Analisis Kointegrasi Antara Indeks Dow Jones Industrial Average (Djia) dengan Indeks Saham Beberapa Negara dalam Kurun Waktu 2003-2013

Many foreign companies are now listed on New York Stock Exchange; moreover, foreign investors who invest in New York Stock Exchange is also in a large number. This is the cause that the stock exchange are now cointegrated globally. This study aims to find co integration between stock market index in Americans and other selected countries. So, the investor gains some awareness and knowledge to invest in the stock market of a country. This study uses the daily return of index closing value of the DJIA with Bovespa, S&P/ASX200, N250, N225, KOSPI, STI, KLSE, ADSM, and TA100 from 2003 until 2013. In order to test co integration we used Enggel-Granger co integration test and granger causality test. The results shows that the nine indexes are cointegrated with DJIA. Which means the DJIA index affects Bovespa, S&P/ASX200, N250, N225, KOSPI, STI, KLSE, ADSM, and TA100, therefore when DJIA index fluctuate and will affect the movement of other stock market indices.