GDL

Jurnal Keuangan dan Perbankan, Volume 16, Nomor 1, Januari 2012
Journal from JIPTUNMERPP / 2012-08-13 11:10:33
Oleh : Haryo Suparmun, Diploma 3 of Finance and Banking Merdeka University Malang (jurkeubank@yahoo.com ; jurkubank.wordpress.com)
Dibuat : 2012-01-01, dengan file

Keyword : stock market, global financial crisis, impulse response function, forecast error variance decompo- sition

This study aimed to detect and identify short-term dynamic linkages between Indonesian stock market and
Asia-Pacific stock markets during the period of January 2nd
, 2003 until December 31st , 2009 by using the
impulse response function analysis and forecast error variance decomposition. The period was divided into
sub-period of before, during, and after the global financial crisis. The results showed that Indonesian stock
market responded positively to each shock caused by the Asia-Pacific stock markets. The response became
stronger during crisis sub-period. This condition proved a significant increase of short-term dynamic linkages
between Indonesian stock market and other Asia Pacific during the global financial crisis. After crisis sub-
period, many Asian-Pacific stock marketsÂ’ shocks were responded negatively by Indonesian stock market.
Australian, China and Hong Kong stock markets were the top three in share among the countries of the Asia
Pacific contributing to influence the Indonesian stock market movements

Deskripsi Alternatif :

This study aimed to detect and identify short-term dynamic linkages between Indonesian stock market and
Asia-Pacific stock markets during the period of January 2nd
, 2003 until December 31st , 2009 by using the
impulse response function analysis and forecast error variance decomposition. The period was divided into
sub-period of before, during, and after the global financial crisis. The results showed that Indonesian stock
market responded positively to each shock caused by the Asia-Pacific stock markets. The response became
stronger during crisis sub-period. This condition proved a significant increase of short-term dynamic linkages
between Indonesian stock market and other Asia Pacific during the global financial crisis. After crisis sub-
period, many Asian-Pacific stock marketsÂ’ shocks were responded negatively by Indonesian stock market.
Australian, China and Hong Kong stock markets were the top three in share among the countries of the Asia
Pacific contributing to influence the Indonesian stock market movements

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