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Volatility Transmission of The Main Global Stock Return towards Indonesia
Volatility of stock returns is a very interesting phenomenon as it impacts the existence of global financial markets. Indeed, the impact of shocks in a country can be transmitted to markets in other countries through the mechanism of transmission, leading to financial instability in related markets (Liu et al., 1998). The present paper aims to determine the best model in describing the volatility of stock returns, to identify the asymmetric effect, and also to explore the transmission of seven foreign stock return volatilities in Indonesia over the period of 1990-2016 (on daily basis). The stock return volatility modeling process uses symmetric GARCH and various asymmetric GARCH models. Whereas, the stock return volatility transmission analysis uses the Vector Autoregressive system. The result of fitting the right model for all of seven stock markets showed that the asymmetric model of GARCH had a better estimation in portraying the stock return volatility. Moreover, the model can also reveal the existence of asymmetric effects on the seven stock markets. The other findings demonstrated that Hong Kong and Singapore play a dominant role in influencing the volatility return of Indonesia. In addition, the degree of interdependence between Indonesia?s stock market and foreign?s stock market has increased substantially after the 2007 crisis. In the period after the crisis of 2007, the effects of return volatility of both the US and UK stock markets experienced a drastic increase in affecting return volatilities of the Indonesia stock market..
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| PSB lt.2 - Karya Akhir | 1 | |
| Bulletin of Monetary Economics and Banking | PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | : Bulletin of Monetary Economics and Banking 2017 |
|---|---|
| Edisi | Vol. 20, Number 2, Oct. 2017 |
| Subjek | Stock market Volatility returnx GARCH asymmetric Modeling Volatility transmission |
| ISBN/ISSN | 14108046 |
| Klasifikasi | NONE |
| Deskripsi Fisik | - |
| Info Detail Spesifik | Bulletin of Monetary Economics and Banking |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |