Haryo Suparmun_abstract_1612012


 Haryo Suparmun

Sekolah Tinggi Ilmu Ekonomi (STIE) Trisakti
Jl. Kiai Tapa No.20 Grogol, Jakarta Barat, 11440

Korespondensi dengan Penulis:
Haryo Suparmun: Telp. +62 21 566 6717; Fax. +62 21 563 5480
E-mail: haryosuparmun@hotmail.com.


This study aimed to detect and identify short-term dynamic linkages between Indonesian stock market and Asia-Pacific stock markets during the period of January 2nd, 2003 until December 31st, 2009 by using the impulse response function analysis and forecast error variance decomposition. The period was divided into sub-period of before, during, and after the global financial crisis. The results showed that Indonesian stock market responded positively to each shock caused by the Asia-Pacific stock markets. The response became stronger during crisis sub-period. This condition proved a significant increase of short-term dynamic linkages between Indonesian stock market and other Asia Pacific during the global financial crisis. After crisis sub-period, many Asian-Pacific stock markets’ shocks were responded negatively by Indonesian stock market. Australian, China and Hong Kong stock markets were the top three in share among the countries of the Asia Pacific contributing to influence the Indonesian stock market movements

Key words: stock market, global financial crisis, impulse response function, forecast error variance decomposition