KAUSALITAS PERKEMBANGAN PASAR SAHAM, PERKEMBANGAN PASAR OBLIGASI, PERTUMBUHAN EKONOMI, DAN INVESTASI LANGSUNG ASING (Studi Kasus pada Negara Indonesia, Malaysia, Thailand, dan Filipina)

Abstract

Stocks and bonds are financial instruments in the capital markets that can be used as an alternative financing and long-term investment. The instruments that have different characteristics can be beneficial for developing countries. This study aimed to analyze the relationship between the development of the stock market, bond market development, and economic growth of developing countries in Asia. In addition, this study analyzes whether foreign direct investment influence the development of stock market, bond market development, and economic growth. Data used in this research is secondary data, stock market capitalization, outstanding local currency government bonds, GDP growth, and the value of foreign direct investment in the period of January 2005 to September 2016. The sample countries in this research are Indonesia, Malaysia, Thailand, and Philippines. The analysis methods are Granger Causality test, Vector Auto-Regressive model (VAR) and Vector Error Model Correlation Model (VECM) using econometric analysis tool, Eviews9. The results showed that the development of the bond market significantly influence the development of stock markets in Indonesia, Malaysia, and Thailand. Causality between economic growth and development of the stock market only found in Malaysia. Economic growth significantly influence the development of the bond market in the Philippines. While foreign direct investment has a significant effect on the development of the stock market in Malaysia as well as economic growth in Malaysia and in the Philippines.