This study is a combination of previous studies about a relationship between the stock market with a macro economic performance and research on the international capital market integration. There is a strong relationship between the stock price with a macro-economic performance, in which the macro economic variables according Tandelilin (2010.343) include Gross Domestic Product (GDP), the growth rate of inflation, interest rates and currency exchange rates. Research on the international capital market integration has been done because of the domestic capital flows over the country and their potential gains from international diversification. Macroeconomic variables used in this study was limited to GDP growth, inflation, interest rate of Bank Indonesia Certificates ( SBI ) and the value of the US dollar against the rupiah exchange rate, and stock index that used are Kuala Lumpur Stock Index, Thailand stock index and Singapore.
The objective of this paper are to to analyze the movement of macroeconomic and examine the degree of four stock market integration in South East Asia based on data from 2010 to 2014 with the period of observation January 2010 – December 2014. Analysis model regression multivariable is used to detect economic factor (GDP, inflation, interest rate and exchange rate) and south East Asia stock market (KLCI, STI and STI) influence toward movement of the Indonesian composite stock market index in Indonesian Capital Market partially and simultaneous.
The results of this research indicate that GDP, inflation, interest rate, exchange rate, KLCI, SETI and STI have significant effect on the IHSG. Based on the test results the coefficient of determination, the value of the Adjusted R Square of 96,9 % while the remaining 3,1 % is influence by other variables not included in this research. Partially GDP, Inflation and STI have insignificant positive effect on IHSG, interest rate have significant negative effect on IHSG. While KLCI and SETI have significant positive effect
International capital market integration: Implications for convergence, growth, and welfare