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Penelitian ini dilakukan untuk mengetahui adanya perubahan arah kausalitas nilai tukar dan indeks saham negara Emerging Market (EM) saat periode kebijakanQuantitative Easing(QE) dan Tapering Off(TO) oleh The Fed. Negara EMdalam penelitian ini dipilih berdasarkan hubungan perdagangan dengan Amerika Serikat, yaitu China, India, Korea Selatan, Taiwan, Indonesia, Argentina, Brazil, Meksiko, Rusia dan Turki. Adapun dari hubungan perdagangan ini dapat dilihat apakah suatu negara memiliki ketergantungan ekonomi dengan negara lainnya (Park, 2018). Penelitian ini sendiri dilakukan dengan membandingkan arah kausalitas masing-masing variabel (indeks S&P 500, indeks saham dan nilai tukar negara EM) sebelum dan sesudah implementasi kebijakan QE dan TO (1 Januari 2008 - 31 Desember 2017). Metode yang digunakan dalam penelitian ini adalah dengan menggunakan uji kausalitas Granger dan Vector Auto Regression(VAR). Hasil dari penelitian ini menemukan bahwa hubungan kausal sebagian besar negara cenderung mengalami perubahan arah saat periode QE ke TO. 

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This study was conducted to know the causality change of Emerging Market (EM) capital market and United States (US) capital market in the periods of the Quantitative Easing (QE) and Tapering Off (TO) policies by the Fed. The EM countries in this study were selected based on trade relations with the US, those are China, India, South Korea, Taiwan, Indonesia, Argentina, Brazil, Mexico, Russia and Turkey. From this trade relationship, it can be seen whether a country has an economic interdependence with other countries (Park, 2018). The study itself was conducted by comparing the causal direction of each variable (S & P 500 index, EM’s stock index and exchange rate) before and after the implementation of QE and TO policy (January 1^st, 2008 - December 31^st, 2017). The method used in this study is by using Granger causality test and Vector Auto Regression (VAR) model. The results of this study found that the causal relationships of most countries was changed during the period of QE to TO.

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"ABSTRAKKebijakan Quantitative Easing (QE) dijalankan The Fed untuk menggerakan perekonomian Amerika Serikat (AS) yang terpuruk akibat krisis subprime mortgage. Kebijakan QE yang telah tiga kali dilaksanakan sejak 2008, juga dianggap mendorong masuknya investor asing ke emerging markets. Penelitian ini fokus pada korelasi dinamis antara bursa saham AS dengan emerging markets dalam ASEAN 6 dan Fragile Five. Menggunakan metode Dynamic Conditional Correlation, hasil penelitian menunjukan bahwa bursa saham Brazil dan Afrika Selatan merupakan emerging market yang memiliki korelasi terkuat dengan AS. Selain itu, aset saham juga terlihat merupakan jenis investasi yang paling dominan dipilih investor asing di hampir semua emerging markets, kecuali di Thailand dan Filipina saat periode QE1 berjalan.

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ABSTRACTQuantitative Easing (QE) is a policy implemented by The Fed to stimulate U.S. economy after subprime mortgage crisis. Implemented three times since 2008, QE is also considered as the cause of foreign short term capital flows to emerging markets. This research focuses on the dynamic correlation between the U.S. stock market and emerging stock markets in ASEAN 6 and Fragile Five. Using Dynamic Conditional Correlation method, the results shows that Brazil and South Africa are strongly correlated with the U.S. Additionally, foreign investors seem to pick stocks as their main asset class during QE in almost all emerging markets, except in Thailand and The Philippines during the first QE period."