scholarly journals Integrasi Indeks Saham Pada Bursa Negara Kawasan Asia Pasifik

2020 ◽  
Vol 4 (1) ◽  
pp. 30
Author(s):  
I Wayan Tresna Wira Sentana ◽  
I Gde Kajeng Baskara
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Asia Pacific ◽  
Cointegration Test ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Johansen Cointegration ◽  
Johansen Cointegration Test ◽  
Positive Correlation Coefficient

Financial liberalization that occur in many countries in the world will cause stock market in that countries are integrated. Asia Pacific stock markets are very potential for investors to investing their capital because the Asia Pacific stock markets are very potential to make maximum returns for the investors. The aim of this researches are to analyze integration that occur in the Asia Pacific stock markets and to know that Asia Pacific stock markets are suitable for investors to diversifying their portfolio. This research are using the closing price of the Asia Pacific stock markets from April 2011 – March 2019 using Johansen cointegration test and vector error correction model. The result shows that Asia Pacific stock markets are integrated shows with seven cointegrating values in Johansen cointegration test and investors cannot diversifying their portfolio in the Asia Pacific stock market because of positive correlation coefficient values from all of the variables

scholarly journals Poverty, Unemployment and Food Insecurity: Empirical Evidence from Nigeria

2021 ◽  
pp. 107-123
Author(s):  
Onime, Bright Enakhe ◽  
Stephen Tamuno
Keyword(s):  
Food Insecurity ◽  
Error Correction ◽  
Security Policy ◽  
Cointegration Test ◽  
Infrastructure Development ◽  
Vector Error Correction ◽  
Current Period ◽  
Vector Error ◽  
Johansen Cointegration ◽  
Johansen Cointegration Test

The high incidence of poverty in Nigeria coupled with the alarming rate of unemployment has raised concerns among experts as to their likely relationship with food insecurity. This study examined the nexus between poverty, unemployment and food insecurity using the Johansen cointegration test and the vector error correction model. The result from the Johansen cointegration test suggests a long-run relationship between food insecurity, poverty and unemployment. Findings from the vector error correction analysis showed a positive but insignificant relationship between poverty and food insecurity such that a percentage change in poverty in the current period is associated with a 0.09 per cent increase in food insecurity on average, ceteris paribus. Besides, a positive and significant relationship subsists between unemployment and food insecurity where an increase in unemployment exacerbated the latter. Clearly, a 1 per cent deviation in the previous period unemployment level is associated with a 1.2 per cent degeneration of the food insecurity position in the short run. In the same vein, a 1 per cent change in unemployment in the current period causes a 1.5 per cent aggravation of food insecurity. Following the findings, this study recommends a multi sector-specific approach to solving the issue of poverty in Nigeria targeting agriculture and its employment generating capacity, creating the enabling environment through infrastructure development and improving the ease of doing business for the private sector to strive and enhance its employment generating capacities. The study concludes with a call for the implementation of a holistic food security policy targeting improvement in crop yield, internal security problems and the proper funding of agriculture to be effective.

scholarly journals Islamic Stock Markets Integration and Contagion Effect of China’s Economic Slowdown

2020 ◽  
Vol 2 (2) ◽  
pp. 342-352
Author(s):  
Harjum Muharam ◽  
M. Andika Jawara Pratama
Keyword(s):  
Stock Markets ◽  
Stock Index ◽  
Contagion Effect ◽  
Asian Countries ◽  
Causality Test ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Causality Relationship ◽  
Johansen Cointegration Test

This study investigated the existence of the Islamic stock markets integration among Asian countries and the contagion effect caused by the economics slowdown in China. The data of this study are the daily closing price of islamic stock index in Indonesia (MIID), Malaysia (MIMY), and China (MICN). The period of analysis is divided into tranquil period (August 30, 2007 - June 11, 2015) and turmoil period (June 12, 2015 - September 1, 2016). Meanwhile, there are 2351 observational datas used in this study. The Johansen Cointegration test, Vector Error Correction Model (VECM), and Granger Causality test are used as the research methods.The results showed that in both periods,the islamic stock market of three countries are integrated with each other. However, there is no evidence of contagion effect during the economics slowdown in China. In addition, there is a bidirectional causality relationship between the Malaysia and China Islamic stock markets.

scholarly journals Does Trade Openness Reduce Inflation? Empirical Evidence from Pakistan

2010 ◽  
Vol 15 (2) ◽  
pp. 35-50 ◽  
Author(s):  
Tahir MukhtarF
Keyword(s):  
Error Correction ◽  
Trade Liberalization ◽  
Trade Openness ◽  
Cointegration Test ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
Multivariate Cointegration

One of the more celebrated propositions found in international trade is the case that trade liberalization is associated with declining prices, so that protectionism is inflationary. In line with this view, Romer (1993) postulates the hypothesis that inflation is lower in small and open economies. The objective of this study is to examine Romer’s hypothesis in Pakistan. For this purpose, we have used multivariate cointegration and a vector error correction model. The study covers the period from 1960 to 2007. The empirical findings under the cointegration test show that there is a significant negative long-run relationship between inflation and trade openness, which confirms the existence of Romer’s hypothesis in Pakistan.

scholarly journals ANALISIS PENGARUH SUKU BUNGA, PENDAPATAN NASIONAL DAN INFLASI TERHADAP NILAI TUKAR NOMINAL : PENDEKATAN DENGAN COINTEGRATION DAN ERROR CORRECTION MODEL (ECM)

2017 ◽  
Vol 4 (1) ◽  
Author(s):  
Roosaleh Laksono T.Y.
Keyword(s):  
Error Correction ◽  
Correction Term ◽  
Error Correction Model ◽  
Cointegration Test ◽  
Maximum Eigenvalue ◽  
Correction Model ◽  
Error Correction Term ◽  
Johansen Cointegration ◽  
Eigenvalue Statistic ◽  
Johansen Cointegration Test

Abstrak. Penelitian  ini  bertujuan  untuk  menganalisa  pengaruh  Suku  bunga,  inflasi, dan Pendapatan Nasional terhadap nilai tukar rupiah terhadap dollar baik hubungan keseimbangan jangka panjang maupun keseimbangan jangka pendek data empiris  tahun 1980-2015 (36 tahun) dengan menggunakan data sekunder. Metode  penelitian  yang  digunakan adalah regresi linier berganda  metoda OLS. Metoda penelitian ini menggunakan mendekatan dengan cointegration dan error correction model (ECM) dengan sebelumnya melallui beberapa tahapan pengujian statistic lainnya. Hasil dalam penelitian dengan cointegration (Johansen Cointegration test)   menunjukkan bahwa semua variable bebas (inflasi, pendapatan nasional dan suku bunga)  dan variable tak bebas (nilai tukar) telah terjadi hubungan keseimbangan (equilibrium) dalam jangka panjang, hal ini dibuktikan dengan hasil uji tersebut dimana nilai trace statistic sebesar 102.1727 jauh lebih besar dari nilai kritis (5%)  sebesar 47.85613.  Selain itu pula  hasil dari Maximum Eigenvalue Statistic yaitu dengan hasil sebesar 36,7908 lebih besar dari nilai kritis 5%. Sebesar 27,584434. Sementara hasil dari uji koreksi kesalahan model (ECM) bahwa hanya variable inflasi, suku bunga dan residual yang signifikan, sementara variable pendapatan nasional tidak signifikan. Hal ini yang berarti bahwa variable inflasi dan suku bungan mempunyai hubungan jangka pendek terhadap nilai tukar, hal ini terlihat dari nilai Probabilitas (Prob.) masing- masing variable dibawan 0,05 (5%), selain itu koefisien residual pada hasil uji ECM adalah -0,732447, hal ini menunjukan bahwa koreksi kesalah (error correction term) adalah sebesar 73,24% dan significant. 

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