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Yunia Panjaitan
Unika Atma Jaya Jakarta
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Journal : Jurnal Keuangan dan Perbankan

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Volatility Spillover Among Asian Developed Stock Markets to Indonesia Stock Market During Pandemic Covid-19 Panjaitan, Yunia; Novel, Rizky
Jurnal Keuangan dan Perbankan Vol 25, No 2 (2021): April 2021
Publisher : University of Merdeka Malang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.26905/jkdp.v25i2.5532

Abstract

This study aims to analyze the transmissions of volatility spillovers from China, Singapore, South Korea, and Japan stock markets to the Indonesian stock market and prove an asymmetric effect on spillover volatility. The data retrieved from the stock index of each country in the period 2020. The analytical method used is the Exponential GARCH (EGARCH) specification developed by Nelson (1991). The results of data analysis show that there was no spillover of volatility from the stock markets of China, Singapore, South Korea, and Japan to the Indonesian stock market. The data analysis results also showed an asymmetric effect on the spillover of volatility from the stock markets of China, Singapore, South Korea, and Japan to the Indonesian stock market. DOI : https://doi.org/10.26905/jkdp.v25i2.5532
Co-Authors Aglen, Lorraine Analia Dewi, Sita Evamelia, Evamelia Francisca Hermawan Hedianton Saragih, Rudy Helen Wainggai, Sinth Indira Rully Widhawati Kamalsah, Maria Gladys Jessica Listyowati, Dwi Lumigar, Asrinita Hedianton Maria Krisanti Waka, Gioseva Napitupulu, Bertha Elvy Nauli, Emma Saur Novel, Rizky Oktifetrika Julia, Neria Puspitarini, Prita Angelita Saprudin Saprudin, Saprudin Saragih, Kuncu Saragih, Rudy Hedianton Winstinindah Sandroto, Christine