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"Studi ini menganalisis korelasi volatilitas dinamis dan dampak limpahan indeks harga saham gabungan di 10 negara dengan Produk Domestik Bruto (PDB) terbesar, yaitu Amerika Serikat, China, Jerman, Jepang, India, Inggris, Perancis, Italia, Brazil, dan Kanada terhadap Indeks Harga Saham Gabungan atau Jakarta Stock Exchange Composite Index (IHSG) untuk periode 2018 hingga 2023. Dengan menggunakan model Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroskedasticity (DCC-GARCH), hasil studi ini menunjukkan bahwa seluruh indeks memiliki korelasi dinamis seiring waktu dengan IHSG namun tidak dengan indeks pasar saham Brazil (BOVESPA) yang memiliki korelasi konstan dengan IHSG. Selain itu, hasil studi juga mengindikasikan adanya dampak limpahan dinamis yang signifikan akibat integrasi pasar di mana seluruh indeks memberikan dampak limpahan asimetri terhadap IHSG, kecuali BOVESPA dan NIFTY (indeks pasar saham India) akibat rendahnya kerja sama dua negara. Hasil studi ini juga menunjukkan bahwa rata-rata kekuatan korelasi yang bervariasi akibat pengaruh kekuatan kerja sama ekonomi yang berbeda dimana indeks pasar saham Jepang (NIKKEI) memiliki korelasi positif terbesar dengan IHSG, sedangkan BOVESPA memiliki korelasi negatif dan terlemah dengan IHSG. Hasil penelitian ini menyediakan bukti empiris bahwa ketergantungan pasar memperbesar risiko pasar, sehingga menekankan pentingnya manajemen risiko dan diversifikasi portfolio investasi.

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This study investigates the correlation of dynamic volatility and spillover impacts from the composite stock price index in 10 countries with the largest Gross Domestic Product (GDP), namely US, China, Germany, Japan, India, UK, France, Italy, Brazil, and Canada against the Jakarta Stock Exchange Composite Index (JKSE) for the period 2018 to 2023. Using the Dynamic Conditional Correlation - Generalized Autoregressive Conditional Heteroskedasticity (DCC-GARCH) model, the results of this study show that all indices have a dynamic correlation over time with JKSE but not with the Brazilian stock market index (BOVESPA) which has a constant correlation with JKSE. In addition, the results indicate that there are significant dynamic spillover impacts due to market integration where all indices have asymmetric spillover effects on the JKSE, except for BOVESPA and NIFTY (Indian stock market index) which due to low amount of cooperation between the two countries. The results of this study also show that the average strength of correlation varies due to the influence of different strengths of economic cooperation where the Japanese stock market index (NIKKEI) has the largest positive correlation with JKSE, while BOVESPA has the weakest and negative correlation with JKSE. The results of this study provide empirical evidence that market dependence increases market risk, thus emphasizing the importance of risk management and investment portfolio diversification."

"Penelitian ini bertujuan untuk mengidentifikasi hubungan antara perubahan harga minyak global dan nilai tukar USD/IDR dengan tingkat pengembalian investasi di sektor transportasi dan logistik di Indonesia. Penelitian ini akan menganalisis periode sebelum dan setelah pandemi COVID-19 untuk memahami apakah ada korelasi yang signifikan antara variabel-variabel tersebut. Fokusnya adalah melihat bagaimana fluktuasi harga minyak dunia dan perubahan nilai tukar USD/IDR dapat memengaruhi pengembalian saham di sektor transportasi dan logistik di Indonesia. Data penelitian yang digunakan adalah data return dari harga minyak dunia WTI (West Texas Intermediate), nilai tukar USD IDR dan saham sektor transportasi & logistik yang terdaftar di Bursa Efek Indonesia. Penelitian ini menggunakan data kuantitatif, metode yang digunakan dalam penelitian ini menggunakan analisis dekripsi data statistik dan menggunakan DCC GARCH. Dalam menganalisis data dari penelitian ini menggunakan program R. Dari hasil studi, diperoleh informasi bahwa harga minyak dunia WTI memiliki pengaruh positif terhadap harga saham sektor transportasi & logistik dan nilai tukar memiliki korelasi negatif dengan harga saham sektor transportasi & logistik. Mengetahui korelasi diharapkan dapat mengurangi atau memitigasi risiko investasi pada saham sektor transportasi dan logistik di Indonesia.

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The purpose of this study is to identify the relationship between changes in global oil prices and the USD/IDR exchange rate and investment returns in the transportation and logistics sectors in Indonesia. The study will analyze the periods before and after the COVID-19 pandemic to understand if there is a significant correlation between these variables. The focus is to examine how fluctuations in global oil prices and changes in the USD/IDR exchange rate can impact stock returns in the transportation and logistics sectors in Indonesia. The research data used in this study includes return data from WTI (West Texas Intermediate) crude oil prices, the USD/IDR exchange rate, and stocks from the transportation and logistics sectors listed on the Indonesia Stock Exchange. This research adopts a quantitative approach, utilizing statistical data analysis and employing the DCC-GARCH method. The data analysis is conducted using the R programming language. The study findings reveal that WTI crude oil prices have a positive influence on stock prices in the transportation and logistics sector, while the exchange rate shows a negative correlation with stock prices in the sector. Understanding these correlations is expected to help mitigate investment risks in transportation and logistics stocks in Indonesia."

"ABSTRAKPenelitian ini ingin melihat korelasi dinamis volatilitas harga minyak terhadap return indeks pasar ASEAN-5 dengan menggunakan pendekatan DCC-GARCH. Volatilitas harga minyak menggunakan 2 pengukuran, yaitu Realized Variance dari harga minyak WTI dan indeks OVX. Hasil penelitian ini menunjukkan bahwa terdapat korelasi yang negatif antara volatilitas harga minyak terhadap return indeks saham ASEAN-5 secara keseluruhan periode penelitian. Selain itu,pendekatan RV merupakan pengukuran volatilitas harga minyak yang lebih baik dibandingkan indeks OVX dalam melihat korelasi dinamis terhadap return indeks pasar saham ASEAN-5 dengan menggunakan information criterion.

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ABSTRACTThis paper investigates the dynamic correlation of oil price between OVX Oil Volatility Index and Realized Variance from WTI prices to ASEAN 5 stock index return using DCC GARCH approach. We use OVX and RV to examine the better oil proxy to ASEAN 5 stock market return using AIC method. We also examine student rsquo t distribution to check the normal distribution of DCC GARCH. From the result, we find that OVX and RV have negative correlation to ASEAN 5 stock index return within the period in overall. Further, the research shows that RV has more significant result than OVX as a oil proxy to ASEAN 5 stock index return."

"Penelitian ini bertujuan untuk melakukan analisis komparasi krisis Asia dengan krisis keuangan global dalam aspek pola penularan (contagion, interdependence) dan spillover, baik secara intra dan inter asset price serta analisis respons kebijakan moneter. Pola penularan diestimasi dengan menggunakan model DCC-GARCH dari data harian, sedangkan analisis spillover dan respons kebijakan dimodelkan dengan menggunakan Global VAR (GVAR) dengan data bulanan. Periode analisis dari Januari 1995 sampai dengan Maret 2018. Hasil penelitian menunjukkan terdapat persamaan dan perbedaan pola penularan antara krisis Asia dengan krisis keuangan global.Beberapa persamaannya adalah; (i) perambatan shock intra asset price lebih besar dibandingkan inter asset price, (ii) terjadi common cycle yaitu penularan krisis cenderung terjadi dalam periode yang pendek dan berulang, (iii) terjadi interdependence pada nilai tukar, serta (iv) dari dua periode krisis, nilai tukar Rupiah mengalami depresiasi paling tajam diantara mata uang negara ASEAN. Adapun perbedaan dari kedua krisis adalah; (i) pada krisis Asia, terjadi interdependence intra asset price pada suku bunga O/N, nilai tukar, serta interdependence terbatas pada indeks saham, kemudian terjadi juga interdependence semua asset price intra ASEAN. Pada nilai tukar, terjadi common trend intra ASEAN yaitu mengalami pergerakan searah dalam jangka panjang, kecuali dengan SGD tidak terjadi. (ii) Pada krisis keuangan global terjadi asimetri interdependence pada nilai tukar, dimana Interdependence negative yang terjadi sebelum GFC (mata uang ASEAN menguat dalam tahun 2005-2007) lebih kecil dibandingkan dengan interdependence positif yang terjadi saat krisis keuangan global, (mata uang ASEAN mengalami depresiasi). (iii) Pada krisis Asia, suku bunga O/N memiliki degree of co-movement paling besar baik intra dan inter asset price, juga intra ASEAN. Sementara pada krisis keuangan global nilai tukar menunjukan co-movement paling besar. Terdapat pertalian yang kuat antara nilai tukar dengan indeks saham, namun shock nilai tukar mempunyai efek yang lebih besar dan bertahan dalam jangka panjang. (iv) Diantara variabel riel, inflasi menerima efek limpahan paling besar pada kedua krisis, namun pada krisis Asia efeknya lebih eksplosif. Penurunan GDP saat krisis Asia lebih banyak disebabkan efek limpahan dari public debt, sementara pada krisis keuangan global oleh nilai tukar. (v) Respons kebijakan moneter Tight Money Policy pada krisis Asia lebih efektif dalam jangka panjang (1-2 tahun), sementara itu respons kebijakan stabilisasi pada krisis keuangan global lebih efektif dalam jangka pendek.

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A financial crisis that occurs in one country can easily spread to other countries and become a global financial disaster in a short time. This study aims to conduct a comparative analysis of the Asian crisis with the global financial crisis in terms of contagion, interdependence and spillover effect, both intra and inter asset prices, as well as an analysis of monetary policy responses. The pattern of contagion was estimated using the DCC-GARCH model from daily data, while the spillover analysis and policy response were modeled using Global VAR (GVAR) with monthly data. The analysis period is from January 1995 to March 2018. The results show that there are similarities and differences in transmission patterns between the Asian crisis and the global financial crisis.

Some of the similarities are; (i) intra-asset price shock propagation is greater than inter-asset price, (ii) common cycle occurrence, i.e. crisis transmission tends to occur in short and repeated periods, (iii) exchange rate interdependence, and (iv) from two crisis periods , the Rupiah experienced the sharpest depreciation among ASEAN currencies. The differences between the two crises are; (i) in the Asian crisis, there was interdependence of intra asset prices on O/N interest rates, exchange rates, and limited interdependence on stock indices, then there was also interdependence of all intra ASEAN asset prices. In the exchange rate, there is a common intra-ASEAN trend that is experiencing the same direction of movement in the long term, except that SGD does not occur. (ii) In the global financial crisis, interdependence asymmetry occurred in exchange rates, where the negative interdependence that occurred before the GFC (the ASEAN currency strengthened in 2005-2007) was smaller than the positive interdependence that occurred during the global financial crisis, (the ASEAN currency experienced a depreciation. ii) During the Asian crisis, the O/N interest rate had the highest degree of co-movement, both intra and inter asset prices, as well as intra ASEAN. Meanwhile, during the global financial crisis, the exchange rate showed the largest co-movement. There is a strong relationship between the exchange rate and stock indices, but exchange rate shocks have a larger effect and persist in the long term. (iv) Among real variables, inflation received the largest spillover effect in the two crises, but in the Asian crisis the effect was more explosive. The decline in GDP during the Asian crisis was mostly due to spillover effects from public debt, while in the global financial crisis it was caused by the exchange rate. (v) The monetary policy response of the Tight Money Policy to the Asian crisis was more effective in the long term (1-2 years), while the stabilization policy response to the global financial crisis was more effective in the short term."

"Pengembangan strategi lindung nilai menggunakan komoditas dan cryptocurrency telah menjadi topik minat akademis dan praktis. Strategi yang optimal meningkatkan efisiensi manajemen risiko dan meminimalkan biaya lindung nilai. Karya tulis ini membahas safe-haven optimal menggunakan periode dummy Covid-19 untuk indeks pasar saham ASEAN-5, yang dilindung nilai dengan emas dan bitcoin. Kami menentukan instrumen safe-haven terbaik menggunakan analisis regresi OLS dan model DCC-GARCH. Analisis tersebut menghasilkan kriteria efektivitas safe-haven yang dihasilkan Bitcoin dan Emas. Data harian mencakup periode dari Januari 2019 hingga Desember 2021. Temuan kami kuat untuk asumsi distribusi dan penggunaan model DCC-GARCH dan regresi OLS dalam memeriksa berbagai skenario. Akhirnya, penelitian ini memberikan titik awal yang sangat berharga untuk mengkaji korelasi dinamis dan karakteristik safe-haven Bitcoin dan Emas.

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The development of hedging strategies using commodities and cryptocurrencies has become a topic of academic and practical interest. The optimal strategy improves risk management efficiency and minimizes hedging costs. This paper discusses the optimal safe-haven using the Covid-19 dummy period for the ASEAN-5 stock market index, which is hedged with gold and bitcoin. We determined the best safe-haven instrument using OLS regression analysis and the DCC-GARCH model. The analysis resulted in the safe-haven effectiveness criteria generated by Bitcoin and Gold. The daily data cover the period from January 2019 to December 2021. Our findings are robust to the distribution assumptions and use of the DCC-GARCH model and OLS regression in examining various scenarios. Finally, this study provides an invaluable starting point for examining the dynamic correlation and safe-haven characteristics of Bitcoin and Gold.

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"Penelitian ini bertujuan untuk mengukur persistensi guncangan volatilitas saham di Bursa Efek Indonesia, yaitu Indeks Harga Saham Gabungan (Indeks Pasar) dan sembilan Indeks Sektoral pada saat pengumuman masuknya COVID-19 ke Indonesia yang diproksi dengan penduduk domestik yang terinfeksi. Peningkatan guncangan volatilitas IHSG dan Indeks Sektoral merupakah reaksi dari investor terhadap pembatasan pergerakan manusia dalam rangka pencegahan penyebaran COVID-19 (Kusumahadi & Permana, 2021). Penelitian ini mengukur estimasi conditional variance (volatilitas) dengan menggunakan model GARCH (1,1) dengan periode observasi data secara time series dari bulan Januari 2016 sampai dengan 30 April 2021 pada masa kemunculan domestik COVID-19 di Indonesia. Hasil regresi menunjukkan adanya peningkatan kemampuan indeks pasar dalam menyerap guncangan volatilitas pada periode setelah diumumkan kasus positif COVID-19 pertama kali di Indonesia yang menunjukkan kemampuan pasar cukup baik dalam merespon krisis. Adapun indeks sektor Industri Barang Konsumsi yang merupakan kelompok industri makanan dan minuman, produsen tembakau, farmasi, kosmetik dan rumah tangga, peralatan rumah tangga, dan lainnya, berdasarkan hasil penelitian mempunyai kemampuan yang paling cepat dalam menyerap guncangan volatilitas. Bukti ini dapat menjadi informasi yang penting bagi investor, akademisi maupun pengusaha dalam memahami persistensi guncangan volatilitas dari indeks pasar maupun sektoral karena terkait dengan potensi imbal hasil dan risiko yang ditimbulkan.

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This study aims to measure the persistence of stock volatility shocks on the Indonesia Stock Exchange, namely the Composite Stock Price Index (Market Index) and nine sectoral indices, at the time of the announcement of the entry of COVID-19 into Indonesia, which were proxied by infected domestic residents. The increased volatilities of the JCI and the sectoral indices were reactions from investors to the restrictions on human movement to prevent the spread of COVID-19 (Kusumahadi & Permana, 2021). This study estimates the conditional variance (volatility) by using the GARCH (1,1) model with a time series data observation period from January 2016 to April 30, 2021, before and after the domestic emergence of COVID-19 in Indonesia. It was found that there was an increase in the ability of the market index to absorb volatility shocks in the period after the announcement of the first positive case of COVID-19 in Indonesia, which shows the market's ability to respond to the crisis is quite good. The Consumer Goods industry sector index, which is a group of food and beverage industries, producers of tobacco, pharmaceuticals, cosmetics, household appliances, and others, can absorb volatility shocks at the shortest period. The results of this study provide important information for investors, academics, and entrepreneurs in understanding the persistence of volatility shocks from the market and sectoral indices because they are related to potential returns and the risks involved."

"Tesis ini membahas analisis Value at Risk dan Expected Shortfall menggunakan model volatilitas GARCH terhadap indeks saham dan nilai tukar local currency terhadap US dollar pada delapan negara emerging market Asia. Periode perkiraan penilaian risiko antara 01 Januari 1997 sampai dengan 31 Desember 2009 dan periode validasi out of sample 01 Januari 2010 sampai dengan 31 Maret 2014. Penilaian model menggunakan back testing terhadap data in sample dan out of sample. Hasil analisis menunjukkan bahwa pengukuran volatilitas return indeks saham dan nilai tukar dengan model GARCH dianggap tepat. Perkiraan risiko kerugian indeks saham menggunakan Value at Risk berdasarkan model volatilitas GARCH dapat digunakan pada confidence level 95%, sementara Expected Shortfall dapat digunakan sebagai alternatif pengukuran risiko pada confidence level 99%. Sedangkan untuk memperkirakan risiko kerugian nilai tukar dapat menggunakan Expected Shortfall pada confidence level 99%.

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This thesis describes the analysis of Value at Risk and Expected Shortfall using GARCH volatility models of the stock indices and exchange rate of local currency against the U.S. dollar in eight Asian emerging market countries. The estimation period of risk measurement is between January 1, 1997 until December 31, 2009 and out of sample validation period is January 1, 2010 until March 31, 2014. Assessment model using back testing in sample and out of sample data.

The analysis showed that the measurement of return volatility of stock indices and exchange rates by the GARCH model is appropriate. Estimating loss using Value at Risk based on GARCH volatility models of stock indices is appropiate to be applied at 95% confidence level, while the Expected Shortfall can be used as an alternative of risk measurement at the 99% confidence level. Whereas estimating the risk of exchange rate losses can use the Expected Shortfall at 99% confidence level."

"ABSTRAKTesis ini meneliti pengaruh indeks-indeks internasional terhadap indeksharga saham gabungan Indonesia, baik pengaruh jangka panjang dalam bentukkointegrasi, maupun jangka pendek dalam bentuk Impulse Response Function danGranger Causality. Data yang digunakan berupa indeks penutupan harian periode2001-2011, dalam mata uang lokal masing-masing negara. Dari hasil pengujiandidapatkan bahwa Indonesia terkointegrasi secara bivariat dengan AmerikaSerikat dan Singapura dan secara multivariat dengan ASEAN dan G8.ImpulseResponse Function menunjukkan bahwa goncangan dari pasar saham negaranegarayang terkointegrasi secara bivariat dengan Indonesia memberi dampakjangka panjang kepada pasar saham Indonesia. Terakhir, dari hasil uji GrangerCausality didapatkan bahwa nilai-nilai lampau dari indeks harga saham AmerikaSerikat, Singapura, Rusia, Meksiko, Chili dan Peru mempengaruhi nilai kini dariindeks harga saham Indonesia.

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ABSTRACTThis research investigate the long-run and short-run impact of internationalindeks to the Indonesia composit index using Cointegration, Impulse ResponseFunction and Granger Causality test. Sample being used is the daily closing priceof each index over the period of 2001-2011 in their local currency denomination.Based on the testing, Indonesia is cointegrated with Singapore and USA(bivariate) and ASEAN and G8 (multivariate). Impulse Response Function testshows that shocks from cointegrating countries will give a long-run effect to theIndonesian stock market. Lastly, Granger Causality test shows that the previousvalue of Singapore, USA, Russia, Mexico, Chile and Peru index will affect thecurrent value of the Indonesian index."

"ABSTRAKTesis ini membahas mengenai perhitungan VaR risiko pasar dengan menggunakan pendekatan volatilitas yang diukur dengan model EWMA dan GARCH. Model EWMA dan GARCH digunakan dalam menghitung data return yang bersifat tidak konstan atau heteroskedastik. Hasil dari penelitian ini menunjukkan bahwa kedua model yang digunakan merupakan model yang valid. Namun bila dilihat secara praktis, model GARCH memberikan nilai VaR yang lebih rendah dibandingkan dengan model EWMA. Sehingga konsekuensinya model GARCH akan memberikan nilai capital charge yang lebih rendah dengan menggunakan asumsi exposure senilai 100.000.000 dan tingkat keyakinan 99%. Dengan menggunakan pendekatan ARCH/GARCH maka diperoleh VaR 1 hari terbesar pada saat volatile period yaitu pada Hongkong Sanghai Inde.

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ABSTRACT

In this thesis describing about the measurement of Value at Risk using volatility measured by EWMA and GARCH model. The EWMA and GARCH model are used due to the data of stock market index return which show a relatively heteroscedastic nature. The results of this research indicate that theoretically all the model used are valid model. However, when viewed in a practical, GARCH model provide a lower VaR compare to EWMA model. Consequently GARCH model will give a lower capital charge using the assumption 100.000.000 worth of exposure and 99% of confidence level. By using the approach of GARCH model, the highest 1 day VaR obtained in volatile period is in Hongkong Sanghai Index, while the highest 1 day VaR obtained in stable period is in IBEX5"

"There are several factors influencing the financial system stability, namely the internal and the external factors. The occurrence of stock price volatility internationally, the contagion effects and the spillover effects are some external factors that have effect on the financial system stability. This research aims to know the dynamic relationship of regional and global stocks market in international financial system, and then do the analysis of the occurrence of contagion effects and spillover effects on stock price, and see their influence on domestic economics, monetary policy and financial system stability, by GARCH-VAR model.The results of this research indicate that there are some domination of the mature financial market to regional and domestic market. Moreover, the nearby regional stock price index also have a big contribution to the movement of other regional stock price market. The impact of stock price volatility to the IDR exchange rates volatility is relatively small, but not to the price level which is significantly large. Data analysis shows that there is contagion effects in stock market, but the spillover effect from stock price volatility to exchange rates volatility does not occur."