THE VOLATILITY TRANSMISSION OF MAIN GLOBAL STOCK'S RETURN TO INDONESIA

THE VOLATILITY TRANSMISSION OF MAIN GLOBAL STOCK'S RETURN TO INDONESIA

Stock return volatility is a very interesting phenomenon because of its impact on global financial markets. For instance, an adverse shocks in one country’s market can be transmitted to other countries’ market through a particular mechanism of transmission, causing the related markets to experience...

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Bibliographic Details
Main Authors: Linda Karlina Sari, Noer Azam Achsani, Bagus Sartono
Format: Article
Language:Indonesian
Published: Bank Indonesia 2017-10-01
Series:Bulletin Ekonomi Moneter dan Perbankan
Subjects:
GARCH asymmetric
modelling
stock market
volatility return
volatility transmission.
Online Access:https://www.bmeb-bi.org/index.php/BEMP/article/view/813

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