Analisis pengaruh guncangan makroekonomi terhadap integrasi pasar modal di asean 5

Globalization makes investors have many options to invest in any capital market. Implementation of the ASEAN Economic Community (AEC) is an attempt to increase interaction in the economic field, which will increase cross border transactions between ASEAN countries. Increasing in cross-border transactions will make the flow of capital going in and out of a country that could lead to the integration of capital markets. Stock is one profitable investment instruments in the capital markets. One of the indicators used to see the movement of the stock is the stock price index. Composite stock price index is a picture of a country's economy can be affected by macroeconomic variables. This study was conducted to see the impact of macroeconomic shock to capital markets integration in ASEAN 5. The objective of this study were (1) analyze the causality between stock indixes in ASEAN 5 capital market, (2) analyze the impact of macroeconomic variables shocks to the integration of stock indexes in ASEAN 5 capital market, (3) analyze the most influence variables in the integration of stock indexes in ASEAN 5 capital market. Data used in this research are secondary data. Stock price indexes used are index used in the five ASEAN countries, namely Indonesia (IHSG), Malaysia (KLCI), Singapore (STI), Thailand (SETI) and the Philippines (PSEI). Macroeconomic variables used are the macroeconomic variables in Indonesia, namely industrial production (IPI), inflation (INFI), interest rate (SBI) and exchange rate (KURSI). The method used is the analysis of VAR / VECM using impulse response function (IRF) and forecast error variance decomposition (FEVD) and granger causality of the study period 2001-2016. These results indicate there is a causal relationship between ASEAN index 5, whether it is two-way and one-way. IHSG and STI have a two-way causality, and both indexes have an one way causality to PSEI, KLCI and SETI. These results show an index of IHSG and STI have a strong position and influence among ASEAN 5 capital markets. Variable inflation (INFI) have a negative correlation to all ASEAN 5 indexes, this is because INFI response positively to shock itself, that cause the response given by the ASEAN 5 indexes are negative. Exchange rate variable Indonesia (KURSI) have a negative correlation to ASEAN 5 indexes, this is because there is a decrease KURSI response given by itself, that cause the index ASEAN 5 respond positively to shocks given by KURSI. The variable interest rate (SBI) have a negative correlation to ASEAN 5 indexes, this is because SBI respond positively to shocks given by itself, that cause the response given by ASEAN 5 indexes against SBI is negative. Variable industrial production (IPI) have a positive relationship to all ASEAN 5 indexes, this is because there is a reduction in IPI response given by itself, that cause the ASEAN 5 indexes respond negatively to shocks given by IPI. Shocks of macroeconomic variables contribute higher than stock indexes itself. The movement of the IHSG and KLCI is mainly due to inflation in Indonesia, while the movement of PSEI, SETI and STI mainly due to the interest rate in Indonesia. Inflation in Indonesia (INFI) contributed the highest to the movement of stock indexes in Malaysia (KLCI). Industrial production in Indonesia (IPI) contributed the highest to the movement of stock indexes in Indonesia (IHSG). The exchange rate in Indonesia (KURSI) contributed the highest to the movement of stock indexes in Indonesia (IHSG). Interest rate in Indonesia (SBI) contributed most to all stock indexes movement in the ASEAN 5 capital market