Volatility spillover in Indonesia, USA, and Japan capital market

Abstract

Globalization and advanced information technology easing us for obtaining information from global stock markets. With that condition, volatility in domestic capital market could be affected by volatility from global stock markets. That concern will be answered in this research, about volatility spillover in Indonesia, USA, and Japan capital market. This research using daily return data from each country indices from January 2004 until December 2008 employing econometric model GARCH (1,1). The result showing us that there is one way volatility spillover between Indonesia and USA (USA effecting Indonesia). Meanwhile, there is bidirectional volatility spillover between Indonesia and Japan (Japan influnced Indonesia, and vice versa).Volatility, Volatility Spillover, GARCH