Skip to main content
Economic Note
03Sep02
Kahlil Rowter with statistical assistance by Yulia Ansari
The Jakarta Stock Market: Regional Influence Regional stock indices movements are commonly used as explanation for swings in the Jakarta market. Not all the time, mind you, only when the directions are similar. Conversely when the direction differs domestic reasons are then invoked.
How other market indices influence one’s own can be attributed at least to two factors. First, when a few markets are lumped together, a rising index in one member means an automatic price re-evaluation of the others. Second, rationale for changes in one member’s affects other members through contagion.
For example: if Korea’s index declines due to concerns over a slowing US economy, then a similar rationale should also affect Taiwan. From a statistical point of view, the interesting question is does movements in regional indices affect the JCI? If the answer to the first question is yes then we can ask next do the regional indices individually affect the JCI or are there a cascading effect taking place whereby indices from a select group of countries first affect other indices as well as the JCI directly and these affected countries indices then go about influencing the JCI? The data used here is daily indices from Jakarta (Jakarta Composite), Hong Kong (Hang Seng Composite), Tokyo (TOPIX 1st section), Korea (Korea Composite Index), Singapore (Singapore Stock Exchange All Shares), Thailand (Stock Exchange of Thailand), and New York (NYSE). Some would argue that the Dow Jones Industrial is a better representation of how brokers perceive the US market. This might be the case. However the NYSE and the DJIA correlates very well and therefore are interchangeable.
The range is from 04Jan00 through 29Aug02. The period chosen was to enable a complete match of all the indices included. This leaves out 201 observations out of the possible 694. Despite the fact that having a longer observation period would be useful, using only from 2000 onwards leaves out the challenge of explaining major structural changes that occurred during the crisis. Therefore the period covered here can be envisaged as a post-crisis exercise. The first order of business would be to find the correlations.
And sure enough we find that significant correlations are present among the various indices (see table 1). Now let me posit that the JCI is dependent in the sense that JCI gets influenced by the other indices depicted here. Going by this hypothesis we can re-arrange the correlations table into columns for each country in which the entries are sorted. In addition for each country we take the other country’s index which has the strongest correlations. This country’s column is presented next and the same procedure is repeated (see table 2). What we now have is an ordering of indices which directly affect the JCI and those that indirectly do so. To better illustrate the indices and their correlations we have put them in a graph (see graph 1). This shows how the indices influence each other first before ultimately affecting the JCI. Take HK for example.
Its correlation with the JCI is less than 50%, but indirectly it works its influence through The Philippines then through Singapore, Korea, and lastly Thailand. It should of course be noted that the correlations run the entire length of the observation period and that there is no guarantee it represents day-to-day movements. As a qualifier to the correlations matrix we also performed an econometric exercise to ascertain that the causalities run one way. Our Granger test results affirm that all indices with the exception of the NYSE affect the JCI and not the other way around.
Bottom line The Jakarta composite index is directly and indirectly influenced by regional indices (Thailand, Korea, Singapore, The Philippines, Hong Kong, Tokyo), and the NYSE. The largest influence comes from Thailand followed closely by Korea. The NYSE has the least direct influence but its affect is cumulatively influence is working its way through other indices in the region. This result does not show that the TIP countries (Thailand, Indonesia and The Philippines) are grouped as a similar market.

Popular posts from this blog

Dialogue with Cardinal Jean-Louis Tauran and Abdurrahman Wahid

It's Just Not War, But Also Security Justice Jakarta-thewahidinstitute.org. When explaining the role of Indonesia as a moderate Muslim world axis, KH. Abdurrahman Wahid alias Gus Dur talked a lot about pace NU, the largest religious organization Fatherland, in the basic formation of the Indonesian state. Former Chairman of the NU was also told how the NU and national figures in the early days of independence membincang Islam and national issues in a serious and profound. Discussions took place between Haji Oemar Sahid Tjokroaminoto and two cousins KH and KH Hasyim Ash'ari A Wahab Chasbullah, two of the NU. These discussions usually take place Bakda Noon and end before sunset. Besides the three, Sukarno, later became Indonesia's first president and also Kung Sahid law, is also involved in it. In NU Congress in 1935 in Banjarmasin, NU held that no duty of Muslims to establish an Islamic state. This attitude was later strengthened Proklamsi formulation of Pancasila an...
Read more

Taman Bunga Celosia (Celosia Flower Garden) Semarang, Center Java

This flower garden, which is located in Bandungan, is open at 09.00-16.00 WIB with various entrance tickets, ranging from Rp. 20,000 – Rp. 40,000. In this garden, you will be treated to a variety of flower views, from celosia, hebras, lavender, diantus, gerbera, chrysanthemum and many more. Besides flowers, there are miniature landmarks from various countries such as the Eiffel tower from Paris, France or the Windmill from the Netherlands. Not only that, there are many interesting photo spots that are instagramable. For those of you who bring small children, don't worry, in this tourist area there are children's playgrounds. Even when you go home later, you can at the same time buy souvenirs in the form of flower seeds with various types. Article Source from kotomonodotco: 22 Hits and Latest Tourist Places in Semarang 2022 https://kotomono.co/?p=11337
Post a Comment
Read more
Making money consciously Contributing social value is the primary strategy for making money consciously, but by itself it’s still not enough. The problem with social value is that your personal values won’t perfectly align with the social consensus. I’m sure that if everyone on earth were like you, the demand for certain products and services would shift dramatically. For example, if everyone were like me, fresh fruits and vegetables would have even higher social value, while factory farming would have none whatsoever.When you attempt to provide social value without achieving congruence with your personal values, your motivation will be very weak. You won’t be inspired because you’ll be doing what you feel you should do, but not what you want to do. I often see this happen with people who jump into blogging on a topic they think will make them a lot of money, only to give up after a few months because they can’t stomach it any longer. Please don’t do this to yourself.Alternatively, wh...
Read more