THE INFLUENCE THE CONTAGION EFFECT AND THE SPILLOVER EFFECT OF GLOBAL FINANCIAL MARKET ON THE STOCK INDEX : CASE INDONESIA

Wahyu Murti

Abstract


Based on the results of the Granger Causality Test, the results of contagion effect test occur among regional stock markets in the global financial system. Based on spillover effect test result there is no spillover effect from volatility of Indonesia Composite Index to volatility from Dow Jones index as well from Dow Jones Index to Indonesia Composite Index. Composite stock price index which geographically adjacent also have big influence on volatility Ham nearby. The Hangseng index from the regional financial center closest to Indonesia has the greatest impact on JCI volatility, followed by the Dow Jones and STI (Singapore) Indexes.

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