The information transfer among the USA, China, Singapore, and Indonesia stock market

In, Jun Jong (2020) The information transfer among the USA, China, Singapore, and Indonesia stock market. Bachelor thesis, Universitas Pelita Harapan.

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Abstract

This study examines how the information transfer affects the stock markets of both home and abroad. This data is analyzed for the selected period 2010-2020 using 10 years of stock price data from Indonesia, the US, China and Singapore. To support the study, unit root tests and cointegrations were used to determine the appropriate model for the VAR models. The hypothesis is then tested using the Granger Causality Test, Impulse Response Test, and Variance Decomposition are contradict. So VAR results are slightly different, but in the end the results are not enough. The results showed that the US have spillover effect but still not clear if the US market influence positively or negatively to Indonesia market. Keywords : information transfer, VAR, co-integration

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