CONTAGION EFFECTS OF US FINANCIAL CRISIS ON INDONESIA
This research analyzes the contagion effects of the US financial markets on Indonesian fi-nancial markets during the 2008 global financial crisis. It specifically investigates whether the slump in the US stock prices directly produced a slump in Indonesian stock prices, or indirectly through the slu...
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| Format: | Article |
| Language: | English |
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Universitas Islam Indonesia
2011-09-01
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| Series: | Economic Journal of Emerging Markets |
| Online Access: | https://www.hmj.accounting.uii.ac.id/JEP/article/view/2325 |
| _version_ | 1811325049074876416 |
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| author | Anika Sedyaning Wikanti |
| author_facet | Anika Sedyaning Wikanti |
| author_sort | Anika Sedyaning Wikanti |
| collection | DOAJ |
| description | This research analyzes the contagion effects of the US financial markets on Indonesian fi-nancial markets during the 2008 global financial crisis. It specifically investigates whether the slump in the US stock prices directly produced a slump in Indonesian stock prices, or indirectly through the slump in regional stock prices. It also examines whether the slump spilled over into rupiah exchange rate. Using Vector Autoregression and Vector Error Correction Model, the paper finds direct contagion effect of the US financial crisis into Indonesian stock markets. It also finds both direct and indirect contagion effect of the US financial crisis into foreign exchange market.
Keywords: Contagion, stock price, exchange rate, financial crisis
JEL classification numbers: G12, G15 |
| first_indexed | 2024-04-13T14:26:11Z |
| format | Article |
| id | doaj.art-449e37ddbee445539d621de7980f585e |
| institution | Directory Open Access Journal |
| issn | 2086-3128 2502-180X |
| language | English |
| last_indexed | 2024-04-13T14:26:11Z |
| publishDate | 2011-09-01 |
| publisher | Universitas Islam Indonesia |
| record_format | Article |
| series | Economic Journal of Emerging Markets |
| spelling | doaj.art-449e37ddbee445539d621de7980f585e2022-12-22T02:43:19ZengUniversitas Islam IndonesiaEconomic Journal of Emerging Markets2086-31282502-180X2011-09-0132CONTAGION EFFECTS OF US FINANCIAL CRISIS ON INDONESIAAnika Sedyaning WikantiThis research analyzes the contagion effects of the US financial markets on Indonesian fi-nancial markets during the 2008 global financial crisis. It specifically investigates whether the slump in the US stock prices directly produced a slump in Indonesian stock prices, or indirectly through the slump in regional stock prices. It also examines whether the slump spilled over into rupiah exchange rate. Using Vector Autoregression and Vector Error Correction Model, the paper finds direct contagion effect of the US financial crisis into Indonesian stock markets. It also finds both direct and indirect contagion effect of the US financial crisis into foreign exchange market. Keywords: Contagion, stock price, exchange rate, financial crisis JEL classification numbers: G12, G15https://www.hmj.accounting.uii.ac.id/JEP/article/view/2325 |
| spellingShingle | Anika Sedyaning Wikanti CONTAGION EFFECTS OF US FINANCIAL CRISIS ON INDONESIA Economic Journal of Emerging Markets |
| title | CONTAGION EFFECTS OF US FINANCIAL CRISIS ON INDONESIA |
| title_full | CONTAGION EFFECTS OF US FINANCIAL CRISIS ON INDONESIA |
| title_fullStr | CONTAGION EFFECTS OF US FINANCIAL CRISIS ON INDONESIA |
| title_full_unstemmed | CONTAGION EFFECTS OF US FINANCIAL CRISIS ON INDONESIA |
| title_short | CONTAGION EFFECTS OF US FINANCIAL CRISIS ON INDONESIA |
| title_sort | contagion effects of us financial crisis on indonesia |
| url | https://www.hmj.accounting.uii.ac.id/JEP/article/view/2325 |
| work_keys_str_mv | AT anikasedyaningwikanti contagioneffectsofusfinancialcrisisonindonesia |