"http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd"> CONTAGION EFFECTS OF US FINANCIAL CRISIS ON INDONESIA | Wikanti | Economic Journal of Emerging Markets

CONTAGION EFFECTS OF US FINANCIAL CRISIS ON INDONESIA

Anika Sedyaning Wikanti

Abstract


This research analyzes the contagion effects of the US financial markets on Indonesian fi-nancial markets during the 2008 global financial crisis. It specifically investigates whether the slump in the US stock prices directly produced a slump in Indonesian stock prices, or indirectly through the slump in regional stock prices. It also examines whether the slump spilled over into rupiah exchange rate. Using Vector Autoregression and Vector Error Correction Model, the paper finds direct contagion effect of the US financial crisis into Indonesian stock markets. It also finds both direct and indirect contagion effect of the US financial crisis into foreign exchange market.

Keywords: Contagion, stock price, exchange rate, financial crisis
JEL classification numbers: G12, G15

Full Text:

PDF

Article Metrics

Metrics Loading ...

Metrics powered by PLOS ALM


Economic Journal of Emerging Markets (EJEM)
ISSN 2086-3128 (print), ISSN 2502-180X (online)
Published by:
Center for Economic Studies, Department of Economics,
Universitas Islam Indonesia, Indonesia.

Creative Commons License
EJEM by http://journal.uii.ac.id/index.php/JEP/ is licensed under a Creative Commons Attribution 4.0 International License.