Interdependensi pasar saham Indonesia dan Malaysia: perbandingan periode normal dan krisis

Arie Sukma

Abstract


Tulisan ini menganalisis interdependensi (spillover effect) pada dua tipe indeks saham yang berbeda yaitu konvensional dan shariah pada dua negara yang berbeda yaitu Indonesia dan Malaysia. Tulisan ini menggunakan data mulai dari 3 Mei 2003 hingga 30 Desember 2021 untuk menangkap kemungkinan keberadaan structural break akibat krisis keuangan global periode 2008 – 2009 dan pandemi covid-19. Dengan menggunakan spesifikasi DCC-gjrGARCH (1,1) tulisan ini menemukan bahwa efek spillover terjadi secara persisten pada korelasi indeks saham di negara yang sama dan cenderung melemah antar negara. Hal ini mengimplikasikan bahwa pasar saham Indonesia belum begitu kuat dalam mempengaruhi pasar saham Malaysia dan sebaliknya. Tulisan ini juga mengkonfirmasi bahwa selama periode krisis keuangan global korelasi antar indeks saham terlihat berluktuasi dengan kecenderungan yang meningkat. Sementara itu, selama pandemi covid-19 korelasi antar pasar saham justru menurun dibanding periode sebelum pandemi. Hal ini mengindikasikan bahwa kemungkinan keberadaan efek contagion lebih besar dimasa krisis keuangan global dibanding masa pandemi.


Keywords


DCC-GARCH; eksternalitas volatilitas; syariah; krisis keuangan; pandemi

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DOI: https://doi.org/10.30872/jinv.v19i4.12343

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