EconPapers    
Economics at your fingertips  
 

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

Anhar Priyono () and Arief Bustaman ()
Additional contact information
Arief Bustaman: Department of Economics, Padjadjaran University

No 201404, Working Papers in Economics and Development Studies (WoPEDS) from 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.

Keywords: Indonesia financial market; volatility; GJR-GARCH; VAR (search for similar items in EconPapers)
JEL-codes: G0 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-sea
Date: 2014-02, Revised 2014-02
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://ceds.feb.unpad.ac.id/wopeds/201404.pdf First version, 2014 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:unp:wpaper:201404

Access Statistics for this paper

More papers in Working Papers in Economics and Development Studies (WoPEDS) from Department of Economics, Padjadjaran University Contact information at EDIRC.
Series data maintained by Arief Anshory Yusuf ().

 
Page updated 2017-11-17
Handle: RePEc:unp:wpaper:201404