IDEAS home Printed from https://ideas.repec.org/a/uii/journl/v3y2011i2p125-137.html
   My bibliography  Save this article

Contagion effects of us financial crisis on Indonesia

Author

Listed:
  • Anika Sedyaning Wikanti

    (Pusat Pengkajian Ekonomi, Yogyakarta)

Abstract

This research analyzes the contagion effects of the US financial markets on Indonesian financial markets during the 2008 global financial crisis. It specifically investigates whether the slump in the US stock prices directly produced a slump in Indonesian stock prices, or indirectly through the slump in regional stock prices. It also examines whether the slump spilled over into rupiah exchange rate. Using Vector Autoregression and Vector Error Correction Model, the paper finds direct contagion effect of the US financial crisis into Indonesian stock markets. It also finds both direct and indirect contagion effect of the US financial crisis into foreign exchange market.

Suggested Citation

  • Anika Sedyaning Wikanti, 2011. "Contagion effects of us financial crisis on Indonesia," Economic Journal of Emerging Markets, Universitas Islam Indonesia, vol. 3(2), pages 125-137, April.
    • Handle: RePEc:uii:journl:v:3:y:2011:i:2:p:125-137
    as

    Download full text from publisher

    File URL: https://journal.uii.ac.id/JEP/article/download/2325/2126
    Download Restriction: no
    File URL: https://journal.uii.ac.id/JEP/article/view/2325/2126
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Frederic S. Mishkin, 2009. "Is Monetary Policy Effective during Financial Crises?," American Economic Review, American Economic Association, vol. 99(2), pages 573-577, May.
    2. Andrew K. Rose & Mark M. Spiegel, 2010. "Cross‐Country Causes And Consequences Of The 2008 Crisis: International Linkages And American Exposure," Pacific Economic Review, Wiley Blackwell, vol. 15(3), pages 340-363, August.
    3. Hui Tong & Shang-Jin Wei, 2011. "The Composition Matters: Capital Inflows and Liquidity Crunch During a Global Economic Crisis," The Review of Financial Studies, Society for Financial Studies, vol. 24(6), pages 2023-2052.
    4. Markwat, Thijs & Kole, Erik & van Dijk, Dick, 2009. "Contagion as a domino effect in global stock markets," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 1996-2012, November.
    5. Mendoza, Enrique G. & Quadrini, Vincenzo, 2010. "Financial globalization, financial crises and contagion," Journal of Monetary Economics, Elsevier, vol. 57(1), pages 24-39, January.
    6. Michael D. Bordo, 2008. "An Historical Perspective on the Crisis of 2007-2008," NBER Working Papers 14569, National Bureau of Economic Research, Inc.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Adhitya Wardhono & Badara Shofi Dana & M.Abd. Nasir, 2017. "Rethinking the exchange rate disconnect puzzle theory in ASEAN-6," Economic Journal of Emerging Markets, Universitas Islam Indonesia, vol. 9(1), pages 98-103, April.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Geert Bekaert & Michael Ehrmann & Marcel Fratzscher & Arnaud Mehl, 2014. "The Global Crisis and Equity Market Contagion," Journal of Finance, American Finance Association, vol. 69(6), pages 2597-2649, December.
    2. Kalemli-Ozcan, Sebnem & Papaioannou, Elias & Perri, Fabrizio, 2013. "Global banks and crisis transmission," Journal of International Economics, Elsevier, vol. 89(2), pages 495-510.
    3. Güneş Kamber & Christoph Thoenissen, 2013. "Financial Exposure and the International Transmission of Financial Shocks," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(s2), pages 127-158, December.
    4. Bacchetta, Philippe & van Wincoop, Eric, 2013. "Sudden spikes in global risk," Journal of International Economics, Elsevier, vol. 89(2), pages 511-521.
    5. Huang, Chai Liang, 2020. "International stock market co-movements following US financial globalization," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 788-814.
    6. Sebnem Kalemli-Ozcan & Elias Papaioannou & José-Luis Peydró, 2013. "Financial Regulation, Financial Globalization, and the Synchronization of Economic Activity," Journal of Finance, American Finance Association, vol. 68(3), pages 1179-1228, June.
    7. Claessens, Stijn & Tong, Hui & Wei, Shang-Jin, 2012. "From the financial crisis to the real economy: Using firm-level data to identify transmission channels," Journal of International Economics, Elsevier, vol. 88(2), pages 375-387.
    8. Thorvardur Tjörvi Ólafsson & Thórarinn G. Pétursson, 2010. "Weathering the financial storm: The importance of fundamentals and flexibility," Economics Working Papers 2010-17, Department of Economics and Business Economics, Aarhus University.
    9. Yan, Cheng & Phylaktis, Kate & Fuertes, Ana-Maria, 2016. "On cross-border bank credit and the U.S. financial crisis transmission to equity markets," Journal of International Money and Finance, Elsevier, vol. 69(C), pages 108-134.
    10. Cécile Bastidon & Philippe Gilles & Nicolas Huchet, 2012. "Chocs de Spread, liquidité du marché interbancaire et politique monétaire," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 55(4), pages 409-426.
    11. Baur, Dirk G. & McDermott, Thomas K., 2010. "Is gold a safe haven? International evidence," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1886-1898, August.
    12. Zuccardi Huertas Igor Esteban, 2015. "Sovereign Spreads in the Eurozone: Is Market Discipline Working?," Working Papers 2015-20, Banco de México.
    13. Wang, Xichen & Yan, Ji (Karena) & Yan, Cheng & Gozgor, Giray, 2021. "Emerging stock market exuberance and international short-term flows," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    14. Kyunghun Kim & Ju Hyun Pyun & Jiyoun An, 2017. "Does Credit Market Integration Amplify the Transmission of Real Business Cycle During Financial Crisis?," 2017 Meeting Papers 1236, Society for Economic Dynamics.
    15. Yousaf, Imran & Beljid, Makram & Chaibi, Anis & Ajlouni, Ahmed AL, 2022. "Do volatility spillover and hedging among GCC stock markets and global factors vary from normal to turbulent periods? Evidence from the global financial crisis and Covid-19 pandemic crisis," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
    16. Calomiris, Charles W. & Love, Inessa & Martínez Pería, María Soledad, 2012. "Stock returns’ sensitivities to crisis shocks: Evidence from developed and emerging markets," Journal of International Money and Finance, Elsevier, vol. 31(4), pages 743-765.
    17. Stijn Claessens & Hui Tong & Igor Zuccardi, 2015. "Saving the Euro: Mitigating Financial or Trade Spillovers?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(7), pages 1369-1402, October.
    18. Berkmen, S. Pelin & Gelos, Gaston & Rennhack, Robert & Walsh, James P., 2012. "The global financial crisis: Explaining cross-country differences in the output impact," Journal of International Money and Finance, Elsevier, vol. 31(1), pages 42-59.
    19. Ahrend, Rudiger & Goujard, Antoine, 2014. "Are all forms of financial integration equally risky? Asset price contagion during the global financial crisis," Journal of Financial Stability, Elsevier, vol. 14(C), pages 35-53.
    20. Laura Alfaro & Maggie Xiaoyang Chen, 2012. "Surviving the Global Financial Crisis: Foreign Ownership and Establishment Performance," American Economic Journal: Economic Policy, American Economic Association, vol. 4(3), pages 30-55, August.

    More about this item

    Keywords

    Contagion; stock price; exchange rate; financial crisis;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:uii:journl:v:3:y:2011:i:2:p:125-137. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ana Yuliani (email available below). General contact details of provider: https://journal.uii.ac.id/JEP/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.