The Effect of Return Volatility Mature Market on Emerging Market: Economometry Model Approach-Granger Causality, Vector Autoregression, Autocorrelation Condition Heteroscedasticity/General Autocorrelation Condition Heteroscedasticity

Yunita Astikawati, Avelius Dominggus Sore

2019

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 volatility 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.

Paper Citation

in Harvard Style

Astikawati Y. and Sore A. (2019). The Effect of Return Volatility Mature Market on Emerging Market: Economometry Model Approach-Granger Causality, Vector Autoregression, Autocorrelation Condition Heteroscedasticity/General Autocorrelation Condition Heteroscedasticity.In Proceedings of the International Conference of Business, Economy, Entrepreneurship and Management - Volume 1: ICBEEM, ISBN 978-989-758-471-8, pages 211-220. DOI: 10.5220/0009961402110220

in Bibtex Style

@conference{icbeem19,
author={Yunita Astikawati and Avelius Dominggus Sore},
title={The Effect of Return Volatility Mature Market on Emerging Market: Economometry Model Approach-Granger Causality, Vector Autoregression, Autocorrelation Condition Heteroscedasticity/General Autocorrelation Condition Heteroscedasticity},
booktitle={Proceedings of the International Conference of Business, Economy, Entrepreneurship and Management - Volume 1: ICBEEM,},
year={2019},
pages={211-220},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0009961402110220},
isbn={978-989-758-471-8},
}

in EndNote Style

TY - CONF

JO - Proceedings of the International Conference of Business, Economy, Entrepreneurship and Management - Volume 1: ICBEEM,
TI - The Effect of Return Volatility Mature Market on Emerging Market: Economometry Model Approach-Granger Causality, Vector Autoregression, Autocorrelation Condition Heteroscedasticity/General Autocorrelation Condition Heteroscedasticity
SN - 978-989-758-471-8
AU - Astikawati Y.
AU - Sore A.
PY - 2019
SP - 211
EP - 220
DO - 10.5220/0009961402110220