FDI & IDX: A CAUSALITY TEST
Sari
This study aims to examine the causal relationship between foreign net purchase and stock market capitalization, as well as to examine the effect of foreign direct investments towards the development of stock markets in Indonesia. The data used in this study were secondary data of FDI and market capitalization issued quarterly in the form of time series during the period of January 2000 to September 2010 obtained from the Board of Investment, Bank Indonesia, Central Bureau of Statistics and the Indonesia Stock Exchange. Data were analyzed by using Granger's Causality method to test the causal relationship between the two variables. The predictive power of prior information may indicate a causal relationship between y and z in the long term. The results indicate that there is a pattern of one-way causal relationship between foreign net purchase and market capitalization, which means foreign net purchase significantly, affects market capitalization. The results also found the effect FDI has on market capitalization and this indicates that the Indonesian stock market is getting better. This condition is also supported by the strengthening of Indonesian economy fundamentals that led to foreign investors interested to invest in Indonesia.
.Keywords : causality, FDI, market capitalization.
Referensi
Acharya, Viral., Hyun Song Shin., dan Tanju
Yorulmazer. (2008). Firesale FDI, Working
Paper, American Finance Association
Adam, Anokye M., dan Tweneboah, George., (2010), Foreign Direct Investment and
Stock Market Development
Evidence, International Research Journal of Finance and Economics, Vol. 36, pp. 179-185
Chai-Anant, Chayawadee and Ho, Corrinne., (2008), Understanding Asian Equity Flows, Market Returns and Exchange Rates, BIS Working Papers, Monetary and Economic Department, Bank for International Settlements
Claessens, S., Daniela KL., and Schmukler, S.L. (2002), The future of Stock Exchanges in Emerging Markets-Evolution and Prospects,
Brookings-Wharton Papers on Financial Services 2002, The Brookings Institution, Washington, D.C., hal. 167-212.
Claessens, Stijn., Daniela Klingebiel, and Sergio L.
Schmukler., (2001), FDI and Stock Market
Ghazali Syamni and M. Rasyidin | FDI & IDX: A Causality Test. 7
Development: Complements or Substitutes?,
Working Paper, Word Bank
Durham, J. B., (2004), Absorptive Capacity and the Effects of Foreign Direct Invesment and Equity Foreign Portfolio Investments on Economic Growth, European Economic Review, Vol. 48, hal. 285-306
Ergun, Ugur., dan Nor, Abu Hassan Shaari Mohd., (2009), An Empirical Study on Determinants of External Linkages of Turkish Stock Market Under European Union Accession Conditions, European Journal of Social Sciences, Vol. 9, No. 3, Pp. 475-481.
and North African Region, Emerald Group Publishing Limited, Vol. 7, No. 33, pp. 477-489.
Nasser, Omar M. Al., dan Gomez, Xavier Garza,. (2009), Do Well-Functioning Financial Systems Affect the FDI Flows to Latin America?, International Research Journal of Finance and Economics, Issue 29. Hal, 60-75
Pavabutr, Pantisa dan Yan, Hong., (2007), The Impact of Foreign Portfolio Flows on Emerging Market Volatility: Evidence from Thailand, Australian Journal of Management, Vol. 32, No. 2. pp. 345-368
Feldstein (2000), How Beneficial Is Foreign Direct Razin, Assaf dan Efraim Sadka., (2000), Unskilled
Investment for Developing Countries?, Migration: A Burden or a Boon for the
http://www.imf.org/external/pubs/
Welfare State, The Scandinavian Journal of
ft/fandd/2001/06/loungani.htm Garcia, V.F. Economics, Vol. 102, No. 3, pp. 463-479.
and Liu, L. (1999), Microeconomic Robert D. Gray Jr. (2008), Effect of
Determinants of Stock Market
Macroeconomic Variables on Stock Market
Development, Journal of Applied
Returns for Four Emerging Economies:
Economics, Vol. 2. No. 1. Pp. 29-59.
Brazil,Russia,India,andChina,
Goldstein, Judith L., Douglas Rivers, and Michael International Business and Economics
Tomz. 2007. “InstitutionsnternationalResearch Journalin . I
RelationsInternational.” Organization Shahbaz, M., Nadeem Ahmed and Liaqat Ali,
(1):37-67.
(2008), Stock Market Development and
Hausmann, R., dan Arias, F Fendandez., (2000), Economic Growth: ARDL Causality in
Foreign Direct Investment: Good Pakistan, International Research Journal of
Cholesterol? Working Paper, American Finance And Economics, Vol. 14. pp. 184-
Development Bank. 194.
Sarwedi., (2002), Investasi Asing Langsung di Indonesia dan Faktor yang Mempengaruhinya, Jurnal Akuntansi & Keuangan Vol. 4, No. 1, pp. 17 –35
Levine, Ross dan Sarah Zervos., (1996), Stock Markets, Banks and Economic Growth, Working Paper, The World Bank, Policy Research Department, Finance and Private Sector Development Division.
Mahmoud, Ashraf Abdelaal. (2010). Foreign Direct
Invesmnet and Local Financial Market
Development : A Granger Causality Test
Using Panel Data, Working Paper, George
Washington University
Naceur, S. Ben, Samir Ghasouani, and Mohamed Omran., (2007), The Determinants of Stock Market Development in the Middle-Eastern
Sierra, Jesus. (2010), International Capital Flows
and Bond Risk Premia, Working Paper,
Financial Markets Department, Bank of
Canada, Ontario, Canada.
Singh, A. (1997). Financial Liberalization, Stock Markets, and Economic Development,The Economic Journal, Vol. 107, pp. 771-82.
Wang, Jianxin (2007) The Causal Relationship between Foreign Ownership and Stock Volatility in Indonesia, Draft paper. jx.wang@unsw.edu.au
www.bapepam.go.id,
www.bi.go.id,
www.bps.go.id
www.idx.co.
www./dte.gn.apc.org.
Refbacks
- Saat ini tidak ada refbacks.