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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) Unram Journal of Community Service (UJCS) 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 Environmental Science Health Professions Industrial & Manufacturing Engineering Languange, Linguistic, Communication & Media Law, Crime, Criminology & Criminal Justice Mathematics Neuroscience Social Sciences Other

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Journal : ETIKONOMI

 1 
Interconnectedness and Systemic Risk: Insights from Indonesian Financial Conglomerates Kusumahadi, Teresia Angelia; Saadah, Siti; Permana, Fikri C
ETIKONOMI Vol 24, No 1 (2025)
Publisher : Faculty of Economic and Business

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.15408/etk.v24i1.38452

Abstract

Research Originality: This research addresses the gap in existing studies by examining the time-varying volatility spillover index among conglomerates in listed financial companies in Indonesia, an unexplored area.Research Objectives: The study investigates the potential interconnectedness among financial institutions, one source of systemic risk, by analyzing volatility spillovers within conglomerates.Research Methods: Using a generalized VAR approach, we examined total volatility spillover, directional volatility spillover, and total volatility spillover indices for 14 companies from four conglomerates, utilizing daily data from 2010 to March 2023.Empirical Results: The results reveal significant interconnectedness within these conglomerates, indicating potential for systemic risk that could threaten the financial system's stability. Another noteworthy finding is that the volatility transmission within banking conglomerates predominantly originates from subsidiary companies to parent companies.Implications: Regulators need to supervise spillovers at both the parent and subsidiary levels by developing regulations that address both levels to ensure effective risk management.JEL Classification: C58, G21How to Cite:Kusumahadi, T. A., Saadah, S., Permana, F. C. (2025). Interconnectedness and Systemic Risk: Insights from Indonesian Financial Conglomerates. Etikonomi, 24(1), 53 – 68. https://doi.org/10.15408/etk.v24i1.38452.
Interconnectedness of Financial Assets across the ASEAN-5 in Crisis Periods Sumani, Sumani; Saadah, Siti
ETIKONOMI Vol. 25 No. 1 (2026)
Publisher : Faculty of Economic and Business, Universitas Islam Negeri Syarif Hidayatullah Jakarta

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.15408/etk.v25i1.46634

Abstract

Research Originality: This study advances the financial connectedness literature by integrating a multi-asset (Bitcoin–stocks–sovereign bonds) and time-varying framework within the ASEAN-5 context. Unlike prior studies, this study uncovers a hierarchical and asymmetric spillover structure that evolves across market regimes, providing new evidence on cross-asset transmission channels in emerging markets. Research Objectives: The study aims to investigate the magnitude, direction, and dynamics of volatility spillovers among Bitcoin, stock, and bond markets, and to assess whether these interconnections change between normal and crisis periods. Research Method: Using daily data from January 2018 to April 2026, volatility is estimated through a GARCH model. A generalized VAR-based forecast error variance decomposition (G-FEVD), combined with a rolling window approach, is employed to capture both directional and time-varying spillovers. Empirical Results: The findings show a hierarchical spillover pattern: sovereign bonds act as net transmitters to Bitcoin, while Bitcoin transmits risk to stock markets. Spillover intensity increases significantly during crisis periods, peaking during COVID-19, indicating strong state-dependent connectedness. Cross-asset diversification weakens under market stress. Implications: These findings imply that financial stability cannot be assessed in isolation, as shocks propagate across asset classes in a structured, time-varying manner. This study underscores the importance of integrated cross-market surveillance frameworks that include digital assets alongside traditional markets. JEL Classification: G15, N25, H5
Co-Authors ABADI Adytia, Diditq Afifa, Niswatun Ahmadi, Raden Khaeru Ahsan, Agung Firdausi Aini, Anis Nur ANDRIYANI, EVA Andy Lasmana Anggraeni, Yulia Anhapia, Baiq Anita Aulia Putri Aza, Elsa Azhrina Azzahra, Rizqina Daiadin, Muhammad Dewabrata , Bondan ENTINA, SHINTA T Faisal Hadi, Risyad Farah Afianti Fashia F, Yauma FITRI, LENI RAHMAWATI Fitriyah, Eny Ghibran, Moh Iqbal Gia Septiana Wulandari Gustina, Yuka Hartini, Suci Hendri Hendri Hidayat, Ali Akbar Husni, Vici Handalusia Ida Farida Ihsan, Rivan Nur Irma Palupi Isnada Jati F, Lalu Zuhdi Jayadi, Muh Indra Khaeru Ahmadi , Raden Kurniawati, Elis Nia Kusumahadi, Teresia Angelia Laila F, Baiq Indira LALU ZULKIFLI Larasati Larasati Lestari, Risma Fuji Lisnawati MUTIA METTY, R. RATNA Nurani, Ratih Oktaviana, Yogi Permana, Fikri C Prasetyo Nugroho, Ecky Prasti Eko Yunanto Prio Eko Rahardjo , Rosnindar Ramdayani, Lisa Riskia, Alya Saputra, Dian Dieniawati Satrio, M Shalihah, Aghnia Amaliatus Sumani . Supriadi Supriadi Susanti Susanti Susmiati, Evi Tina Martina, Tina Triana Indrayani Utomo, Felicia Grace Ratnasari Wahidin WAHYUNI, RUBIYANTI Widyarsini, Ni Yulianti, Yuli Zamzamy, Genta Aditya Zuhri, Ach