ASEAN-5 STOCK PRICE ANALYSIS

Abstract

The capital market can encourage stock investors to invest. One way to find out which stocks are good to invest is by modeling. The purpose of this research is to form the ASEAN5 country stock price modeling, namely, Indonesia, Malaysia, Singapore, Philippines and Thailand. The sampling technique in this study uses purposive sampling technique. The sample used in this study is the ASEAN5 countries composite stock price index in 2017. The ASEAN5 country stock price index consists of IHSG (Composite Stock Price Index) for Indonesia, KLSE (Kuala Lumpur Stock Exchange) for Malaysia, STI (Strait Time Index ) for Singapore, SET (Stock Exchange Thailand) for Thailand, and PSEI (Phillipines Stock Exchange Index) for the Philippines. Data analysis method in this study uses a multivariate time series analysis method, VARMA (Vector Autoregressive Moving Average). The VARMA model is used for time series economic modeling and can predict more than one variable. This study produces a VARMA model (1,0,0), the results of the stock price index forecasting with one step forecast produce a small RMSE value, where the JCI and PSEI have a small RMSE value on the VARMA model (1,0,0), KLSE , STI and SET have small RMSE values on the VARIMA (1,1,0) model. This shows that Indonesian and Philippine stock price movements have the same pattern. Malaysia, Singapore and Thailand group have the same stock price movements.