Jurnal Keuangan dan Perbankan Universitas Merdeka Malang
Volatility Spillover Among Asian Developed Stock Markets to Indonesia Stock Market During Pandemic Covid-19
Dublin Core
Title
Jurnal Keuangan dan Perbankan Universitas Merdeka Malang
Volatility Spillover Among Asian Developed Stock Markets to Indonesia Stock Market During Pandemic Covid-19
Volatility Spillover Among Asian Developed Stock Markets to Indonesia Stock Market During Pandemic Covid-19
Subject
Asymmetric; EGARCH; Volatility Spillover.
Description
This study aims to analyze the transmissions of volatility spillovers from China, Singapore, South Korea, and Japan stock markets to the Indonesian stock market and prove an asymmetric effect on spillover volatility. The data retrieved from the stock index of each country in the period 2020. The analytical method used is the Exponential GARCH
(EGARCH) specification developed by Nelson (1991). The results of data analysis show that there was no spillover of volatility from the stock markets of China, Singapore, South Korea, and Japan to the Indonesian stock market. The data analysis results also showed an asymmetric effect on the spillover of volatility from the stock markets of China, Singapore, South Korea, and Japan to the Indonesian stock market.
(EGARCH) specification developed by Nelson (1991). The results of data analysis show that there was no spillover of volatility from the stock markets of China, Singapore, South Korea, and Japan to the Indonesian stock market. The data analysis results also showed an asymmetric effect on the spillover of volatility from the stock markets of China, Singapore, South Korea, and Japan to the Indonesian stock market.
Creator
Yunia Panjaitan, Rizky Novel
Source
DOI: 10.26905/jkdp.v25i2.5532
Publisher
Universitas Merdeka Malang
Date
April 2021
Contributor
Sri Wahyuni
Rights
ISSN: 2443-2687 (Online) ISSN: 1410-8089 (Print)
Format
PDF
Language
English
Type
Text
Coverage
Jurnal Keuangan dan Perbankan Universitas Merdeka Malang
Files
Collection
Citation
Yunia Panjaitan, Rizky Novel, “Jurnal Keuangan dan Perbankan Universitas Merdeka Malang
Volatility Spillover Among Asian Developed Stock Markets to Indonesia Stock Market During Pandemic Covid-19,” Repository Horizon University Indonesia, accessed November 21, 2024, https://repository.horizon.ac.id/items/show/4780.
Volatility Spillover Among Asian Developed Stock Markets to Indonesia Stock Market During Pandemic Covid-19,” Repository Horizon University Indonesia, accessed November 21, 2024, https://repository.horizon.ac.id/items/show/4780.