Spillover Volatilitas Pasar Saham Indonesia dan Singapura Periode 2001-2005
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https://doi.org/10.9744/jak.12.1.pp.%2017-25Keywords:
Volatility spillover, asymmetric effect, leverage effect, exponential GARCH, stock market, Indonesia, Singapura.Abstract
Using an Autoregressive model combined with a univariate Exponential GARCH model for constructing a volatility spillover model, we investigate asymmetric effect and volatility persistence effect in Indonesia and Singapore stock market, and the effect of volatility spillover from Singapore stock market considered as one of Asian financial activity center to Indonesia stock market during the post Asian financial crisis period. The study reveals that the degree of volatility persistence slightly increases as we include the spillover effect from Singapura as one extra variable in the variance equation. We also find that strong evidence of volatility spillover effect from Singapore to Indonesia stock market.
Abstract in Bahasa Indonesia:
Autoregressive model yang dikombinasikan dengan univariate Exponential GARCH model digunakan untuk mengkonstruksi model spillover volatilitas, tulisan ini mengkaji asymmetric effect dan efek persistensi volatilitas pasar saham di Indonesia dan Singapura, dan efek spillover volatilitas dari pasar saham Singapura, yang dipertimbangkan sebagai salah satu pusat kegiatan keuangan Asia, ke pasar saham Indonesia selama periode setelah krisis keuangan Asia. Studi ini mengungkapkan bahwa tingkat persistensi volatilitas meningkat saat spillover effect dari Singapura dimasukan sebagai variabel tambahan ke dalam persamaan variance. Temuan empiris lain adalah terdapat fakta kuat keberadaan efek spillover volatilitas dari pasar saham Singapura ke Indonesia.
Kata kunci: Spillover volatilitas, asymmetric effect, leverage effect, exponential GARCH, pasar saham, Indonesia, Singapura
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