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All Journal QIJIS (Qudus International Journal Of Islamic Studies) EKOMBIS REVIEW: Jurnal Ilmiah Ekonomi dan Bisnis Economic Education Analysis Journal Asia-Pacific Management and Business Application Syntax Literate: Jurnal Ilmiah Indonesia JMKSP (Jurnal Manajemen, Kepemimpinan, dan Supervisi Pendidikan) Ultima Management : Jurnal Ilmu Manajemen Jurnal Mantik Dinasti International Journal of Education Management and Social Science Al-Kharaj: Journal of Islamic Economic and Business Journal of Economics and Business UBS International Journal of Social Service and Research Multidiciplinary Output Research for Actual and International Issue (Morfai Journal) International Journal of Islamic and Social Sciences (ISOS) Indonesian Capital Market Review Journal of Finance and Islamic Banking
Nur Dhani Hendranastiti
Universitas Indonesia
Religion Agriculture, Biological Sciences & Forestry Arts Humanities Chemical Engineering, Chemistry & Bioengineering Civil Engineering, Building, Construction & Architecture Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Energy Engineering Environmental Science Health Professions Languange, Linguistic, Communication & Media Law, Crime, Criminology & Criminal Justice Library & Information Science Materials Science & Nanotechnology Social Sciences Other

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Covıd-19: Fınancıal Spıllover To Emergıng Asıa’s Fınancıal Markets Susilo, Chandra; Hendranastiti, Nur Dhani
APMBA (Asia Pacific Management and Business Application) Vol. 11 No. 2 (2022)
Publisher : Department of Management, Faculty of Economics and Business, Brawijaya University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.21776/ub.apmba.2022.011.02.3

Abstract

This paper aims to investigate the role of China compared to the US in transmitting spillover to ASEAN-5 countries (or vice versa) during COVID-19 recession. It uses the DECO GARCH model of Engle & Kelly (2012) to see the dynamic correlation between indexes and the spillover index by Diebold and Yilmaz (2012) to describe the direction of spillover between countries. This paper analyzes daily return data on stock market indexes of China, the United States, and ASEAN-5 for the period 2016 to 2022. The findings demonstrate an increase in positive spillover correlation during the COVID-19 crisis between China and ASEAN-5 as well as US and ASEAN-5 albeit with lower pre crisis correlation level than China. US acts as a net transmitter (spillover to ASEAN-5 is higher than in the opposite direction), while China is a net receiver. The findings are beneficial to provide insight into Emerging Asia market’s connectedness, which in turn will be able to guide the hedging strategies and portfolio risk management of investment in the region.  
Co-Authors Ameliawati, Hertya Dwi Anasang Diskan Poetra Aryati, Yustia Asutay, Mehmet Aulia Rayendra Rahman Avianuari, Fanny Azka, Fahmi Amika Azmi, Nurul Farida Chandra Susilo Eko Nugroho, Taufik Garin Rizki Arishaldi Indrastomo, Banjaran Surya Nugraha, Zulfian Winanda Rahmatina Awaliah Kasri Susilo, Chandra Yuliastuti, Annisaningrum Zafirah Rizka