Co-movement in Asset Market: Does Global Financial Cycle Works? Empirical Evidence in Indonesia

Sri Andaiyani, Saadah Yuliana

2018

Abstract

The movement of global financial risk is more volatile and procyclical during US unconventional monetary policy. Indonesia, as one of the important EMEs in the world, also received higher capital inflows. Asset markets of home country is more vulnerable to global risk aversion movement. Therefore, this study attempts to analyze the impact of global financial cycle on asset markets in Indonesia using Vector Autoregressive model (VAR). The empirical findings of this study are twofold. First, Global financial cycle has a significant effect on stock and exchange rate markets. This result is consistent with Indonesia as an open capital account country that remain vulnerable to the global financial cycle. Second, robustness check reveals strong evidence that co-movement in Indonesian’s asset markets is affected by global financial cycle as proxy the VIX index.

Paper Citation

in Harvard Style

Andaiyani S. and Yuliana S. (2018). Co-movement in Asset Market: Does Global Financial Cycle Works? Empirical Evidence in Indonesia.In Proceedings of the 4th Sriwijaya Economics, Accounting, and Business Conference - Volume 1: SEABC, ISBN 978-989-758-387-2, pages 652-658. DOI: 10.5220/0008443606520658

in Bibtex Style

@conference{seabc18,
author={Sri Andaiyani and Saadah Yuliana},
title={Co-movement in Asset Market: Does Global Financial Cycle Works? Empirical Evidence in Indonesia},
booktitle={Proceedings of the 4th Sriwijaya Economics, Accounting, and Business Conference - Volume 1: SEABC,},
year={2018},
pages={652-658},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0008443606520658},
isbn={978-989-758-387-2},
}

in EndNote Style

TY - CONF

JO - Proceedings of the 4th Sriwijaya Economics, Accounting, and Business Conference - Volume 1: SEABC,
TI - Co-movement in Asset Market: Does Global Financial Cycle Works? Empirical Evidence in Indonesia
SN - 978-989-758-387-2
AU - Andaiyani S.
AU - Yuliana S.
PY - 2018
SP - 652
EP - 658
DO - 10.5220/0008443606520658