Contagion Effect Krisis Argentina dan Turki ke Negara-Negara Asia, Benarkah Terjadi?

Contagion Effect of Argentina and Turkey Crisis to Asian Countries, is it Really Happening?

  • Fitri Kartiasih Politeknik Statistika STIS
  • Adi Setiawan BPS Provinsi DKI Jakarta
Keywords: contagion effect, DCC-MGARCH, interdependence, krisis

Abstract


This study aims to examine the contagion effect of the Argentinian and Turkish crises to Asian countries using the DCC-MGARCH model. The data used is the daily closing price index of the stock index obtained from Thomson Reuters DataStream covering form the period of January 2, 2014 to May 17, 2019. The results showed that the contagion effect of the Argentinian crisis occurred in Malaysia, Korea, Thailand and the Philippines, while Indonesia, Singapore, India and China are only interdependence. The pure contagion test results also show that the contagion effect of the Turkish crisis occurred in Indonesia, Malaysia, the Philippines, Thailand, India, and China, while Singapore and Korea only interdependence with the Turkish market. ......................................... Penelitian ini bertujuan untuk menguji adanya contagion eect dari krisis Argentina dan Turki ke negara-negara Asia dengan menggunakan model DCC-MGARCH. Data yang digunakan adalah data harian harga penutupan indeks saham yang diperoleh dari Thomson Reuters DataStream mencakup periode 2 Januari 2014 hingga 17 Mei 2019. Hasil penelitian menunjukkan bahwa contagion effect dari krisis Argentina terjadi di Malaysia, Korea, Thailand, dan Filipina, sedangkan Indonesia, Singapura, India, dan Cina hanya interdependence. Hasil uji pure contagion juga menunjukkan bahwa contagion effect dari krisis Turki terjadi di Indonesia, Malaysia, Filipina, Thailand, India, dan Cina, sedangkan Singapura dan Korea hanya interdependence dengan pasar Turki.

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Published
2021-01-27
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How to Cite
Kartiasih, F., & Setiawan, A. (2021). Contagion Effect Krisis Argentina dan Turki ke Negara-Negara Asia, Benarkah Terjadi?. Jurnal Ekonomi Dan Pembangunan Indonesia, 21(1), 59-76. https://doi.org/10.21002/jepi.v21i1.1333
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