IDEAS home Printed from https://ideas.repec.org/p/unp/wpaper/201404.html
   My bibliography  Save this paper

Volatility Transmission between Exchange Rates and Stock Prices in Indonesia post 1997 Asia Crisis

Author

Listed:
  • Anhar Fauzan Priyono

    () (Department of Economics, Padjadjaran University)

  • Arief Bustaman

    () (Department of Economics, Padjadjaran University)

Abstract

Volatility of Indonesia Rupiah and Jakarta Composite Index remain one of main issues in Indonesia economy after 1997 Asian crisis. The objectives of this research are (1) determining the volatility of Indonesia Rupiah to US Dollar exchange rates and Jakarta Composite Index (JCI) and (2) analysing the dynamic volatility transmission between exchange rates and JCI. Exchange rate and JCI volatility were measured using GJR-GARCH approach. Estimated using VAR model, this study found that current volatility of exchange rate (ER) respond significantly to the change of volatility of Jakarta Composite Index (JCI) in the previous month. On the other hand, change in previous exchange rate volatility did not affect current JCI volatility.

Suggested Citation

  • Anhar Fauzan Priyono & Arief Bustaman, 2014. "Volatility Transmission between Exchange Rates and Stock Prices in Indonesia post 1997 Asia Crisis," Working Papers in Economics and Development Studies (WoPEDS) 201404, Department of Economics, Padjadjaran University, revised Feb 2014.
  • Handle: RePEc:unp:wpaper:201404
    as

    Download full text from publisher

    File URL: http://ceds.feb.unpad.ac.id/wopeds/201404.pdf
    File Function: First version, 2014
    Download Restriction: no

    References listed on IDEAS

    as
    1. Caporale, Guglielmo Maria & Pittis, Nikitas & Spagnolo, Nicola, 2002. "Testing for Causality-in-Variance: An Application to the East Asian Markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 7(3), pages 235-245, July.
    2. Dornbusch, Rudiger & Fischer, Stanley, 1980. "Exchange Rates and the Current Account," American Economic Review, American Economic Association, vol. 70(5), pages 960-971, December.
    3. Baharom, A.H. & Habibullah, M.S. & R.C., Royfaizal, 2008. "Pre and post crisis analysis of stock price and exchange rate: Evidence from Malaysia," MPRA Paper 12445, University Library of Munich, Germany.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Indonesia financial market; volatility; GJR-GARCH; VAR;

    JEL classification:

    • G0 - Financial Economics - - General

    NEP fields

    This paper has been announced in the following NEP Reports:

    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:unp:wpaper:201404. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Arief Anshory Yusuf). General contact details of provider: http://edirc.repec.org/data/lppadid.html .

    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 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.