Article Per Year (5 Year)
p-Index From 2021 - 2026
1.945
P-Index
This Author published in this journals
All Journal Juara: Jurnal Riset Akuntansi Jurnal Ilmiah ASET Akuntansi'45 NUSANTARA: Jurnal Pengabdian Kepada Masyarakat Jurnal Pengabdian Masyarakat Waradin Jurnal Ilmiah MEA (Manajemen, Ekonomi, dan Akuntansi) Aspirasi : Publikasi Hasil Pengabdian dan Kegiatan Masyarakat Masyarakat Mandiri: Jurnal Pengabdian Dan Pembangunan Lokal International Journal of Accounting, Management, and Economics Research : Ijamer Jurnal Publikasi Ekonomi dan Akuntansi
Agung Prajanto
Unknown Affiliation
Agriculture, Biological Sciences & Forestry Humanities Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Engineering Public Health Social Sciences Other

Published : 11 Documents Claim Missing Document
Claim Missing Document
Check
Articles

Found 11 Documents
Search

 1   2 
The Tripartite Spectrum of Risk Transmission in ASEAN Equity Markets: Monetary Anchors, Geopolitical Channels, and Commodity Frictions ST. Dwiarso Utomo; Entot Suhartono; Ngurah Pandji M., A., D.; Bambang Minarso; Agung Prajanto; Shujahat Ali
Jurnal Telekomunikasi dan Informatika Lbh. 4 Àir. 1 (2026): International Journal Of Accounting, Management, And Economics Research (IJAME
Publisher : Fakultas Ekonomi dan Bisnis Universitas Dian Nuswantoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.56696/ijamer.v4i1.186

Abstract

The prevailing assumption that ASEAN equity markets constitute a homogeneous asset class has profound consequences for regional portfolio construction, hedging strategies, and macroprudential coordination. This study challenges that assumption by identifying three structurally distinct risk-transmission regimes across the ASEAN-4 (Indonesia, Malaysia, Singapore, Thailand) over the 2016–2025 period. Employing a heterogeneous multi-task machine-learning framework augmented with Shapley-value decomposition on daily panel data encompassing global volatility (VIX), crude oil (Brent), crude palm oil (CPO), the US dollar index (DXY), US 10-year Treasury yields, local equity indices, bilateral exchange rates, and the BI-7DRR policy rate, we decompose each market's sensitivity profile into interpretable economic channels. Our analysis reveals a novel empirically grounded taxonomy—the Tripartite Spectrum of market integration: (i) Singapore operates as a Monetary-Driven Hub, with 64.0% of total Shapley attribution concentrated in the DXY and US 10-year yield, consistent with the global financial cycle hypothesis; (ii) Thailand functions as a Geopolitical Risk Transmission Channel, exhibiting disproportionate sensitivity to the VIX with a non-linear threshold effect that amplifies volatility by 340% when the VIX exceeds 35; and (iii) Indonesia and Malaysia constitute Commodity-Linked Segmented Markets, where CPO, Brent crude, and domestic monetary-policy frictions dominate price formation, with a superadditive CPO × BI-7DRR interaction effect (+280% amplification) unique to Indonesia. Kolmogorov-Smirnov tests decisively reject the homogeneous-region null (all cross-country p-values < 0.01). These findings carry direct implications for the limits of intra-ASEAN diversification, the design of regime-specific hedging strategies, and the calibration of commodity-price stress scenarios in macroprudential frameworks.
Co-Authors Asyroful Anam Bambang Minarso, Bambang Carolline Nadilla Intan N Dian Indriana Hapsari Diana Puspitasari Dwiarso Utomo Entot Suhartono Hayu Wikan Kinasih Hayu Wikan Kinasih Imang Dapit Pamungkas Ira Septriana Lilik Irawati Mila Sartika Ngurah Pandji M., A., D. Ratna Herawati Shujahat Ali Triono, Hermawan