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Dampak multivariat volatility, contagion dan spillover effect pasar keuangan global terhadap indeks saham dan nilai tukar rupiah di Indonesia

The are several factors influencing the financial system stability, namely the internal and external factors. The Occurence of stock price volatility internationally, the contagion effects and the spillover effect are some external factors that have effect on the financial system stability. This research aim to know the dynamic relationship of regional and global stocks market in international financial system, and then do the analysis of the occureence of contagion effects and spillover effects on stock price, and see their influence on domestic economics, monetary policy and financial system stability, by GARCH-VAR model. The results of this research indicate thet there are some domination of the mature financial market to regional and domestic market. Moreover, the nearby regional stock price index also have a big contribution to the movement of other regional stock price market. The impact of stock price price volatility to the IDR exchage rates volatility is relatively small, but not to the price level which is significantly large. Data analysis shows that there is contagion effects in stock price level which is significantly large. Data analysis shows that there is contagion effects in stock market, but the spillover efect from stock price volatility to exchange rates volatility does not occur.

Ketersediaan

Call NumberLocationAvailable
PSB lt.2 - Karya Akhir1
Penerbit Jurnal Ekonomi dan Pembangunan Indonesia.,
Edisi -
Subjek Volatility
Contagion effect
Spilllover effect
Financial system stability
ISBN/ISSN -
Klasifikasi -
Deskripsi Fisik -
Info Detail Spesifik -
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