Volatility Transmission between Exchange Rates and Stock Prices in Indonesia post 1997 Asia Crisis
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.
|Date of creation:||Feb 2014|
|Date of revision:||Feb 2014|
|Contact details of provider:|| Postal: Jalan Cimandiri No.6, Bandung 40115|
Web page: http://ceds.fe.unpad.ac.id
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Dornbusch, Rudiger & Fischer, Stanley, 1980. "Exchange Rates and the Current Account," American Economic Review, American Economic Association, vol. 70(5), pages 960-971, December.
- 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.
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)
If references are entirely missing, you can add them using this form.