Kointegrasi Dua Arah Indeks Saham DJIA, S&P TSX, FTSE, dan DAX

Globalization, a world phenomenon, has impacted the world economically in such a way that the stock market in one country co-integrated and mutually dependent on each other. 45% of stock world trading represents by the America (United States), the impact of subprime mortgage crisis that occurred in 2008 in United States also felt by other countries in Europe. This study intends to find two way co integration between stock market index in Americans and Europe. 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, S&P TSX, FTSE and DAX from 2003 until 2012. In order to test two way co integration we used Johannsen co integration test and granger causality test. The results are two way relationships between the four indexes. Where the DJIA index affects FTSE, S & P TSX, FTSE and DAX and vice versa, which means when DJIA index fluctuate and will affect the movement of other stock market indices. The strongest two way co integration found in DJIA and FTSE index while the weakest found in DAX to DJIA.