Since 2014
Volatility Spillover pada Pasar Saham Indonesia, Cina, dan India
Binus Business Review
View Archive Info| Field | Value | |
| Title |
Volatility Spillover pada Pasar Saham Indonesia, Cina, dan India
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| Creator |
Martin, Martin; Universitas Bina Nusantara
Yunita, Yunita; Universitas Bina Nusantara |
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| Subject |
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volatility, volatility spillover, GARCH — |
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| Description |
Globalization and advanced information technology easing us for obtaining information from global stock markets. With that condition, volatility in domestic capital market could be affected by volatility from global stock markets. The effect would have greater impact if the capital markets are located in same region. That concern will be answered in this research, about volatility spillover in Indonesia, China, and India capital market. This research using daily return data from each country indices from January 1, 2006 until April 20, 2010 applying econometric model GARCH (1,1). The result showing us that there is bidirectional volatility spillover between Indonesia and India. Meanwhile, there is only single way volatility spillover between Indonesia and China.
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| Publisher |
Bina Nusantara University
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| Contributor |
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| Date |
2010-05-26
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article — |
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| Format |
application/pdf
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| Identifier |
http://journal.binus.ac.id/index.php/BBR/article/view/1020
10.21512/bbr.v1i1.1020 |
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| Source |
Binus Business Review; Vol 1, No 1 (2010): Binus Business Review; 40-49
2476-9053 2087-1228 |
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| Language |
eng
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| Relation |
http://journal.binus.ac.id/index.php/BBR/article/view/1020/884
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| Coverage |
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| Rights |
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