STOCK MARKET EFFICIENCY AND INTEGRATION: EVIDENCE FROM TOP TEN COMPETITIVE ASIA-PACIFIC COUNTRIES

Mulyadi, Devina Dewi (2016) STOCK MARKET EFFICIENCY AND INTEGRATION: EVIDENCE FROM TOP TEN COMPETITIVE ASIA-PACIFIC COUNTRIES. S1 thesis, UAJY.

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Abstract

The objective of this study is to examine the market efficiency and integration simultaneously for select Asia-Pacific countries. The selected Asia- Pacific countries is based on the Global Competitiveness Report by the World Economic Forum. The selected Asia-Pacific countries are Singapore (STI), Japan (N225), Hongkong (HSI), Taiwan (TWII), Malaysia (KLSE), New Zealand (NZ50), Australia (AXJO), Republic of Korea (KOSPI), Republic of China (SSE), and Thailand (SET). The samples are the monthly closing prices during 2003 until 2015. The data were taken from Yahoo Finance (http://www.finance.yahoo.com). The statistical method used to run and test the data, those method are runs test, Augmented Dickey-Fuller test, Phillips-Perron test, Pearson correlation, Johansen’s Co-integration test, Granger causality test, and GARCH (1,1) test. All methods tested using Eviews 8 and SPSS 22 for Windows program. The result indicate there is significant short-term and long-term relationship between the stock market.

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