Abstract
The global crisis has led to the transmission of economic hardships among nations, impacting multiple countries, with significant effect on stock prices. This study investigates the financial contagion models between Indonesia and the United States, by specifically examining the IDX Composite (JKSE) and the Dow Jones Industrial Average (DJI). The Markov Switching Bayesian Vector Autoregressive (MSBVAR) method was employed, utilizing a Bayesian framework with a particular emphasis on the MSVAR model for parameter estimation. Analysis of the data from January 1995 to December 2021 revealed that both the JKSE and DJI markets experienced four crisis periods and five periods of non-crisis, indicating notable changes in market conditions. Pearson's correlation analysis verifies the presence of financial contagion between the two stock markets during periods of non-crisis, suggesting a relatively pronounced transmission of financial influences from the United States on Indonesia during those times, thus impacting economic growth. However, the brief duration of the crisis period poses challenges in conclusively identifying in the occurrence of financial contagion during this time. It can be predicted to occur during the transition from the non-crisis period to the crisis period. The non-crisis period lasted for 63.2 months, while the crisis period lasted for 1.2 months.
Original language | English |
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Article number | 060019 |
Journal | AIP Conference Proceedings |
Volume | 3201 |
Issue number | 1 |
DOIs | |
Publication status | Published - 15 Nov 2024 |
Event | 9th SEAMS-UGM International Conference on Mathematics and its Applications 2023: Integrating Mathematics with Artificial Intelligence to Broaden its Applicability through Industrial Collaborations - Yogyakarta, Indonesia Duration: 25 Jul 2023 → 28 Jul 2023 |