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All Journal Journal of Indonesian Economy and Business Economic and Finance in Indonesia
Sekar Utami Setiastuti
Durham University
Economics, Econometrics & Finance Education

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GLANCING METEOR SHOWER OVER INDONESIA: VOLATILITY SPILLOVERS FROM A MAJOR STOCK MARKET TO INDONESIAN STOCK MARKET AND CURRENCY Setiastuti, Sekar Utami
Journal of Indonesian Economy and Business Vol 26, No 1 (2011): January
Publisher : Journal of Indonesian Economy and Business

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (59.127 KB)

Abstract

During the deepest financial crisis in mid 2007-2009, increasing volatility of Indonesian stock market index were captured. Increasing volatility of the series is acommon event since the volatility of financial market around the globe is increasing likewise. Yet, whether it is a sign of volatility spillover or comovement still emerges as amystery.This paper seeks to explain the causes of the increasing volatility in domestic currency and stock market. To investigates the hypothesis in tranquil and crisis periods, theobservation period of January 2, 2003 to May 31, 2010 is splitted into two sub-periods with different levels of volatility. Using VAR-EGARCH on daily stock market index of Indonesia (IDX), S&P 500, and the bilateral exchange rate, we documented the existence of meteor shower and heatwaves in Indonesia stock market and exchange rate during crisis period. This finding implies that in crisis period, Indonesian stock market and exchange rate volatility were not only affected by market specific factors, but were alsoaffected by volatility of the major stock market. We also captured asymmetric affects in the model which suggests that negative shock in the major stock market will increase the volatility of domestic stock market more than positive shock will.Keywords: volatility spillovers, comovement, contagion, VAR-EGARCH
GLANCING METEOR SHOWER OVER INDONESIA: VOLATILITY SPILLOVERS FROM A MAJOR STOCK MARKET TO INDONESIAN STOCK MARKET AND CURRENCY Sekar Utami Setiastuti
Journal of Indonesian Economy and Business (JIEB) Vol 26, No 1 (2011): January
Publisher : Faculty of Economics and Business, Universitas Gadjah Mada

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (1218.423 KB) | DOI: 10.22146/jieb.6277

Abstract

During the deepest financial crisis in mid 2007-2009, increasing volatility of Indonesian stock market index were captured. Increasing volatility of the series is acommon event since the volatility of financial market around the globe is increasing likewise. Yet, whether it is a sign of volatility spillover or comovement still emerges as amystery.This paper seeks to explain the causes of the increasing volatility in domestic currency and stock market. To investigates the hypothesis in tranquil and crisis periods, theobservation period of January 2, 2003 to May 31, 2010 is splitted into two sub-periods with different levels of volatility. Using VAR-EGARCH on daily stock market index of Indonesia (IDX), S&P 500, and the bilateral exchange rate, we documented the existence of meteor shower and heatwaves in Indonesia stock market and exchange rate during crisis period. This finding implies that in crisis period, Indonesian stock market and exchange rate volatility were not only affected by market specific factors, but were alsoaffected by volatility of the major stock market. We also captured asymmetric affects in the model which suggests that negative shock in the major stock market will increase the volatility of domestic stock market more than positive shock will.Keywords: volatility spillovers, comovement, contagion, VAR-EGARCH
The Effect of Financial Inclusion on Food Security: Evidence from Developing and Developed Countries Yasmin, Yasmin; Setiastuti, Sekar Utami
Economics and Finance in Indonesia Vol. 69, No. 2
Publisher : UI Scholars Hub

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Abstract

This study investigates the global impact of financial inclusion on food security, with a focus on both developing and developed countries. The study constructs a financial inclusion index using the Sarma method and secondary data sourced from IMF and World Bank databases. System GMM is employed as the estimation method due to its effectiveness in addressing endogeneity issues and its efficient and consistent use of instruments. The analysis reveals that financial inclusion has a positive and statistically significant effect on food security across all research sub-samples. In addition, the study incorporates interaction variables between financial inclusion and the COVID-19 pandemic to explore how the crisis alters the relationship between financial inclusion and food security. The findings indicate that the COVID-19 crisis has globally diminished food security and moderates the impact of financial inclusion on food security. Overall, the study confirms that financial inclusion is a crucial factor in enhancing food security worldwide, with no substantial disparity between developed and developing countries. Nevertheless, the global COVID-19 pandemic has demonstrated a capacity to weaken the beneficial effects of financial inclusion on food security.
Co-Authors Yasmin Yasmin