Volatility Spillover pada Pasar Saham Indonesia, Cina, dan India

Authors

  • Martin Martin Universitas Bina Nusantara
  • Yunita Yunita Universitas Bina Nusantara

DOI:

https://doi.org/10.21512/bbr.v1i1.1020

Keywords:

volatility, volatility spillover, GARCH

Abstract

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. 

Dimensions

Plum Analytics

Author Biographies

Martin Martin, Universitas Bina Nusantara

Jurusan Akuntansi 

Yunita Yunita, Universitas Bina Nusantara

Jurusan Akuntansi

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Published

2010-05-26
Abstract 493  .
PDF downloaded 301  .