Analisis volatility spillover antara harga minyak dunia dengan lima indeks saham sektoral di Indonesia, Singapura, Korea, dan Hong Kong
Deskripsi
This research is conducted to analyzing the volatility transmission between crude oil five stock sector, which are basic material, financial, consumer service, telecommunication, and oil & gas. This research take a sample of volatility transmission in Indonesia, Singapura, Korea, and Hong Kong. This research also want to know market interdependence between those four country. I use model multivariate BEKK GARCH which developed by Kroner and Engle (1990)Ada tabel