ABSTRAK Skripsi ini meneliti tingkat comovement pasar modal antara negara ASEAN-5
(Indonesia, Malaysia, Singapura, Thailand dan Philipina) dan negara maju
(Australia, Inggris, Jepang, Korea Selatan, Cina) terhadap pasar modal Amerika
serta menguji tingkat comovement intra ASEAN-5 pada periode 2000-2014.
Pengujian tingkat comovement menggunakan analisis wavelet dan Dynamic
Conditional Correlation (DCC). Hasil dari penelitian ini adalah tingkat
comovement tergantung pada tingkat pembangunan ekonomi, aspek regional dan
aspek skala waktu. Hasil tersebut mempengaruhi pengambilan keputusan investasi
terkait diversifikasi internasional. Kedua hasil analisis menunjukkan ASEAN-5
belum terintegrasi sepenuhnya, namun dalam jangka panjang integrasi ASEAN
dapat dilakukan.
ABSTRACT The purpose of this study is to measure capital market comovement between
ASEAN-5 (Indonesia, Malaysia, Singapore, Thailand and Philippines) and the
other developed countries (Australia, UK, Japan, South Korea, and China) with
respect to US capital market as well as to test market comovement between
ASEAN-5 capital markets for period 2000-2014. Market comovement is
measured using wavelet analysis and Dynamic Conditional Correlation (DCC).
The results of this study propose that market comovement depends on level of
economic development, regional aspect, and timescale of return. These results
would influence investment decision on international diversification. Both of the
analysis gives conclusion that ASEAN capital markets have not been fully
integrated, but in the long term financial integration can be implemented.