PENGARUH KRISIS POLITIK INDONESIA DAN MALAYSIA TERHADAP INTEGRASI PASAR MODAL NEGARA-NEGARA ASEAN-5: STUDI KASUS KRISIS AMBALAT PERIODE 2005-2016

Capital market integration is one of the most frequent topics discussed in the development of capital markets in the world. The capital market of ASEAN members also did not escape this phenomenon of capital market integration. However, a prolonged political crisis between Indonesia and Malaysia related to ownership of the Ambalat block is predicted to disrupt the integration of capital market in ASEAN region. This study aims to analyze whether there is influence from the political crisis between Indonesia and Malaysia towards capital market integration of ASEAN founding countries. This study investigates the capital markets of 5 founding countries of ASEAN region (Indonesia, Malaysia, Thailand, Singapore, and Philippines) using weekly capital market data of the five countries over the period 2005 to 2016. This study examines the correlation between capital market returns with Dynamic model Conditional Correlation Multivariate-GARCH (DCC MGARCH). Meanwhile the influence of political crisis is analyzed by making the political crisis as dummy variable in linear regression analysis method. The results of this study indicate that the capital markets five founding countries of ASEAN has strongly integrated. The result of dynamic correlation shows that there is a correlation between stock returns among the five members ASEAN. Meanwhile, the level of integration of Indonesia-Malaysia capital market, Indonesia-Singapore, Indonesia-Philippines and Malaysia-Thailand are affected significantly by the political crisis between Indonesia and Malaysia ownership of the Ambalat block