Article Per Year (5 Year)
p-Index From 2021 - 2026
0.444
P-Index
This Author published in this journals
All Journal EQIEN - JURNAL EKONOMI DAN BISNIS Applied Quantitative Analysis (AQA)
Ahmad Danu Prasetyo
School of Business and Management, Institut Teknologi Bandung
Decision Sciences, Operations Research & Management Mathematics Social Sciences

Published : 2 Documents Claim Missing Document
Claim Missing Document
Check
Articles

Found 2 Documents
Search

 1 
Hubungan Return SRELATIONSHIP OF INDONESIA & U.S AGGREGATE STOCK RETURNS PRE AND POST GLOBAL FINANCIAL CRISIS (GFC)aham Agregat Indonesia & AS Sebelum dan Setelah Krisis Keuangan Global (GFC) Roby Arlan; Ahmad Danu Prasetyo; Adelia Putri Pratiwi; Reza Erlangga Ludwian
Eqien - Jurnal Ekonomi dan Bisnis Vol 11 No 1 (2022): EQIEN- JURNAL EKONOMI DAN BISNIS
Publisher : Sekolah Tinggi Ilmu Ekonomi Dr Kh Ez Mutaqien

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (937.707 KB) | DOI: 10.34308/eqien.v11i1.735

Abstract

This article studies the correlation and volatilities between Indonesia's stock price (JKSE) and U.S's stock price (DJI, NASDAQ) aggregate return before and after The U.S. Subprime Mortgage Crisis in 2008. We use VAR Model to study the correlation and DIAGONAL GARCH-BEKK Model to see the volatilities between the two stock markets. We found that Indonesia's aggregate return is slightly more affected by its own past conditional volatilities after the crisis, contrary to the U.S aggregate return, which is somewhat less impacted by its own past conditional volatilities in the period after the crisis. This study will contribute to literature regarding the complex relationship between aggregate stock market returns of Indonesia and the U.S. before the global financial crisis and the period after the global financial crisis to see how each country's aggregate stock market return influenced each other.
Domestic and Foreign Banks' Stability in Indonesia: The Grey Zone Trap and Key Determinants Vanessa Purnawan; Ahmad Danu Prasetyo
Applied Quantitative Analysis Vol. 1 No. 2 (2021): December 2021
Publisher : Research Synergy Foundation

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.31098/quant.596

Abstract

The recent global financial crisis in 2008 has comprehensively predisposed the stability of most banking sectors worldwide, but not in Indonesia. As reported by IMF, the Indonesian banking industry showed such a remarkable stability level, facing negative shocks. However, an important question persists: whether Indonesian domestic banking sectors are truly stable or the foreign-owned banks are the ones that give a more significant share of stability contribution. Hence, this paper investigates the stability level using the Z-score modification model and assesses the main constituents that impart the stability levels of foreign and domestic banks by applying VECM of micro-prudential and macroeconomics indicators. The research is based on the aggregate data of Indonesian foreign and domestic banks from the year 2005 to 2015. The result then shows that the grey zone bridled the domestic banking sector in Indonesia, a high alert partial safe zone, due to its incommensurate loan control, inefficiency in generating profitability and liquidity from assets, and lack of capital buffers presence. Nevertheless, the findings also reveal that neither domestic nor foreign banks in Indonesia were completely safe against credit risk.
Co-Authors Adelia Putri Pratiwi Reza Erlangga Ludwian Roby Arlan Vanessa Purnawan