Kointegrasi antara IHSG dengan Indeks Bursa Saham Dunia Periode 1998–2009

The study of relationships between stock market indices among countries to see the integration between those indices have been done in many countries, including Indonesia. This study is intended to find and prove that there are cointegration relationships of Indonesia’s stock market indice with other countries’, and to find the directions of the relationships. In this study, there are nine stock market indices used as variables, which are IHSG, STI, KLSE, PSI, NIKKEI, HSI, KOSPI, DJA, and FTSE. The period used in this study is from 1998‐2009 which was the period after the Indonesian government no longer limited the foreigner stock ownerships. In conclusion, this study has shown that there long‐term relationships between Indonesia’s stock index and world’s market indices with proof that there are cointegration between the stock market indices. Also, from the found relationships between stock market indices with the other eight indices, which are divided into three groups, known that some relationship directions happen to be in one direction and the others happen in two directions.