Error Correction | D (IHSG) | D (DJI) | D (BSESN) | D (KLSE) | D (KOSPI) | D (NIKKEI) | D (SET) | D (SSEC) | D (STI) |
Coint Equation (1) | −0.351632 | −0.247651 | 0.063185** | 0.020174* | 0.012507* | −1.191778 | −0.043492* | 0.158122 | −0.021496* |
−0.08576 | −0.27425 | −0.58086 | −0.02538 | −0.04742 | −0.397 | −0.02789 | −0.16086 | −0.07697 | |
[−4.10011] | [−0.90301] | [0.10878] | [0.79475] | [0.26377] | [−3.00200] | [−1.55954] | [0.98301] | [−0.27927] | |
D (IHSG (−1)) | 0.045986 | −0.612285 | −0.567662 | −0.013745 | −0.070934 | −1.048185 | 0.054781 | −0.222568 | −0.002785 |
−0.12331 | −0.39433 | −0.83518 | −0.0365 | −0.06818 | −0.57082 | −0.0401 | −0.23129 | −0.11067 | |
[0.37293] | [−1.55273] | [−0.67969] | [−0.37659] | [−1.04041] | [−1.83629] | [1.36617] | [−0.96231] | [−0.02516] | |
D (IHSG (−2)) | 0.063083 | 0.470201 | 0.527509 | 0.005029 | −0.034646 | 0.981511 | 0.001054 | −0.178025 | −0.013079 |
−0.12045 | −0.38516 | −0.81577 | −0.03565 | −0.06659 | −0.55755 | −0.03917 | −0.22591 | −0.1081 | |
[0.52375] | [1.22078] | [0.64664] | [0.14108] | [−0.52025] | [1.76040] | [0.02692] | [−0.78804] | [−0.12099] | |
D (DJI (−1)) | −0.054232 | −0.096917 | −0.092427 | 0.002864 | 3.51E−05 | −0.068204 | −0.010945 | −0.013469 | −0.031245 |
−0.03964 | −0.12676 | −0.26848 | −0.01173 | −0.02192 | −0.1835 | −0.01289 | −0.07435 | −0.03558 | |
[−1.36809] | [−0.76455] | [−0.34426] | [0.24409] | [0.00160] | [−0.37169] | [−0.84912] | [−0.18115] | [−0.87822] | |
D (DJI (−2)) | −0.046862 | −0.081839 | −0.07227 | 0.001072 | −0.011249 | −0.400841 | −0.001587 | −0.110009 | −0.022771 |
−0.03955 | −0.12646 | −0.26784 | −0.0117 | −0.02186 | −0.18306 | −0.01286 | −0.07417 | −0.03549 | |
[−1.18501] | [−0.64715] | [−0.26983] | [0.09154] | [−0.51450] | [−2.18967] | [−0.12343] | [−1.48315] | [−0.64156] | |
D (BSESN (−1)) | −0.022564 | −0.06502 | −0.077334 | 0.001592 | −0.004839 | −0.176979 | −0.007838 | −0.008763 | −0.012793 |
−0.01837 | −0.05874 | −0.12441 | −0.00544 | −0.01016 | −0.08503 | −0.00597 | −0.03445 | −0.01649 | |
[−1.22835] | [−1.10689] | [−0.62159] | [0.29278] | [−0.47646] | [−2.08134] | [−1.31220] | [−0.25434] | [−0.77598] | |
D (BSESN (−2)) | −0.028617 | −0.087989 | −0.194061 | −0.001526 | −0.01865 | −0.207525 | −0.0126 | −0.004022 | −0.032594 |
−0.01799 | −0.05754 | −0.12187 | −0.00533 | −0.00995 | −0.08329 | −0.00585 | −0.03375 | −0.01615 | |
[−1.59041] | [−1.52918] | [−1.59238] | [−0.28653] | [−1.87464] | [−2.49151] | [−2.15346] | [−0.11918] | [−2.01828] | |
D (KLSE (−1)) | 0.688358 | 1.832304 | 0.084591 | −0.092684 | 0.140236 | 2.072359 | −0.010747 | 0.043753 | 0.393577 |
−0.39849 | −1.2743 | −2.69895 | −0.11795 | −0.22032 | −1.84464 | −0.12958 | −0.74741 | −0.35765 | |
[1.72741] | [1.43789] | [0.03134] | [−0.78581] | [0.63650] | [1.12345] | [−0.08294] | [0.05854] | [1.10046] | |
D (KLSE (−2)) | 0.117617 | −0.870897 | −5.062919 | 0.023012 | 0.165289 | −1.092392 | −0.042144 | 0.184058 | −0.198295 |
−0.40115 | −1.28279 | −2.71694 | −0.11873 | −0.22179 | −1.85693 | −0.13044 | −0.7524 | −0.36003 | |
[0.29320] | [−0.67891] | [−1.86347] | [0.19381] | [0.74525] | [−0.58828] | [−0.32308] | [0.24463] | [−0.55077] | |
D (KOSPI (−1)) | −0.442121 | −0.094214 | −2.221943 | −0.065003 | −0.048536 | 0.01551 | −0.071621 | −0.114625 | −0.075926 |
−0.24108 | −0.77093 | −1.63282 | −0.07136 | −0.13329 | −1.11598 | −0.07839 | −0.45218 | −0.21637 | |
[−1.83391] | [−0.12221] | [−1.36080] | [−0.91096] | [−0.36413] | [0.01390] | [−0.91360] | [−0.25350] | [−0.35090] | |
D (KOSPI (−2)) | −0.060527 | 0.185554 | 2.163931 | 0.007712 | −0.008459 | −0.057568 | 0.101841 | 0.584462 | 0.174942 |
−0.24409 | −0.78054 | −1.65318 | −0.07225 | −0.13495 | −1.12989 | −0.07937 | −0.45781 | −0.21907 | |
[−0.24797] | [0.23772] | [1.30895] | [0.10674] | [−0.06268] | [−0.05095] | [1.28310] | [1.27664] | [0.79857] | |
D (NIKKEI (−1)) | 0.019072 | 0.048469 | −0.052374 | −0.002075 | 3.49E−05 | 0.120797 | −0.005748 | −0.019135 | 0.014172 |
−0.02315 | −0.07404 | −0.15682 | −0.00685 | −0.0128 | −0.10718 | −0.00753 | −0.04343 | −0.02078 | |
[0.82368] | [0.65461] | [−0.33397] | [−0.30275] | [0.00272] | [1.12702] | [−0.76347] | [−0.44061] | [0.68196] | |
D (NIKKEI (−2)) | −0.037616 | −0.044378 | −0.310728 | −0.014479 | −0.018416 | 0.014148 | −0.015492 | −0.01884 | −0.041295 |
−0.02246 | −0.07181 | −0.15209 | −0.00665 | −0.01242 | −0.10395 | −0.0073 | −0.04212 | −0.02015 | |
[−1.67509] | [−0.61799] | [−2.04300] | [−2.17844] | [−1.48326] | [0.13611] | [−2.12158] | [−0.44730] | [−2.04889] |