Dynamics Of Asean, US, and China Capital Market Relations: Before, During and Post Covid-19

Authors

  • Swarmilah Hariani Fakultas Ekonomi dan Bisnis, Universitas Mercu Buana, Jakarta, Indonesia https://orcid.org/0000-0002-6096-857X
  • Abdul Halim Fakultas Ekonomika dan Bisnis Universitas Gadjah Mada, Yogjakarta, Indonesia
  • Hendryadi Hendryadi Sekolah Tinggi Ilmu Ekonomi Indonesia Jakarta, Jakarta, Indonesia
  • Roy Budiharjo Fakultas Ekonomi dan Bisnis, Universitas Telkom, Jawa Barat, Indonesia
  • Hafiz Abdul Samee Malik School of International Studies (SoIS), Universiti Utara Malaysia, Malaysia

DOI:

https://doi.org/10.22219/jrak.v14i3.34137

Keywords:

ASEAN Economic Community, ASEAN's economic integration, Autoregressive Distributed Lag, Regional Capital Market Integration

Abstract

Purpose: The study aims to uncover the dynamics of the relationship between ASEAN countries (Malaysia, Singapore, Thailand, and the Philippines), the US, and China to the Indonesian capital market.

Methodology/approach: This study uses weekly composite stock price index data for two observation periods: January 2016 to December 2019 (pre-COVID-19) and January 2020 to December 2023 (during and post-COVID-19). The econometric model is analyzed separately for (i) Indonesia and other ASEAN markets, and (ii) Indonesia, the US, and China.

Findings: The ARDL cointegration analysis reveals that before COVID-19, the Indonesian stock market was influenced by Malaysia, the Philippines, and Thailand within the ASEAN data group, while only China had a long-term impact within the Indonesia-US-China data group. In the short term, there was a stronger link between the Indonesian capital market and Malaysia compared to Singapore, the Philippines, and Thailand. After the pandemic, there was a significant increase in the relationship between China's capital market and Indonesia, while the impact of the U.S. stock exchange on Indonesia was considered insignificant in the short term.

Practical implications: This study can help investors and policymakers make informed decisions regarding portfolio diversification and risk management. More importantly, the long-term impact of China on the Indonesian stock market; so investors in Indonesia need to monitor and assess developments in the Chinese market for potential long-term implications.

Originality/value: This study offers new insights into the dynamics of the relationship between the Indonesian capital market and ASEAN, the US, and China; a topic that has been relatively under-researched in the context before and after the COVID-19 pandemic.

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Published

2024-09-17

Issue

Vol. 14 No. 3 (2024): Jurnal Reviu Akuntansi dan Keuangan

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Articles

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Copyright (c) 2024 Swarmilah Hariani, Abdul Halim, Hendryadi Hendryadi, Roy Budiharjo, Hafiz Abdul Samee Malik

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