CONTAGION DAN SPILLOVER EFFECT PASAR KEUANGAN GLOBAL SEBAGAI EARLY WARNING SYSTEM

Abstract

This research aims to analyze the ef-fect of mature market volatility and emerging market using Multivariate GARCH-VAR. The effect, which can be from internal and external factors, is able to affect financial system stability. In this study, contagion and spillover effects are parts of the external factors. The data estimation shows that contagion effect, both from mature to emerging market and from amongst financial regional market existing. In vice versa the spillover effect will not happen. Because of that, the Central Bank must pay attention more and take more role on the international financial market interaction.