Volatility spillover in Indonesia, USA, and Japan capital market
AbstractGlobalization 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. That concern will be answered in this research, about volatility spillover in Indonesia, USA, and Japan capital market. This research using daily return data from each country indices from January 2004 until December 2008 employing econometric model GARCH (1,1). The result showing us that there is one way volatility spillover between Indonesia and USA (USA effecting Indonesia). Meanwhile, there is bidirectional volatility spillover between Indonesia and Japan (Japan influnced Indonesia, and vice versa).
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 16914.
Date of creation: Jul 2009
Date of revision:
Volatility; Volatility Spillover; GARCH;
Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-08-30 (All new papers)
- NEP-FMK-2009-08-30 (Financial Markets)
- NEP-SEA-2009-08-30 (South East Asia)
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