scholarly journals Analysis of Stock Market Integration Among ASEAN Countries by Using Vector Error Correction Model (VECM) Approach

2020 ◽  
Author(s):  
Reni Lestari
Keyword(s):  
Stock Market ◽  
Error Correction ◽  
Stock Exchange ◽  
Error Correction Model ◽  
Stock Index ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error

Globalization has driven the economy of countries to relate to each other. It brings relationships in the capital among countries in the world, especially in ASEAN region countries. This study aimed to analyze the integration of the stock market among countries in the ASEAN region. The stock market was analyzed are the Indonesia Stock Exchange, Malaysia Stock Exchange, Singapore Stock Exchange, Thailand Stock Exchange, Vietnam Stock Exchange, and Philippine Stock Exchange. This study using the Vector Error Correction Model (VECM) as the method. The result of this study shows that, in the long term Singapore Stock Index (STI), Malaysia Stock Index (KLSE), Philippines (PSEi), and Indonesia Stock Index (JKSE) are positively correlated. This means the change of stock index price in one country will affect other related countries in the long term. In the short term of VECM estimation, found the Vietnam Stock Index (VNI), Singapore Stock Exchange (STI), Philippine (PSEi) are positively correlated and negatively correlated with Thailand Stock Exchange (SET). For the managerial implication, the result of this study is expected as a reference or basis of consideration of investment decisions. This because long-term stock market movements are important because they impact international portfolio management and risk diversification.

scholarly journals Analisis Pengaruh Kinerja Keuangan terhadap Profitabilitas Bank Syariah di Indonesia

2017 ◽  
Vol 8 (2) ◽  
pp. 175
Author(s):  
Heri Sudarsono
Keyword(s):  
Error Correction ◽  
Error Correction Model ◽  
Third Party ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Factors Affecting ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run

<p>This study aimed to analyze the factors affecting the amount of profitability (ROA) provided by Islamic banking in Indonesia. The data which is used is taken from the financial report of the Shari’a Bank during the 2011-2016 periods by using montly financial statement This study uses a Vector Error Correction Model (VECM) to see the long-term effect and response to shock that occur in the studied variables. The result shows that in the long run, the percentage Financing (FIN) and BOPO give a positive siqnifikant effect on the ROA, while third party funds (DPK), percentage profit and loss sharing (TBH), financial to deposit ratio (FDR) has negative and siqnificant effect on the ROA. Sertifikat Bank Indonesia Syariah (SBIS) and non performing finance (NPF) have no significant effect on the ROA. In short run, ROA give a negatif and siqnificant effect on the ROA and FDR give a positif and siqnificant effect, while DPK, FIN, SBIS, TBH, NPF and BOPO have no sinificant effect on the ROA. Therfore, shocks that occur in the ROA, FIN, FDR , NPF dan BOPO positively responded by ROA and will be stable in the long term. While the shocks that occur in the percentage of FDR, SBIS and TBH responded negatively by financing and will be stable in the long term.</p><p>Penelitian ini bertujuan untuk menganalisis faktor-faktor yang memengaruhi profitabilitas (ROA) perbankan syariah di Indonesia. Data yang digunakan data bulanan dari laporan keuangan bank syariah periode 2010-2015. Penelitian ini mengunakan Vector Error Correction Model (VECM) untuk melihat dampak jangka panjang dan respon terhadap dampak shock pada setiap variabel terhadap pembiayaan. Hasil olah data menunjukkan bahwa FIN dan BOPO berhubungan positif terhadap ROA, sedangkan DPK, TBH, FDR berhubungan negatif terhadap dan ROA SBIS dan NPF tidak berpengaruh terhadap tingkat ROA. Dalam jangka pendek, ROA berhubungan negatif, tetapi FDR terhadap ROA berhubungan positif. Sedangkan DPK, FIN, SBIS, TBH, NPF and BOPO tidak berhubungan dengan pembiayaan. Di lain pihak, respon pembiayan terhadap goncangan yang terjadi terjadi pada ROA, FIN, FDR, NPF dan BOPO direspon positif oleh ROA. Sedangkan respon ROA terhadap goncangan yang terjadi pada FDR, SBIS dan TBH adalah negatif.</p>

scholarly journals Analisis Kredit UMKM di Provinsi Aceh: Analisis Empiris Vector Error Correction Model (VECM)

2020 ◽  
Vol 4 (1) ◽  
pp. 59
Author(s):  
Hamdani Hamdani ◽  
Ismail Ismail ◽  
Thasrif Murhadi
Keyword(s):  
Interest Rates ◽  
Error Correction ◽  
Error Correction Model ◽  
Domestic Product ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Aceh Province

The purpose of this study was to determine the effect of regional gross domestic product, non-performing loans, and loan interest rates on credit absorption by SMEs in Aceh province in the long term. The data used is secondary data in the form of a quarter 1st quarter 1995 to third quarter 2015. The model used in this study is a model of Vector Error Correction Model (VECM) to find out the results of short-term estimates, and using Johansen cointegration test to determine the relationship long-term between variables. The data used in this study has been tested with Augmented Dickey Fuller (ADF) to determine the stationary data. Based on this study it was found that in the long term there is a cointegration relationship between the variables studied. In the short term, the variables affecting the gross regional domestic product and has a one-way relationship with SME loans while variable interest rates have a causal relationship with SME loans in Aceh province, while the NPL variable does not have a causal relationship with SME loans. Keywords: SME Loans, Gross Domestic Product, Non Performimg Loan, Interest Rates, Vector Error Correction Model (VECM).

scholarly journals Elasticity of the Number of World Cruise Tourists Using the Vector Error Correction Model

2021 ◽  
Vol 13 (16) ◽  
pp. 8743
Author(s):  
Young-Gyun Ahn ◽  
Min-Kyu Lee
Keyword(s):  
Error Correction ◽  
Error Correction Model ◽  
Tourism Industry ◽  
Invisible Hand ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Cruise Tourism

Along with the growth of the marine tourism industry, the number of global cruise tourists is rapidly increasing; the competition among regions to attract cruise tourists is increasing. The current study aims to verify that the global cruise tourism industry can be sustainable through its inherent power for long-term balanced convergence within the industry and can flexibly respond to external shocks such as COVID-19. This study applies the Vector Error Correction Model (VECM) to estimate the long-term balance function that determines the number of world cruise tourists. This study reveals that the number of world cruise tourists finally converges to long-term balance if the number of world cruise tourists at present is lower than the one at long-term equilibrium. In summary, the results of the VECM in the present study suggest the presence of an “invisible hand” in the global cruise tourism industry converging to a long-term balance. A few previous studies have suggested ways to increase global cruise tourists and promote the cruise tourism industry through qualitative methods, however, little research has estimated the decision function of the number of cruise tourists at a long-term equilibrium point. This study shows the dynamic characteristics of the cruise tourism market using the VECM.

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