Pengaruh Dow Jones Indeks, Strait Time , dan Hang Sheng Terhadap Indeks Harga Saham Gabungan dengan Pendekatan Eror Correction Model

Abstrak Tujuan penelitian ini adalah menganalisis pengaruh Dow Jones Index, Strait Times Index dan Hang seng Indeks terhadap indeks harga saham gabungan. Metodologi yang digunakan dalam menganalisa adalah Error Correction Model. Hasil penelitian menemukan bahwa DJI dalam jangka pendek dan panjang berpengaruh positif tidak signifikan. STI dalam jangka pendek dan panjang berpengaruh berpengaruh positif signifikan. HSE dalam jangka pendek dan panjang berpengaruh negatif tidak signifikan. Simpulan secara simultan dalam penelitian ini terbukti paling tidak terdapat satu variabel independen berpengaruh signifikan. Abstract The objective of this research is to analyse whether the Dow Jones Index, Strait Times Index and Hang Seng Index, each has a significant effect on Composite Stock Index. The methodology of analysis of this research is the Error Correction Model. The result of research found that in the short term Dow Jones has no significant while in the long term it has a positive and significant impact on Indonesian Composite Stock Index. Summary In the short and long term Strait Time Index has a positive and significant impact. In short and long term Hang Seng Index has no significant on Composite Stock Index.

Volume, Heat, and Salt Transports through the Soya Strait and Their Seasonal and Interannual Variations

Volume, heat, and salt transports through the Soya Strait are estimated based on measurements from high-frequency ocean radars during 2003–15 and all available hydrographic data. The baroclinic velocity structure derived from the climatological geopotential anomaly is combined with the sea surface gradient obtained from radar-derived surface velocities to estimate the absolute velocity structure. The annual-mean volume, heat, and salt transports are 0.91 Sv (1 Sv ≡ 106 m3 s−1), 25.5 TW, and 31.15 × 106 kg s−1, respectively. The volume transport exhibits strong seasonal variations, with a maximum of 1.41 Sv in August and a minimum of 0.23 Sv in January. The seasonal amplitude and phase roughly correspond to those of the Tsushima–Korea Strait. Time series of the monthly transport is presented for the 12 yr, assuming that the baroclinic components are the monthly climatological values. In cold seasons (November to April), the monthly volume transport is strongly correlated with the sea level difference between the Japan and Okhotsk Seas, and an empirical formula to estimate the transport from the sea level difference is introduced. It is likely that the sea level setup by the wind stress along the east coast of Sakhalin determines the sea level difference, which explains the seasonal and interannual wintertime variations of transport through the strait. The annual flux of water through the Soya Strait with a density greater than 26.8σθ, a potential source of Okhotsk Sea Intermediate Waters, is estimated to be 0.18 Sv.

Returns and volatility spillover between Asian equity markets: A wavelet approach

We analyse return and volatility spillover across select Asian equity markets using wavelet multiple correlation and cross-correlation. For the purpose of analysis, daily return data is taken from equity markets, viz. Bombay Stock Exchange SENSEX, Tokyo Stock Exchange NIKKEI 225, Hong Kong Shanghai Index (HSI), Amman Equity Index, Korea Composite Stock Price Index (KOSPI), and Singapore Strait Time Index (STI), from 03/01/2000 to 31/12/2013. The results show that the Asian markets are co-integrated in the long run. Further, it is found that a significant part of each market?s volatility pattern at intraweek scale can be largely explained by own shocks, but in the long run the volatility dynamics of the market changes as the extent of the spillover increases. From the wavelet multiple cross-correlation values, two developed markets, the STI and the HSI, are identified as potential leaders or followers among the group. From the analysis it is found that the volatility spillover across the studied markets is relatively low at the high frequency, implying that there is possibility of diversification at a daily to intraweek scale. The discrepancies between the markets vanish in the long run; hence a long-term diversification strategy is best avoided.

Volatility Linkages between Equity Markets of Pakistan, India, Singapore and Hong Kong: A GARCH BEKK Approach

The purpose of current study is to explore the volatility linkages between four Asian equity markets, which arePakistan (Karachi Stock Exchange), India (Bombay Stock Exchange), Hong Kong (Hang Sang Index) and Singapore (Strait Time Index). We estimate Multivariate GARCH BEKK model using weekly returns from January 2000 to August 2011.Direct evidences of linkages are found among all markets with respect to conditional mean returns and volatility.Own volatility spillover is found greater than cross volatility spillover in all emerging and developed economies.The insinuation of this study is that overseas investors may take advantage from the decrease of uncertainty by accumulating the stocks in the emerging markets to their investment portfolio.