Studi Empiris Contagion Effect denganModel DCC MGARCH

Yasir Maulana(1*),


(1) 
(*) Corresponding Author

Abstract


Abstrak

Artikel ini berupaya menelaah contagion effect antara emerging market kepada developed market dengan menggunakan model DCC MGARCH dalam konteks krisis keuangan Asia 1998 dengan Thailand dan Indonesia sebagai negara benchmark. Hasil empiris pada penelitian ini memperlihatkan pada kondisi krisis Thailand dengan sepuluh negara maju dan berkembang menunjukkan adanya contagion effect di empat negara. Sedangkan pada saat  krisis di Indoneisa walaupun pencetusnya dari Thailand, justru memiliki efek yang lebih menyeluruh yaitu hanya satu dari sembilan negara yang tidak menunjukkan signifikansinya yaitu Malaysia.

 

Kata kunci : Contagion effect, DCC MGARCH

 

Abstract

This article attempts to examine the contagion effect between emerging markets and the developed market using the DCC MGARCH model in the context of the 1998 Asian financial crisis with Thailand and Indonesia as a benchmark country. The empirical results of this study show the conditions of Thailand's crisis with ten developed countries and Growing shows the existence of a contagion effect in four countries. While at the time of crisis in Indonesia though the originator of Thailand, it has a more comprehensive effect that is only one of the nine countries that do not show the significance of Malaysia.

 

Keywords: Contagion effect, DCC MGARCH


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References


Daftar Pustaka

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DOI: 10.24235/amwal.v9i1.1636

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