Cointegration Analysis Of Industrial Sectors On The Indonesia Stock Exchange: A Multivariate Approach
This study examines the diversification opportunities in the Indonesia Stock Exchange (IDX) by analyzing the movement of nine (9) sector stock indices, namely Agricultural Sector, Consumer Goods, Finance, Mining, Basic and Chemical Industries, Infrastructure, Manufacture, Construction and Services-Trade Sectors. The data used in this study is weekly stock price index in each sector during the period 2013-2018. This study used cointegration analysis with multivariate approach to study the relationship between sector stock indices during the study period. The results show that there is no cointegrationor long-term relationship between the nineIndex Sectors on the BEI. This suggests that the nine sector indices do not move simultaneously in the long run. This condition allows investors to diversify their stock portfolios in the Indonesia Stock Exchange. Further analysis with Var Decomposition and Impulse Responses also proves that each sector is independent and supports the statement that the market on the Indonesia Stock Exchange has a semi-strong or weak form.
Keywords - Diversification, Stock, Index, Cointegration.