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All Journal ETIKONOMI Jurnal Keuangan dan Perbankan INTENSIF: Jurnal Ilmiah Penelitian dan Penerapan Teknologi Sistem Informasi JURNAL MEDIA INFORMATIKA BUDIDARMA Indonesian Journal of Artificial Intelligence and Data Mining Jurnal Manajemen Journal of Midwifery International Journal of Engagement and Empowerment (IJE2) Empowerment Society Jurnal Mahasiswa Karakter Bangsa Seulanga : Jurnal Pendidikan Anak Indonesian Capital Market Review eProceedings of Engineering Karimah Tauhid Majapahit Journal of Islamic Finance dan Management Jurnal Pengabdian Masyarakat dan Riset Pendidikan Majapahit Journal of Islamic Finance dan Management
Siti Saadah
Fakultas Ekonomi, Unika Atma Jaya
Humanities Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Electrical & Electronics Engineering Engineering Health Professions Industrial & Manufacturing Engineering Languange, Linguistic, Communication & Media Law, Crime, Criminology & Criminal Justice Mathematics Neuroscience Social Sciences Other

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Journal : Jurnal Manajemen

 1 
Volatility Spillover In Stock And Commodity Futures Market: Empirical Analysis In Indonesia’s Financial Market Saadah, Siti
Jurnal Manajemen Vol 22, No 2 (2018): June 2018
Publisher : Fakultas Ekonomi dan Bisnis, Universitas Tarumanagara

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (517.799 KB) | DOI: 10.24912/jm.v22i2.363

Abstract

Volatility spillover between stock markets causes insignificancy of diversification. Therefore, other investment alternatives is required to build an optimal portfolio, one of them being commodity futures. The low correlation between commodity futures and stocks indicates the advantage of diversification in investment portfolio containing both assets. In order to prove the advantage of diversification, author tested the existence of volatility spillover during September 16, 2010 - September 30, 2015. Estimation result using GARCH method indicates the presence of significant volatility spillover from stock exchange to commodity futures exchange. An important implication of this finding is that if the sectoral stock index and commodity futures are incorporated into an investment portfolio, the investor will not have optimal diversification advantage. This is because there is a correlation between performance of both markets as a result of both markets having the same characteristics in response to the shock that is coming.
Co-Authors ABADI Adytia, Diditq Ahmadi, Raden Khaeru Ahsan, Agung Firdausi Aini, Anis Nur ANDRIYANI, EVA Andy Lasmana Azzahra, Rizqina Dewabrata , Bondan ENTINA, SHINTA T Faisal Hadi, Risyad Farah Afianti FITRI, LENI RAHMAWATI Fitriyah, Eny Ghibran, Moh Iqbal Gia Septiana Wulandari Hendri Hendri Ida Farida Ihsan, Rivan Nur Irma Palupi Khaeru Ahmadi , Raden Kurniawati, Elis Nia Kusumahadi, Teresia Angelia Larasati Larasati Lestari, Risma Fuji MUTIA METTY, R. RATNA Nurani, Ratih Oktaviana, Yogi Permana, Fikri C Prasetyo Nugroho, Ecky Prasti Eko Yunanto Prio Eko Rahardjo , Rosnindar Saputra, Dian Dieniawati Satrio, M Supriadi Supriadi Susanti Susanti Susmiati, Evi Tina Martina, Tina Triana Indrayani Utomo, Felicia Grace Ratnasari WAHYUNI, RUBIYANTI Yulianti, Yuli Zuhri, Ach