence On Weekend Anomalies," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 23(4), pages 495-522, December.
  25. Kamara, Avraham, 1997. "New Evidence on the Monday Seasonal in Stock Returns," The Journal of Business, University of Chicago Press, vol. 70(1), pages 63-84, January.
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