Detail Watch Your Neighbor: A Volatility Spillover in ASEAN-5 Stock Exchange (article of Binus Business Review, Vol.10 No.1, March 2019, p.59-65) Bibliografi Author: Sumani ; Saadah, Siti Topik: Volatility pattern; ASEAN; stock market Bahasa: (EN )     Penerbit: Universitas Bina Nusantara     Tempat Terbit: Jakarta    Tahun Terbit: 2019     Jenis: Article - diterbitkan di jurnal ilmiah nasional Fulltext: Wactch Your Neighbor A Volatility Spillover.pdf (378.51KB; 0 download) [Informasi yang berkaitan dengan koleksi ini di internet] Abstract In the process of financial markets integration, this research was conducted to investigate the phenomenon of the transmission of stock return volatility among stock market in five ASEAN countries. Those were Indonesia, Singapore, Malaysia, Philippines, and Thailand. The research was important because when the interdependence of financial markets had increased, changes in asset prices in the market were not only influenced by the shock in the market but also by its response to asset price volatility that occurred in other countries. Information about the volatility spillover between markets was important for investors to the portfolio selection process. Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) method was used on a daily time series stock return data obtained by accessing www.bloomberg.com. The result indicates that the shock in Singapore, Malaysia, Thailand, and the Philippines stock market will be transmitted to the Indonesia Stock Market with an asymmetric pattern. It has increased intensity after the implementation of the ASEAN Economic Community in December 2015. Opini Anda Klik untuk menuliskan opini Anda tentang koleksi ini! Lihat Sejarah Pengadaan  Konversi Metadata   Kembali

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