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]