ABSTRACT
The interaction and interdependence among markets have a vital role to the analysis of predictability, portfolio diversification, and asset allocation. To analyze international portfolio, cointegration test is needed. This research aims to conduct a cointegration analysis of stock index in ASEAN-5 Countries, China, Japan, and India, both in groups and in pairs in 2015–2019. The method used is the Johansen Cointegration test. It is found that there is cointegration of stock price indexes in ASEAN-5 countries in 2015–2019. There is also cointegration between the ASEAN-5 with China, Japan, and India in 2015–2019. Moreover, the paired cointegration shows that there is cointegration in all 28 pairs identified and that no country that dominates the capital market in Asia. It is concluded that there are long- and short-term relationships between those eight indexes as it creates long-term equilibrium and short-run deviations between assets during the period of 2015 until 2019.
