Analisis Contagion Informasi Kenaikan Pajak Warga Amerika Terhadap Indeks Pasar Modal Tujuh Negara Kaya Berkembang

Aviandi Okta Maulana(1*)

(1) Maksi FEB UGM
(*) Corresponding Author


This research examines contagion effect among seven new emerging economy countries around the incerease of U.S. household tax January2, 2013. Using one minutes intraday return as a data. Johansen cointegration test and Granger causality test is used for knowing contagion relation among study period. The result clearly shows that the increase of U.S. household tax causes contagion relationship among the capital markets and strong relationship between short-term capital market studied.


Abis, Abisugm, Abismaksi, Maksi, Maksiugm, Feb, Febugm, ugm, Causality, Contagion, Capital Market, Tax Information

Full Text:



Abimanyu, Y., Warsidi, N.S., Kartiko, S.,and Maharani, T. (2008). International Linkages to TheIndonesian Capital Market:Cointegration Test.Azad, S. (2008). Efficiency, Cointegration and Contagion In Equity Markets: Evidence From China, Japan andSouth Korea. Asian EconomicJournal 2009; 23(1); 93-118Bekaert, G., Harvey C. R., and Ng, A. (2003). Market Integration and Contagion. National Bureau of Economics and Research Working Paper, no. 9510.Cheung, Y., and Mak, S. (1992). The International Transmission of StockMarket Fluctuation Between Developed Markets and the Asia-Pacific Markets. Applied Fiancial Economics, vol. 2, pp. 342-354.Chowdhury, A. R. (1994). Stock Market Interdependencies: Evidence From the Asian NIEs. Journal of Macroeconomics, Vol. 16, pp. 629-651.Chung, K. H. and Zhang, H. (2011). A Simple Approximation of Intraday Spreads Using Daily Data.Claessens, S. and Forbes, K. (2001).International Financial Contagion.Kluwer Academic Publishers.Cutler, David, M. (1988). Tax Reform and the Stock Market: An Asset Price Approach. American Economic Review 78 (December): 1 107-1 7.Egert, B. and Kocenda, E. (2005). Contagion Across and Integration of Central and Eastern European Stock Markets: Evidence from Intraday Data. William Davidson Institute Working Paper Number 798.Enders, W. (2004), Applied Econometric Time Series. 2nd Edition, New York: John Wiley and Sons, IncGujarati, D. N. (1995). BasicEconometrics. 3rd Edition, New York: McGraw-Hill, Inc.Hartono, J. (2009). Teori Portofolio dan Analisis Investasi. (Edisi 7). Yogyakarta, Indonesia: BPFE UGM.Hawksworth, J., and Cookson, G. (2008).The World in 2050: Beyond theBRICs: a Broader Look at EmergingMarket Growth Growth Prospect.PricewaterhousecoopersHjalmarsson, E., and Osterholm, P. (2007) Testing for Cointegration Using theJohansen Methodology when Variables are Near-Integrated. IMF Working Paper.Janakiramanan, S., and Lamba, A.S. (1998). An Empirical Examination of Linkages Between Pacific-BasinStock Markets. Journal of International Financial Markets, Institutions And Money, 8, Vol. 155, pp. 155-173.Kenourgios, D., and Samitas, A., Paltalidis, N. (2008). Financial Crises and Contagion: Evidence for BRIC Stock Markets.King, M., and Wardhani, S. (1990).Transmission of volatility betweenstock markets. Review of FinancialStudies.Kleimeier, S., Thorsten, L., and Willem, F.C.V. (2003). Contagion Versus Interdepence: A Re-Examination ofAsian-Crisis Stock MarketComovements.14Kramer. L. A. (2001). Intraday StockReturns, Time Varying Risk Premia,and Diurnal Mood Variation.Pestbo, J. A. (2012). The Influence of Tax Rates on the U.S. Stock Market. George W. Bush InstitutePhillips, P. C. B. and Perron, P. (1988). Testing For A Unit Root In Time Series Regression, Biometrika, Vol. 75, pp. 335-346.PWC Economics (2013). World in 2050,The BRICs and Beyond: Prospects,Challenges, and Opportunities.January 2013.Rowley, S., Tiron, R., (2013, Januari 2). U.S. House Passes Budget BillAverts Most Tax Increases.Retrieved from 13-01-02/u-s-house-passes-budget-bill-averts-most-tax-increases.html.Rubin, R., (2013, Januari 2). Senate Passed Deal Means Higher Tax on 77% ofHouseholds. Retrieved from 13-01-01/senate-passed-deal-means-higher-tax-on-77-of-households.html.Selway, W., (2013, Januari 2). Congress Deak Averting Tax Increase Curbs Risk to States. Retrieved from 13-01-02/congress-deal-averting-tax-increase-curbs-risk-to-states.html.Slemrod, J. (1992). The Impact of U.S. Tax Reform on Canadian Stock Prices. University of Chicago PressTim studi BAPEPAM (2008). AnalisaHubungan Kointegrasi Dan Kausalitas Serta Hubungan Dinamis Antara Aliran Modal Asing, Perubahan Nilai Tukar Dan Pergerakan IHSG Di Pasar Modal Indonesia.Wang, and Shiyun (2002). Dependence ofthe Intraday Nikkei Stock IndexFutures.Yang, J., and Bessler, D.A. (2006).Contagion around the October 1987Stock Market Crash. EuropeanJournal of Operation Research.


Article Metrics

Abstract views : 312 | views : 331


  • There are currently no refbacks.

View My Stats


 Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.


2302 - 1500