Open AccessThe Impact of 2008 Global Financial Crisis on the Performance of Selected Indonesian Stocks: A Preliminary Study
Author(s) -
Edwin Suparman
Publication year - 2014
Publication title -
indonesian capital market review
Language(s) - English
Resource type - Journals
eISSN - 2356-3818
pISSN - 1979-8997
DOI - 10.21002/icmr.v4i2.3617
Subject(s) - indonesian , index (typography) , financial crisis , ewma chart , emerging markets , business , financial economics , autoregressive conditional heteroskedasticity , economics , financial system , finance , volatility (finance) , macroeconomics , philosophy , linguistics , process (computing) , control chart , world wide web , computer science , operating system
This research is a preliminary study that analyzes the impact of the US nancial markets on Indonesian nancial markets during the 2008 global nancial crisis. It specically investigates the occurrence of contagion effect in the Indonesian IHSG index and selected LQ45 stocks with the US S&P500 index by the measurement of correlation using simple correlation, EWMA, OGARCH, and DCC GARCH. It also attempts to discuss on the decoupling of Indonesian market and provide recommendations on dealing with future similar events.
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