Dynamics of Indonesian stock market interconnection: Insights from selected ASEAN countries and global players during and after the COVID-19 pandemic

Abstract

This study investigates the evolving dynamics of the Indonesian stock market in relation to selected ASEAN countries (Malaysia, Singapore, Thailand, and the Philippines) and global economic players (the US, Japan, and China) during and after the COVID-19 pandemic. Utilizing weekly data for the pandemic era (January 2020 – December 2021) and the post-pandemic period (January 2022 – December 2023), the ARDL technique reveals intricate relationships among these capital markets. Long-term analyses indicate that Singapore and the Philippines positively influenced Indonesia’s market during the pandemic. At the same time, China had a negative impact, highlighting heightened sensitivity and interconnectedness during crises. Since the pandemic, Malaysia, Singapore, the US, China, and Japan emerged as key positive influencers, with other countries showing insignificance. In the short term, during the pandemic, Malaysia, Thailand, and China had a significant positive impact on Indonesia’s capital market. However, only Malaysia continued to exert a significant influence on Indonesia after the pandemic. These findings provide valuable insights into the dynamic interactions shaping Indonesia’s stock market performance amidst global economic fluctuations and crises.