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All Journal Media Ekonomi dan Manajemen
Essy Indah Pangesti
Faculty of Economics and Business, Satya Wacana Christian University, Salatiga, Indonesia
Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Industrial & Manufacturing Engineering

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Determinants of United States - Indonesia Equity Market’s Dynamic Correlation: The Role of Commodities and Exchange Rate’s Volatilities Robiyanto Robiyanto; Essy Indah Pangesti; Harijono Harijono; Budi Frensidy
Media Ekonomi dan Manajemen Vol 38, No 2 (2023): July 2023
Publisher : Fakultas Ekonomika dan Bisnis UNTAG Semarang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.56444/mem.v38i2.3595

Abstract

This study aims to analyze the effect of oil price volatility, gold price volatility and exchange rate volatility on the dynamic relationship between Indonesian and United States capital market. The data used in this study are daily closing prices of oil, gold and exchange rates (USD/IDR) as well as Indonesian capital market (JKSE) and United States capital market (DJIA) composite indices during period of January 2005 to October 2020. This study uses DCC-GARCH method to calculate the dynamic correlation between two capital markets and GARCH with the GED parameter to analyze oil volatility, gold volatility and exchange rate volatility on the integration of Indonesian capital market and United States capital market. The results of this study show positive and strong results on the integration of Indonesian and United States capital markets, thus proving that the movements of Indonesian market and American market tend to be strong and mutually influence the two capital markets. Moreover, the oil, gold and exchange rates volatilities have a negative effect on the integration of the Indonesia capital market and the US capital market. This finding implies investors should take oil, gold and exchange rates volatilities in their investment consideration.
Co-Authors A. Harijono Budi Frensidy, Budi Robiyanto