ANALISIS RAMBATAN VOLATILITAS PASAR MODAL GLOBAL DAN RILIS BERITA PEREKONOMIAN GLOBAL TERHADAP VOLATILITAS PASAR MODAL NEGARA-NEGARA ASEAN

Abstract

Projected growth in the ASEAN region is well accompanied by liberalization of the financial sector in the ASEAN region increases the flow of global investors' funds to the financial market of ASEAN countries in the form of portfolio investment. The influx of foreign portfolio investment will increase the capitalization and liquidity of the portfolio in the financial markets in the ASEAN region. Besides increasing the passion in the financial markets, the flow of foreign portfolio investment also increases the risk of financial market instability in the capital markets as an investment destination. The dominance of foreign investors in the capital markets of emerging markets such as ASEAN in the form of foreign portfolio capital increases the risk of instability of the capital markets developed as a result of potential inflows or outflows suddenly portfolio investment by foreign investors related to changes in global economic prospects. This study identifies the effect of scheduled and non-scheduled global economy related news releases on the spillover of the volatility of stock indekses United States, Japan and China as well as to the volatility of the stock indeks six ASEAN countries. The approach used in this study is Stuctural Vector Autoregressive (SVAR). The results of this study shows sighnificant spillover the volatility of stock indekses of the United States, Japan and China to the volatility of stock indekses five ASEAN countries, except Vietnam, and there are also knock-volatility of stock indekses among ASEAN countries. Meanwhile, the news release related to the global economy no significant impact on the volatility of stock indekses ASEAN countries and the process of volatility spillover stock indekses United States, Japan and China to the volatility of stock indekses six ASEAN countries.