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All Journal ETIKONOMI RELEVAN : Jurnal Riset Akuntansi
Permana, Fikri C
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Economics, Econometrics & Finance Education Other

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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.
MEMBANDINGKAN SUMBER VOLATILITAS PASAR SAHAM KONVENSIONAL DAN PASAR SAHAM SYARIAH DI INDONESIA Permana, Fikri C; Rodoni, Ahmad
Relevan : Jurnal Riset Akuntansi Vol. 6 No. 1 (2025): November
Publisher : FEB-UP Press

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.35814/gncp3e62

Abstract

This study investigates the sources of volatility affecting the performance of Indonesia’s stock market, focusing on both the conventional Jakarta Composite Index (JKSE) and the Sharia-based Jakarta Islamic Index (JII). The analysis considers three groups of potential determinants: (a) global macroeconomic factors, proxied by Brent crude oil prices (BRENT) and gold prices (GOLD); (b) international financial market linkages, represented by the Dow Jones Industrial Average (DJIA); and (c) Indonesia’s domestic fundamentals, proxied by the Rupiah–U.S. dollar exchange rate (USDIDR) and 10-year government bond yields (INDO10). Employing stochastic econometric approaches, including a multibreak structural model and volatility models (ARCH/GARCH), this study utilizes daily data spanning from January 2, 2019, to May 31, 2022. The findings reveal that structural breaks are more frequent in the JKSE than in the JII. Moreover, the persistence of structural breaks in both indices following the declaration of the COVID-19 pandemic indicates that the crisis effects remained unresolved throughout the observation period. Furthermore, domestic fundamentals (USDIDR and INDO10) exert the strongest influence on volatility in both indices, while the significant impact of BRENT and DJIA during certain break periods underscores the importance of global market dynamics.
Co-Authors Ahmad Rodoni Kusumahadi, Teresia Angelia Siti Saadah