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Abstrak :
Tesis ini membahas mengenai efek limpahan risiko likuiditas yang terdapat pada Pasar Saham regional dengan mengambil sampel pada saham-saham yang memiliki kapitalisasi besar dimasing-masing negara. Pasar Saham Regional yang digunakan pada tesis ini adalah Pasar Saham ASEAN yaitu Filipina, Indonesia, Malaysia, Singapura dan Thailand serta Pasar Saham Hongkong dan Jepang sebagai salah satu pasar saham yang memiliki kapitalisasi terbesar didunia. Tesis ini menggunakan 3 ukuran likuiditas yakni Amihud Illiquidity Ratio, Relative Bid-Ask Spread serta Corwin-Schultz High Low Spread dimana hasil dari setiap ukuran akan diestimasi dengan menggunakan Multivariate GARCH ? Full BEKK untuk melihat adanya efek limpahan Risiko likuiditas dari masing-masing metode pengukuran likuiditas. Hasil penelitian mendapatkan bahwa untuk semua pengukuran likuiditas dapat dilihat adanya efek limpahan Risiko likuiditas antar negara yang diamati dipasar Regional dan membuktikan bahwa selain tingkat imbal hasil saham (return), ternyata likuiditas juga merupakan salah satu faktor yang memiliki efek limpahan di pasar saham regional.

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This thesis discusses the effect that there is an abundance of liquidity risk or illiquidity on a regional stock markets by taking samples at stocks that have a large capitalization in each country. Regional stock markets that are used in this thesis are the ASEAN Stock Market: Philippine, Indonesia, Malaysia, Singapore and Thailand as well as Hong Kong and Japan Stock Market as one of the world's stock market which has the largest stock capitalization. This thesis uses 3 liquidity measures which are Amihud illiquidity measure, Relative Bid - Ask Spread and Corwin Schultz High - Low Spread in which the results of all the measurement will be estimated using the multivariate GARCH - Full BEKK to see the effects of liquidity risk abundance. The results of the study found that for all liquidity measures, it can be seen a illiquidity spillover effects that observed between countries and regional markets which proves that liquidity is also one of the factors that have an effect on the abundance of regional stock market beside stock market return.

Abstrak :
Pandemi COVID-19 berdampak besar pada perekonomian dunia dengan membatasi aktivitas ekonomi, termasuk harga saham. Artikel ini mengkaji dampak volatilitas spillover di tengah pandemi COVID-19 juga pada masa pemulihan awal dari krisis dengan menggunakan data indeks harga saham dari China, AS, dan ASEAN: Indonesia, Malaysia, Singapura, Filipina, dan Thailand. Penelitian dilakukan dengan menggunakan model BEKK-GARCH untuk melihat pengaruh volatilitas antar negara. Dalam uji korelasi, peneliti menemukan bahwa pada periode pasca-krisis yang disebabkan oleh COVID-19, korelasi antara AS dan ASEAN meningkat, sedangkan terhadap China dan ASEAN menurun, dan hubungan antara negara-negara ASEAN juga menurun setelah periode krisis. Dari pemodelan VAR, ditemukan bahwa S&P500 pada periode pasca krisis mengalami penurunan nilai transmisi ke ASEAN. Berbeda dengan SSE yang justru mengalami peningkatan nilai transmisi ke ASEAN pasca krisis. Pada hasil pemodelan BEKK-GARCH, ditemukan bahwa volatilitas yang terjadi di pasar saham Amerika Serikat menjadi tidak memiliki pengaruh pada tiap negara yang tergabung dalam ASEAN pada masa post crisis. Berbeda sedikit dengan Amerika Serikat, China juga mengalami penurunan transmisi volatilitas terhadap ASEAN, namun pada beberapa negara seperti Thailand, Malaysia, dan Singapura, China mengalami kenaikan nilai transmisi volatilitas. Sedangkan kepada Indonesia dan Filipina, China menjadi tidak memiliki efek volatililitas setelah krisis terjadi. ......The COVID-19 pandemic had a major impact on the world economy by restricting economic activity, including stock prices. This article examines effects of volatility spillover in the midst of the COVID-19 also at the early recovery period from the crisis using stock price index data from China, US, and ASEAN: Indonesia, Malaysia, Singapore, Philippines, and Thailand. The research was conducted using the BEKK-GARCH model to see the effect of volatility between countries. In the correlation test, we found that in the post-crisis period caused by COVID-19, the correlation between the US and ASEAN increased, while against China and ASEAN it decreased, and relations between ASEAN countries also decreased after the crisis period. From the VAR modeling, it was found that the S&P500 during the post-crisis period experienced a decrease in the value of transmission to ASEAN. In contrast to the SSE, which actually experienced an increase in the value of transmission to ASEAN in the post-crisis. In the BEKK-GARCH modeling results, it was found that volatility that occurred in the United States stock market had no effect on each country that was part of ASEAN during the post-crisis period. Slightly different from the United States, China also experienced a decrease in volatility spillovers to ASEAN, but in several countries such as Thailand, Malaysia, and Singapore, China experienced an increase in the value of volatility spillovers. As for Indonesia and the Philippines, China had no volatility effects after the crisis occurred.

Abstrak :
Penelitian ini bertujuan untuk menganalisis mengenai volatility spillover antara harga minyak, indeks LQ45 dan Jakarta Islamic Index pada periode bulan Juli 2010 sampai dengan Februari 2018. Model yang digunakan pada penelitian ini adalah bivariate GARCH 1,1-full BEKK. Hasil empiris pada penelitian ini, yaitu ditemukannya bukti bahwa terdapat volatility spillover baik antara harga minyak mentah dunia dengan indeks LQ45 maupun Jakarta Islamic Index. ......This study intends to examine the volatility spillover between crude oil prices, LQ45 index and Jakarta Islamic Index from July 2010 to February 2018. The model utilized as a part of this exploration is bivariate GARCH 1,1 full BEKK. The exact outcome in this exploration is discovering confirmation of a decent volatility spillover from crude oil prices to LQ45 index and oil prices to Jakarta Islamic Index.

Abstrak :
Value-at-Risk (VaR) is the most popular tool for risk measurement in banking and finance industry today. The study estimates the volatility for market risk measurement to calculate diversified VaR. Using Multivariate GARCH BEKK proposed by Engle and Kroner (1993) and variance-covariance matrix methods, this paper compares both methods in generating volatility forecast to estimate diversified VaR particularly for market risk. The paper examines three exchange rates: GBP/USD, USD/JPY, and USD/SGD, from the period of 2000 to 2005. The empirical result shows that GARCH BEKK model performs better, though has more sophisticated specification, than variance-covariance matrix method in estimating the volatility. The estimation results are as follows: VaR estimation generated by GARCH BEKK is 0.1388% which leads to capital charge of 5.2063%; while estimation generated by variance-covariance matrix is 0.1982% which leads to capital charge of 7.433%. The results also show that the volatility changes significantly every 125 observations or at least once in three months. This concludes that volatility forecast should be evaluated at least every three months.

Abstrak :
Resesi merupakan bagian dari siklus ekonomi yang terjadi dalam suatu periode waktu tertentu. Artikel ini bertujuan untuk menginvestigasi efek volatility spillover pada periode pandemi COVID-19 yang terjadi pada tahun 2020 dengan menggunakan data indeks pasar saham negara-negara AS dan ASEAN: Indonesia, Malaysia, Singapura, Thailand, dan Filipina. Investigasi pada periode krisis 2008 juga diinvestigasi untuk dianalisa perbedaan keduanya. Dalam penelitian ini model BEKK-MGARCH digunakan untuk menganalisis efek spillover volatilitas antar indeks saham. Kausalitas Granger juga diselidiki untuk memahami arus kausalitas antar pasar saham. Hasilnya tidak jauh berbeda dengan penelitian sebelumnya dari Vo (2020), dimana semua pasar saham ASEAN kecuali Filipina terkena dampak volatilitas spillover oleh pasar AS. Dari kedua periode, secara umum, masing-masing indeks ASEAN juga memberikan pengaruh volatilitas ke indeks ASEAN lainnya secara bidirectional, dengan indeks JKSE dan KLSE yang volatilitasnya paling terintegrasi dengan indeks lainnya dan indeks PSE yang paling sedikit terintegrasi. ......Recession is part of the economic cycle that occurs in a certain period of time. This article aims to investigate the effects of volatility spillover in COVID-19 pandemic that occurred in 2020 using stock market index data from the US and ASEAN countries: Indonesia, Malaysia, Singapore, Thailand, and the Philippines. investigations during the 2008 crisis period were also investigated to analyze the differences between the two. In this study, the BEKK-MGARCH model was used to analyze the spillover effect of volatility between stock indices. Granger causality was also investigated to understand the flow of causality between stock markets. The results are not much different from previous research from Vo (2020), where all ASEAN stock markets except the Philippines were affected by the volatility spillover by the US market. From the two periods, in general, each ASEAN index also gives a bidirectional influence of volatility to other ASEAN indices, with the JKSE and KLSE indices having the most volatility integrated with other indices and the PSE index being the least integrated.

Abstrak :
Penelitian ini berupaya untuk melihat spillover volatilitas return antara pasar saham dan pasar obligasi pemerintah di negara ASEAN-5, yaitu Indonesia, Malaysia, Filipina, Singapura, dan Thailand dengan menggunakan data return harian saham dan obligasi pemerintah periode 3 Januari 2006 sampai 28 Februari 2020. Estimasi menggunakan BEKK-GARCH (1,1,1) menemukan bahwa fenomena spillover volatilitas di negara ASEAN-5 beragam. Tidak terdapat indikasi spillover volatilitas di negara Singapura dan Malaysia. Sedangkan di Filipina dan Thailand terdapat indikasi spillover volatilitas satu arah (unidirectional spillover) dari pasar saham ke pasar obligasi pemerintah. Sementara itu, spillover volatilitas dua arah (bi-directional spillover) yaitu dari pasar saham ke pasar obligasi pemerintah dan dari pasar obligasi pemerintah ke pasar saham terjadi di Indonesia. Hasil estimasi spillover volatilitas return di pasar saham dan obligasi pemerintah negara ASEAN-5 terkait oleh kondisi kedalaman pasar keuangan di negara tersebut. Negara dengan pasar keuangan yang dalam cenderung lebih dapat menyerap guncangan yang terjadi sehingga guncangan di satu pasar tidak menimbulkan spillover ke pasar lainnya. ......This thesis analyses the volatility spillover between stock and government bond return in ASEAN-5 countries, namely Indonesia, Malaysia, the Philippine, Singapore, and Thailand using stock and government bond daily return data between 3 January 2006 and 28 February 2020. Estimation using BEKK-GARCH (1,1,1) found that volatility spillover in ASEAN-5 countries are varied. There is no spillover volatility indication in Singapore and Malaysia. Meanwhile, we found unidirectional volatility spillover from the stock market to the government bond market in the Philippine and Thailand. Bi-directional volatility spillover, from the stock market to the bond market and from the bond market to the stock market happened in Indonesia. The various result of ASEAN-5 countries presumably caused by the different levels of financial and institutional depth among the countries. Countries with the deep financial markets could absorb the shocks that occur so that it not spilled and affecting other markets.

Abstrak :
[Penelitian ini membahas mengenai spillover volatilitas antara pasar ekuitas negara anggota ASEAN-5 dengan pasar ekuitas Amerika Serikat dan Jepang, pada periode 1 Januari 2004 sampai dengan 31 Desember 2014. Seluruhperiode penelitian dibagai kedalam tiga periode, yaitu : pra krisis, krisis dan pasca krisis. Model yang digunakan dalam penelitian ini adalah bivariate GARCH (1,1) ? full BEKK. Hasil empiris pada penelitian ini, yaitu Pertama, Spillover volatilitas memiliki sifat dan besaran yang berbeda beda tergantung pada periode pra krisis, krisis dan pasca krisis. Kedua, ditemukan bukti bahwa pada periode pra krisis tidak ditemukan adanya spillover volatilitas diantara pasar saham ASEAN-5, namun hasil yang berbeda ditunjukan pada periode krisis dan pasca krisis, pada periode tersebut spillover volatilitas terjadi diantara pasar ASEAN-5, namun pada saat krisis magnitude nya lebih besar dibandingkan pasca krisis. Spillover volatilitas yang terjadi diantara negara ASEAN-5 bersifat satu arah (unidirectional). Ketiga, Ditemukan adanya bukti spillover volatilitas dari pasar Amerika dan Jepang menuju pasar ASEAN-5. Pada saat periode pra krisis, pasar Jepang memberikan pengaruh spillover volatilitas lebih besar dibandingkan pasar Amerika. Sedangkan pada saat krisis dan pasca krisis, pasar Amerika memberikan pengaruh yang lebih besar dibandingkan dengan pasar Jepang. Keempat, Hubungan antara pasar Amerika Serikat dan Jepang dengan pasar ASEAN-5 menjadi lebih kompleks pada saat setelah krisis.

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ABSTRACT
This study examines volatility spillover between ASEAN-5 countries? equity market with USA and Japanese markets in the period January 1, 2004 through December 31, 2004. The whole time-period is divided into three periods as related to the world financial and economic crisis of 2008-2009, namely : precrisis, crisis and post-crisis. Bivariate GARCH (1,1) ? FULL BEKK model is employed to simultaneously estimate the conditional variance between seven different indexes. The following are the results of empirical research : The first, volatility spillover has a different nature and magnitude depending on the period of the pre crisis, crisis and post-crisis. Second, there is evidence that in the pre-crisis period, there are no volatility spillover among the ASEAN-5 stock markets, but the different results shown in the crisis and post-crisis period, during this period of volatility spillover occurs between the ASEAN-5 markets, but in times of crisis magnitude is larger than the post-crisis. Internal volatility spillover occurs among ASEAN-5 is one-way (unidirectional).Third, there is evidence of volatility spillover from the U.S. and Japan to the ASEAN-5 markets. At the time of pre-crisis period, the Japanese market volatility spillover effect is greater than the American market. While in times of crisis and post-crisis, the U.S. market gives greater influence than the Japanese market.Fourth, the external and internal relationship in the ASEAN-5 markets become more complex during the post-crisis.;This study examines volatility spillover between ASEAN-5 countries’ equity market with USA and Japanese markets in the period January 1, 2004 through December 31, 2004. The whole time-period is divided into three periods as related to the world financial and economic crisis of 2008-2009, namely : precrisis, crisis and post-crisis. Bivariate GARCH (1,1) – FULL BEKK model is employed to simultaneously estimate the conditional variance between seven different indexes. The following are the results of empirical research : The first, volatility spillover has a different nature and magnitude depending on the period of the pre crisis, crisis and post-crisis. Second, there is evidence that in the pre-crisis period, there are no volatility spillover among the ASEAN-5 stock markets, but the different results shown in the crisis and post-crisis period, during this period of volatility spillover occurs between the ASEAN-5 markets, but in times of crisis magnitude is larger than the post-crisis. Internal volatility spillover occurs among ASEAN-5 is one-way (unidirectional).Third, there is evidence of volatility spillover from the U.S. and Japan to the ASEAN-5 markets. At the time of pre-crisis period, the Japanese market volatility spillover effect is greater than the American market. While in times of crisis and post-crisis, the U.S. market gives greater influence than the Japanese market.Fourth, the external and internal relationship in the ASEAN-5 markets become more complex during the post-crisis.;This study examines volatility spillover between ASEAN-5 countries’ equity market with USA and Japanese markets in the period January 1, 2004 through December 31, 2004. The whole time-period is divided into three periods as related to the world financial and economic crisis of 2008-2009, namely : precrisis, crisis and post-crisis. Bivariate GARCH (1,1) – FULL BEKK model is employed to simultaneously estimate the conditional variance between seven different indexes. The following are the results of empirical research : The first, volatility spillover has a different nature and magnitude depending on the period of the pre crisis, crisis and post-crisis. Second, there is evidence that in the pre-crisis period, there are no volatility spillover among the ASEAN-5 stock markets, but the different results shown in the crisis and post-crisis period, during this period of volatility spillover occurs between the ASEAN-5 markets, but in times of crisis magnitude is larger than the post-crisis. Internal volatility spillover occurs among ASEAN-5 is one-way (unidirectional).Third, there is evidence of volatility spillover from the U.S. and Japan to the ASEAN-5 markets. At the time of pre-crisis period, the Japanese market volatility spillover effect is greater than the American market. While in times of crisis and post-crisis, the U.S. market gives greater influence than the Japanese market.Fourth, the external and internal relationship in the ASEAN-5 markets become more complex during the post-crisis.;This study examines volatility spillover between ASEAN-5 countries’ equity market with USA and Japanese markets in the period January 1, 2004 through December 31, 2004. The whole time-period is divided into three periods as related to the world financial and economic crisis of 2008-2009, namely : precrisis, crisis and post-crisis. Bivariate GARCH (1,1) – FULL BEKK model is employed to simultaneously estimate the conditional variance between seven different indexes. The following are the results of empirical research : The first, volatility spillover has a different nature and magnitude depending on the period of the pre crisis, crisis and post-crisis. Second, there is evidence that in the pre-crisis period, there are no volatility spillover among the ASEAN-5 stock markets, but the different results shown in the crisis and post-crisis period, during this period of volatility spillover occurs between the ASEAN-5 markets, but in times of crisis magnitude is larger than the post-crisis. Internal volatility spillover occurs among ASEAN-5 is one-way (unidirectional).Third, there is evidence of volatility spillover from the U.S. and Japan to the ASEAN-5 markets. At the time of pre-crisis period, the Japanese market volatility spillover effect is greater than the American market. While in times of crisis and post-crisis, the U.S. market gives greater influence than the Japanese market.Fourth, the external and internal relationship in the ASEAN-5 markets become more complex during the post-crisis., This study examines volatility spillover between ASEAN-5 countries’ equity market with USA and Japanese markets in the period January 1, 2004 through December 31, 2004. The whole time-period is divided into three periods as related to the world financial and economic crisis of 2008-2009, namely : precrisis, crisis and post-crisis. Bivariate GARCH (1,1) – FULL BEKK model is employed to simultaneously estimate the conditional variance between seven different indexes. The following are the results of empirical research : The first, volatility spillover has a different nature and magnitude depending on the period of the pre crisis, crisis and post-crisis. Second, there is evidence that in the pre-crisis period, there are no volatility spillover among the ASEAN-5 stock markets, but the different results shown in the crisis and post-crisis period, during this period of volatility spillover occurs between the ASEAN-5 markets, but in times of crisis magnitude is larger than the post-crisis. Internal volatility spillover occurs among ASEAN-5 is one-way (unidirectional).Third, there is evidence of volatility spillover from the U.S. and Japan to the ASEAN-5 markets. At the time of pre-crisis period, the Japanese market volatility spillover effect is greater than the American market. While in times of crisis and post-crisis, the U.S. market gives greater influence than the Japanese market.Fourth, the external and internal relationship in the ASEAN-5 markets become more complex during the post-crisis.]