Authors:
Yunita Astikawati
and
Avelius Dominggus Sore
Affiliation:
Economic Education, STKIP Persada Khatulistiwa, Jl. Pertamina-Sengkuang, Sintang, Indonesian., Indonesia
Keyword(s):
Return Volatility, Emerging Market, Mature Market
Abstract:
The mature market dominates and affects the economic conditions in the emerging market. One of the
influences occurs in stock trading in the capital market. Therefore, it is necessary to do analysis to prove
that there is an influence of volatility return on the mature stock index on the emerging stock index. The
mature market index used are NYA, NASDAQ, FTSE100, HANGSENG, SSEC, and STI. The indices of
emerging markets are the IDX, SENSEX, SET, JSE, and TSEC. This analysis conducted by using the data
from 2014-2018. Data analysis used an econometry approach that is granger causality, VAR, and
ARCH/GARCH. The analysis which has done showed some results. First, the results of the analysis showed
a reciprocal relationship between the indices in the mature market and emerging market. Secondly, regional
factors have an impact on each of these indices that can be seen from the reciprocal relationship between
mature and emerging index residing within the same area. Thirdly, the return volat
ility index mature market
simultaneously does not affect on the return volatility index emerging market. Therefore, it is needed further
analysis to predict the emerging market influence on the mature market in a shorter time.
(More)