Volatility Spillover antara Pasar Komoditas Berjangka Dunia dengan Pasar Saham Indonesia dan Pasar Saham Singapura : Periode 2013-2020

Deskripsi

This study aims to examine the volatility spillover that occurred across the global commodity futures market, the Indonesian stock market, and the Singapore stock market. Commodities used in this study consist of energy commodities (oil), precious metal (gold), and agriculture (cocoa, palm oil, and rubber). The data used are daily data cover the period January 2013 to December 2020. Using the GARCH (1,1) model with a full BEKK representation to capture the effects of the volatility spillover, this study found the majority of shock and volatility spillover is unidirectional and significant from the stock market to the selected commodity market. This study also shows portfolio diversification and hedging opportunities from each commodity, especially those that increased during the COVID-19 pandemic.Ada Tabel