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All Journal Jurnal Keuangan dan Perbankan Binus Business Review Prosiding Working Papers Series In Management Jurnal Bakti Masyarakat Indonesia
Siti Saadah
Universitas Katolik Indonesia Atma Jaya
Agriculture, Biological Sciences & Forestry Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Electrical & Electronics Engineering Social Sciences Other

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Journal : Binus Business Review

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Watch Your Neighbor: A Volatility Spillover in ASEAN-5 Stock Exchange sumani sumani; Siti Saadah
Binus Business Review Vol. 10 No. 1 (2019): Binus Business Review
Publisher : Bina Nusantara University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.21512/bbr.v10i1.5400

Abstract

In the process of financial markets integration, this research was conducted to investigate the phenomenon of the transmission of stock return volatility among stock market in five ASEAN countries. Those were Indonesia, Singapore, Malaysia, Philippines, and Thailand. The research was important because when the interdependence of financial markets had increased, changes in asset prices in the market were not only influenced by the shock in the market but also by its response to asset price volatility that occurred in other countries. Information about the volatility spillover between markets was important for investors to the portfolio selection process. Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) method was used on a daily time series stock return data obtained by accessing www.bloomberg.com. The result indicates that the shock in Singapore, Malaysia, Thailand, and the Philippines stock market will be transmitted to the Indonesia Stock Market with an asymmetric pattern. It has increased intensity after the implementation of the ASEAN Economic Community in December 2015.
Co-Authors Anita Giovanni Felicia Grace Ratnasari Utomo Marsiana Luciana Sitanggang Sumani . Teresia Angelia Kusumahadi Utami, Novia