Indonesian capital market integration with Asian and U.S. capital markets during the COVID-19 crisis and the Russia-Ukraine war

Resumen

This study aims to analyze the integration of stock markets from the United States, China and ASEAN towards the stock market in Indonesia during geopolitical periods, such as COVID-19 and Russia-Ukraine war. This study uses secondary data, namely the daily closing prices of the United States S&P 500 index, Shanghai Composite, Indonesia Stock Exchange, Thailand SET, FTSE Straits Times Singapore, Philippine Stock Exchange, Kuala Lumpur Stock Exchange, and Vietnam Securities Exchange. The analytical method used to support this research is EGARCH (Exponential Generalized Autoregressive Conditional Heteroskedasticity). The findings show that the Indonesian stock market has a positive influence on the United States S&P 500 stock market, Shanghai Composite, Thailand SET, FTSE Straits Times Singapore, Philippine Stock Exchange, and Kuala Lumpur Stock Exchange, and Vietnam Securities Exchange.