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Contagion and systemic risks: the case of Indonesian banking

Author

Listed:
  • Alfiana
  • Ernie Tisnawati Sule
  • Sutisna
  • Dian Masyita

Abstract

Contagion was the core of systemic risk (Djikman, 2010) and should positively correlate with systemic risk as Poghosyan and Cihak (2009) and Oet et al. (2013) studied. This study aimed at determining contagion effect on systemic risk and direction relationship by means of regression in the presence of, or in the absence of one-month lag. This verificatory study applied explorative research methodology and used secondary data. In contrast to the previous studies, the result showed that contagion negatively correlated to the systemic risk in the Indonesian banking 2007-2014. The study found contagion effect on the systemic risk with directional relationships ranging from -10.641% to +4.389%.

Suggested Citation

  • Alfiana & Ernie Tisnawati Sule & Sutisna & Dian Masyita, 2017. "Contagion and systemic risks: the case of Indonesian banking," International Journal of Business and Globalisation, Inderscience Enterprises Ltd, vol. 19(3), pages 396-413.
    • Handle: RePEc:ids:ijbglo:v:19:y:2017:i:3:p:396-413
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