ANALYZING THE CORRELATION OF SELECTED ASIAN STOCK MARKET INDEX TOWARD JAKARTA COMPOSITE INDEX DURING GLOBAL FINANCIAL CRISIS FROM 2007-2010

Abstract

This research is going to examine whether there is correlation of Hang Seng Index, Taiwan Capitalization Weighted Stock Index, Nikkei 225 Index, and Shanghai Composite Index to Jakarta Composite Index both partially and simultaneously. And also to find out a variable that brings significant impact to Jakarta Composite Index in capital market. The period covered in this research is starting from January 2007 - December 2010. The analysis is use monthly time series with data collecting from five stock market index. The correlation and multiple regression models are used as statistical tools to analyze and test the hypothesis. The result of this research shows that there is correlation of Hang Seng Index, Taiwan Capitalization Weighted Stock Index, Nikkei 225 Index, and Shanghai Composite Index to Jakarta Composite Index both partially and simultaneously. Nikkei 225 shows negative correlation to Jakarta Composite Index, while the rest are show positive correlation.