Volatility Spillover Among Asian Developed Stock Markets to Indonesia Stock Market During Pandemic Covid-19
نویسندگان
چکیده
This study aims to analyze the transmissions of volatility spillovers from China, Singapore, South Korea, and Japan stock markets Indonesian market prove an asymmetric effect on spillover volatility. The data retrieved index each country in period 2020. analytical method used is Exponential GARCH (EGARCH) specification developed by Nelson (1991). results analysis show that there was no market. also showed DOI : https://doi.org/10.26905/jkdp.v25i2.5532
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ژورنال
عنوان ژورنال: Jurnal keuangan dan perbankan
سال: 2021
ISSN: ['1410-8089', '2443-2687']
DOI: https://doi.org/10.26905/jkdp.v25i2.5532