Indonesia Stock Exchange Resilience Toward Crisis; Study Case Of Us And China Trade War Helma Malini, Edwin Suwantono
Page │ 237 Page │ 237 Page │ 237
JKMISC
Indonesia Stock Exchange Resilience Toward Crisis; Study Case Of Us And China Trade War Helma Malini, Edwin Suwantono
Page │ 238 Page │ 238 Page │ 238 five selected show evarage volatilities except for agriculture Industries. Since, this industry has their own characteristics and mostly influence by internal factors.
In order to examine the properties of the data further, the research employed the nonlinear diagnostic tests outlined in Table 4.
Table 4. Nonlinearity Test on AR (p) Residuals
Industries EPS= 1 EPS=2 EPS=3 EPS=4 EPS=5
Bootstrap
log_JKCONS 0.000 0.000 0.000 0.000 0.000
log_JKAGRI 0.000 0.000 0.000 0.000 0.000
log_JKINFA 0.000 0.000 0.000 0.000 0.000
log_JKMISC 0.000 0.000 0.000 0.000 0.000
log_JKMING 0.000 0.000 0.000 0.000 0.000
Asymptotic
log_JKCONS 0.000 0.000 0.000 0.000 0.000
log_JKAGRI 0.000 0.000 0.000 0.000 0.000
log_JKINFA 0.000 0.000 0.000 0.000 0.000
log_JKMISC 0.000 0.000 0.000 0.000 0.000
log_JKMING 0.000 0.000 0.000 0.000 0.000
Notes: only p-values are reported under the null hypothesis that the time series is a serially iid process. All calculations are done using the non-linear toolkit by Patterson and Ashley (2000).
The existence of linearity in six selected stock market of this research shows that stock market is open for gaining abnormal return. Moreover, the existence of linearity in stock market also showed the capability of return prediction that lead to inefficiency. The case of US and China trade war considered as event studies and lead to the opportunities of several investor in gaining abnormal return.
Table 5. The ARDL Bond Test Result
Dependant Variable F-Stat I(0) Lower Bound I(1) Upper Bound
log_JKCONS 2.324 2.45 5.06
log_JKAGRI 2.733 2.45 5.06
log_JKINFA 1.489 2.45 5.06
log_JKMISC 1.601 2.45 5.06
log_JKMING 4.349 2.45 5.06
From the result in table 5, when we placed log_JKCONS as the dependant variable, the f-stat is 2.324 which is lower than the lower bound of I(0) series, which imply that there is no co-integration among the variables.
The same result of f-stat lower than I(0) lower bound also were found when log_JKAGRI and log_JKINFA are the dependant variables, which also imply that at these variables, there were no co integration or no long run relationship. At the other hand, the result for log_JKMING and log_JKMISC are considered to be inconclusive due to the f-stat in between the lower bound I(0) and the upper bound I(1).
Indonesia Stock Exchange Resilience Toward Crisis; Study Case Of Us And China Trade War Helma Malini, Edwin Suwantono
Page │ 239 Page │ 239 Page │ 239 Table 6. Result of GMM Analysis (Model: CONS, AGRI, INFA, MISC, and MING)
Notes: ***, ** and * represent significance at the 1%, 5% and 10% level, respectively. ECT t-¹ is derived by normalizing the co integrating vectors on the dependent variable, producing residual r. by imposing restrictions on the coefficients of each variable and conducting wald test, we obtain F-statistics for each coefficient in all equations. Figures in the (.) and [.] represents t-statistics and probabilities for F-statistics, respectively. The optimal lag-length included in the models is based on the Akaike Information criteria (AIC). DW is durbin watson d test for autocorrelation and J-stats is the Hansen’s J-Statistics test for correct specification (over identifying restrictions) of the model. Lag length is set at 3
For selected index, the Vector Error Correction Model (VECM) based on the GMM estimation is appropriate technique because this model distinguishes between short and long run dynamics linkages among selected index.
Both short and long run linkages are important to see the impact of US and China trade war to five major indexes in Indonesia Stock Exchange. The existence of the short run multivariate Granger Causalities on selected index indicated by the significance of the F-statistics through joint test of lagged differences, while on the long-run shown by the significance of the t-statistics test ECT. The VECM analysis is conducted on the baseline model containing all five indexes. The result showed that all the Error Correction Terms (ECTs) are significant for the five being reviewed. The ECTs coefficients ranging from 0.59 to 0.98 suggest that on average, the selected index takes nearly about one and half week to clear any disequilibrium. Disequilibrium in indexes also considered as distraction for the stability of the stock price.
V. CONCLUSION
In this paper, we explored the co-integration on short and long run relationship of U.S.A and China trade war of 5 sectoral indexes with highest value transaction between with those countries. The result concludes that there is no co-integration between selected industries either short or long runs. The result finds that in long term, the trade war does not deliver influence towards Indonesia trading system particularly in stock market. However, the real value of trading (number of export and import) will be significantly influenced by the trade war since Indonesia has strong bilateral trading ties with both countries. This result is similar with the result found by (Abiad, A. Baris, K. Bernabe, J. A. Bertulfo, D. J., Romance, S. C. Feliciano, P. N. Maria singham, M. J. &
Blackman, 2018) with conclusion that trade conflicts have mildly positive effect towards developing Asian countries as the region benefits from trade redirection in electronics and textiles.
However, due to the fact that both countries between U.S.A and China experienced short term business relationship even though the trade war has taken place. On the contrary, the long term effect will impact the most when both countries starting to enforce regulatory policy against each other. The result showed that all the Error Correction Terms (ECTs) are significant for the five being reviewed. The ECTs coefficients ranging from 0.59 to
Dpdt Variablet
Independent Variables (t-stats) [F-stats] ECTt-1
Diagnostic Test
∆CONS ∆AGRI ∆INFA ∆MISC ∆MING
∆CONS - 6.202*** 0.543 4.432*** 4.985*** -0.948*** R²adj=0.24
[0.000] [0.169] [0.007] [0.001] (-4.386) DW=1.43 J-stats=0.03
∆AGRI 11.342***
[0.000] - 1.645**
[0.021]
1.984**
[0.064]
0.542 [0.0876]
-0.643***
(-3.002)
R²adj=0.24 DW=1.22 J-stats=0.02
∆INFA 0.643 [0.218]
3.654*
[0.032] -
2.532**
[0.010]
1.512 [0.414]
-0.598***
(0.203)
R²adj=0.03 DW=1.77 J-stats=0.32
∆MISC 0.543 [0.142]
1.543 [-0.232]
2.121**
[0.023]
- 0.765
[0.454]
-0.988***
(1.113)
R²adj=0.03 DW=0.67 J-stats=0.21
∆MING 2.432 [0.333]
3.432*
[0.001]
2.5346**
[0.001]
3.754**
[0.000]
- -0.7543***
(-6.675)
R²adj=0.043 DW=1.23 J-stats=0.34
Indonesia Stock Exchange Resilience Toward Crisis; Study Case Of Us And China Trade War Helma Malini, Edwin Suwantono
Page │ 240 Page │ 240 Page │ 240 0.98 suggest that on average, the selected index takes nearly about one and half week to clear any disequilibrium.
Disequilibrium in indexes also considered as distraction for the stability of the stock price.
In the case of inconclusiveness, we may need additional information in our model in order to continue with the ARDL bound test. An addition of variables would be recommended in order to gain more conclusive data. Either we would have to use the alternative methods of co-integration.
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