TRANSMISSION OF STOCK RETURN VOLATILITY IN INDONESIA (IHSG) TOWARDS USA (DJIA), HONGKONG (HSII), AND SINGAPORE (STI)

Abstract

This study will analyze how the stock market volatility transmission between Indo- nesia towads U.S. stock market, Hong Kong and Singapore. This study used the data stock market volatility in period 2000 to 2010. The dynamic response of the volatility of the stock market return in Indonesia of the stock market return volatility shocks in the United States, Hong Kong, and Singapore for 10 days after the shock occurs. On the stock markets of In- donesia, the response given when there are shocks to the volatility of the return of most consecutive returns is volatility in Indonesia itself (IHSG), followed by the volatility of return in Singapore (STI), return volatility in Hong Kong (HSII), and Last is the return volatility in the U.S. (DJIA). In addition, after the shocks, the volatility of stock index return will be rela- tively stable after a period-4. the variability of the volatility of stock returns in Indonesia due to the contribution volatility of stock returns of Indonesia itself in the first period by 73 per- cent. The second contribution is a contributor to the volatility of stock returns from Singapore by 22.3 percent, followed by the volatility of stock returns in Hong Kong (4.5 percent) and the volatility of stock returns in the United States (0.15 percent).