Volatility Spillover pada Pasar Saham Indonesia, Cina, dan India
Globalization and advanced information technology easing us for obtaining information from global stock markets. With that condition, volatility in domestic capital market could be affected by volatility from global stock markets. The effect would have greater impact if the capital markets are locat...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Bina Nusantara University
2010-05-01
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| Series: | Binus Business Review |
| Subjects: | |
| Online Access: | https://journal.binus.ac.id/index.php/BBR/article/view/1020 |
| _version_ | 1827829326440038400 |
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| author | Martin Martin Yunita Yunita |
| author_facet | Martin Martin Yunita Yunita |
| author_sort | Martin Martin |
| collection | DOAJ |
| description | Globalization and advanced information technology easing us for obtaining information from global stock markets. With that condition, volatility in domestic capital market could be affected by volatility from global stock markets. The effect would have greater impact if the capital markets are located in same region. That concern will be answered in this research, about volatility spillover in Indonesia, China, and India capital market. This research using daily return data from each country indices from January 1, 2006 until April 20, 2010 applying econometric model GARCH (1,1). The result showing us that there is bidirectional volatility spillover between Indonesia and India. Meanwhile, there is only single way volatility spillover between Indonesia and China. |
| first_indexed | 2024-03-12T04:02:13Z |
| format | Article |
| id | doaj.art-f288399f37a44abf918709fcc73c743e |
| institution | Directory Open Access Journal |
| issn | 2087-1228 2476-9053 |
| language | English |
| last_indexed | 2024-03-12T04:02:13Z |
| publishDate | 2010-05-01 |
| publisher | Bina Nusantara University |
| record_format | Article |
| series | Binus Business Review |
| spelling | doaj.art-f288399f37a44abf918709fcc73c743e2023-09-03T11:33:13ZengBina Nusantara UniversityBinus Business Review2087-12282476-90532010-05-0111404910.21512/bbr.v1i1.1020806Volatility Spillover pada Pasar Saham Indonesia, Cina, dan IndiaMartin Martin0Yunita Yunita1Universitas Bina NusantaraUniversitas Bina NusantaraGlobalization and advanced information technology easing us for obtaining information from global stock markets. With that condition, volatility in domestic capital market could be affected by volatility from global stock markets. The effect would have greater impact if the capital markets are located in same region. That concern will be answered in this research, about volatility spillover in Indonesia, China, and India capital market. This research using daily return data from each country indices from January 1, 2006 until April 20, 2010 applying econometric model GARCH (1,1). The result showing us that there is bidirectional volatility spillover between Indonesia and India. Meanwhile, there is only single way volatility spillover between Indonesia and China.https://journal.binus.ac.id/index.php/BBR/article/view/1020volatilityvolatility spillovergarch |
| spellingShingle | Martin Martin Yunita Yunita Volatility Spillover pada Pasar Saham Indonesia, Cina, dan India Binus Business Review volatility volatility spillover garch |
| title | Volatility Spillover pada Pasar Saham Indonesia, Cina, dan India |
| title_full | Volatility Spillover pada Pasar Saham Indonesia, Cina, dan India |
| title_fullStr | Volatility Spillover pada Pasar Saham Indonesia, Cina, dan India |
| title_full_unstemmed | Volatility Spillover pada Pasar Saham Indonesia, Cina, dan India |
| title_short | Volatility Spillover pada Pasar Saham Indonesia, Cina, dan India |
| title_sort | volatility spillover pada pasar saham indonesia cina dan india |
| topic | volatility volatility spillover garch |
| url | https://journal.binus.ac.id/index.php/BBR/article/view/1020 |
| work_keys_str_mv | AT martinmartin volatilityspilloverpadapasarsahamindonesiacinadanindia AT yunitayunita volatilityspilloverpadapasarsahamindonesiacinadanindia |