Integrasi pasar saham ASEAN+6 dan pengaruh harga saham sektoral terhadap IHSG indonesia

Currently, the world economic activity is increasingly linked and dependent on each other. Almost all states interact with the outside world (Husnan 2001). It can be seen from the incident of monetary crisis that hit Asia in 1997. The post-crisis had created many agreements and efforts that led to the establishment of the institution on multilateral cooperation in the field of economy which was expected to improve understanding on the impact of regional economic integration formed through the combination of East Asia Summit (ASEAN, the People's Republic of China, Japan, Republic of Korea, Australia, India, and New Zealand) or better known as ASEAN+6. The effect of Indonesia economic relations with other countries renders Indonesia capital market integrated. Consequently, the effect can be positive or negative. The correlation of long term composite stock price index in the capital market among countries is used to determine the level and the development of capital market integration. Composite Stock Price Index (IHSG) is an important variable in the financial sector whose fluctuation is worth to note from time to time. This index includes the movement of the composite index of all shares listed on the Indonesia Stock Exchange (BEI). Sectoral Indonesia Stock Exchange (BEI) index is a sub index of the Composite Stock Price Index (IHSG), in which the volatile movement of the sectoral stock price index determines the movement of Composite Stock Price Index (IHSG). This research aims to analyze the relation between long-term integration and the impact of ASEAN+6 stock market shock on Indonesia Composite Stock Price Index (IHSG) and to identify the industrial sector that has the most influence on the movement of the Indonesia Composite Stock Price Index (IHSG) as well as the effect of industrial shock, and to provide input regarding managerial implication that can be taken by the investors. The scope of this study includes the ASEAN+6 countries, namely Indonesia (JKSE), Malaysia (KLSE), Singapore (STI), Thailand (SET), Philippines (PSEi), Australia (AORD), the People's Republic of China (SSE), Japan (Nikkei225), Republic of Korea (Kospi), India (BSESN), and New Zealand (NZX50). Sectoral stock price indices used include agriculture (JKAGRI), mining (JKMING), chemical and basic industries (JKBIND), various industries (JKMISC), consumer goods (JKCONS), property and real estate (JKPROP), transportation and infrastructure (JKINFA), finance (JKFINA), trade, services, investment (JKTRADE) and manufacturing (JKMNFG). The method used in this study is VAR / VECM. The result shows that stock price index Philippines, Republic of Korea and India positively related to Composite Stock Price Index (IHSG) Indonesia, while Singapore, New Zealand, and Republic of China negatively related to the Composite Stock Price Index (IHSG) Indonesia. Malaysia stock price index, Japan, Singapura and Australia has no influence on Composite Stock Price Index (IHSG). The shocks on stock price indices of Philippines, Republic of Korea, and India lead to the rise of JKSE in the long term, while the shocks on stock price indices of SET, NZXX50 and SSE impact to the decline of JKSE in the long term, while the shocks on stock price indices of Thailand, New Zealand, and Republic of China impact to the decline of Composite Stock Price Index (IHSG) in the long term. The most affecting Industrial sectors to the movement of the Indonesia Composite Stock Price Index (IHSG) are the transportation and infrastructure, financial, basic industries and chemical, manufacturing sector, the sector of various industries, consumer goods industry and the mining sector. The shocks on basic and chemical industries as well as various industries lead to the increase of Indonesia Composite Stock Price Index (IHSG) in the long term, while the shocks on financial sector, manufacturing, consumer goods industry, transportation, infrastructure, and the mining sector impact to decline of Indonesia Composite Stock Price Index (IHSG) in the long term. It is suggested for the investors who invest in the Stock Exchange (BEI) to observe the movement of the stock price index of Philippines (PSEit), the stock price index of Republic of Korea (Kospi) and stock price indices of India (BSESN) as references or considerations for investment decisions because the research results suggest that the composite stock price index of those countries positively correlate with IHSG. The industrial sectors which can be served as stock investment alternatives are manufacturing, transportation, infrastructure, and mining industries because these sectors have positive influences on the movement of the Indonesia Composite Stock Price Index (IHSG). This indicates that at the time the Composite Stock Price Index (IHSG) rises, investors can sell the shares of manufacturing, transportation, infrastructure and mining sectors. In the other hand, during the Composite Stock Price Index (IHSG) rises, financial sector, basic industry and chemicals, various industries and consumer goods industries can serve as alternatives for stock purchase as the result of this research suggests those sectoral price indices negatively correlate with Composite Stock Price Index (IHSG). Investors from Indonesia may invest in Malaysia, Japan, Singapore and Australia as the results using VECM test display zero influence on Stock Price Index (IHSG) Indonesia which indicates that the degree of those countries stock index integration with the Indonesia Composite Stock Price Index (IHSG) is low. A low degree of integration provides potential an opportunity benefit of international portfolio diversification. Market players must also consider the implications of the stock market integration which will affect the prospects of investment especially the domestic. The Indonesian government can take some steps to further develop the industrial sector such as manufacturing, transportation, infrastructure and mining because these sectors have positive influences on the movement of the Composite Stock Price Index (IHSG) as well as to pay attention to the stock price shocks on the financial, manufacturing, consumer goods industry, transportation, infrastructure, and mining sectors as they impact to decline of Indonesia Composite Stock Price Index (IHSG) in the long term