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Contagion Effects Of Us Financial Crisis On Indonesia

Author

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  • Anika Sedyaning Wikanti

Abstract

This research analyzes the contagion effects of the US financial markets on Indonesian fi-nancial 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.Keywords: Contagion, stock price, exchange rate, financial crisisJEL classification numbers: G12, G15

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.
    • Handle: RePEc:uii:journl:v:3:y:2011:i:2:p:125-137:id:2325
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    File URL: https://journal.uii.ac.id/JEP/article/view/2325/2126
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    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.

    More about this item

    Keywords

    contagion; stock price; exchange rate; financial crisisjel classification numbers: g12; g15;
    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

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