BibTex Citation Data :
@article{JBS14136, author = {Dwi Prasetyo}, title = {LEAD-LAG DAN VOLATILITY SPILL OVER ALIRAN INVESTASI ASING PADA PERDAGANGAN SAHAM DI BURSA EFEK INDONESIA TAHUN 2009 – 2012}, journal = {JURNAL BISNIS STRATEGI}, volume = {21}, number = {1}, year = {2017}, keywords = {foreign investment, market return, volatility spillover}, abstract = { Along with the growing of economic development in Indonesia, IDX became one of promising capital market and hence, increase foreign investment inflow. As larger amount of foreign capital involved in stock market, it might cause the market become more vulnerable to shock. Potential damage may come from short run foreign investment, which is very responsive to any changes in market sentiments. This research conducted by using IDX daily market and foreign transaction data over the periode January 2009-December 2012 and employing Granger Causality test, Vector Autoregression, Impulse Response and Variance Decomposition. The result shows that there is bidirectional relationship between foreign investment and market return in IDX. Moreover, by employing EGARCH this research shows the existence of volatility spillover between foreign investment and market return. From the findings, it can be summarized that as foreign investment flowing in, it will increases the price of equity. However, foreign investment rushing out in large amount will give bad impact to the market return and make it worse by increasing market volatility. }, issn = {2580-1171}, pages = {46--61} doi = {10.14710/jbs.21.1.46-61}, url = {https://ejournal.undip.ac.id/index.php/jbs/article/view/14136} }
Refworks Citation Data :
Along with the growing of economic development in Indonesia, IDX became one of promising capital market and hence, increase foreign investment inflow. As larger amount of foreign capital involved in stock market, it might cause the market become more vulnerable to shock. Potential damage may come from short run foreign investment, which is very responsive to any changes in market sentiments.
This research conducted by using IDX daily market and foreign transaction data over the periode January 2009-December 2012 and employing Granger Causality test, Vector Autoregression, Impulse Response and Variance Decomposition. The result shows that there is bidirectional relationship between foreign investment and market return in IDX.
Moreover, by employing EGARCH this research shows the existence of volatility spillover between foreign investment and market return. From the findings, it can be summarized that as foreign investment flowing in, it will increases the price of equity. However, foreign investment rushing out in large amount will give bad impact to the market return and make it worse by increasing market volatility.
Article Metrics:
Last update:
Last update: 2025-04-26 10:13:16
Author(s) Rights
In order for Diponegoro International Journal of Business (DIJB) to publish and disseminate research articles, we need publishing rights (transferred from author(s) to publisher). This is determined by a publishing agreement between the author(s) and DIJB. This agreement deals with the transfer or license of the copyright of publishing to DIJB, while authors still retain significant rights to use and share their own published articles. DIJB supports the need for authors to share, disseminate and maximize the impact of their research and these rights, in any databases.
As an author, you have rights to a large range of uses of your article, including use by your employing institute or company. These Author rights can be exercised without the need to obtain specific permission. Authors publishing in DIJB has wide rights to use their works for teaching and scholarly purposes without needing to seek permission, including:
use for classroom teaching by Author or Author's institution and presentation at a meeting or conference and distributing copies to attendees; use for internal training by the author's company; distribution to colleagues for their research use; use in a subsequent compilation of the author's works; inclusion in a thesis or dissertation; reuse of portions or extracts from the article in other works (with full acknowledgement of final article); preparation of derivative works (other than commercial purposes) (with full acknowledgement of final article); voluntary posting on open web sites operated by author or author’s institution for scholarly purposes, (but it should follow the open-access license of Creative Common CC-by-SA License).
Authors/readers/third parties can copy and redistribute the material in any medium or format, as well as remix, transform, and build upon the material for any purpose, even commercially, but they must give appropriate credit (the name of the creator and attribution parties (authors detail information), a copyright notice, an open-access license notice, a disclaimer notice, and a link to the material) and provide a link to the license.
Authors/readers/third parties can read, print and download, redistribute or republish the article (e.g. display in a repository), translate the article, download for text and data mining purposes, re-use portions or extracts from the article in other works, sell or re-use for commercial purposes, remix, transform, or build upon the material, they must distribute their contributions under the same license as the original Creative Commons Attribution-ShareAlike (CC BY-SA).
Copyright Transfer Agreement for Publishing (Publishing Right)
The authors submitting a manuscript do so on the understanding that if accepted for publication, the copyright for publishing (publishing right) of the article shall be assigned/transferred to the Department of Management, Faculty of Economics and Business, Universitas Diponegoro as the publisher of DIJB.
Upon acceptance of an article, authors will be asked to complete a 'Copyright Transfer Agreement for Publishing (CTAP)'. An e-mail will be sent to the Corresponding Author confirming receipt of the manuscript together with a CTAP form by the online version of this agreement.
DIJB, the publisher, and the editorial board make every effort to ensure that no wrong or misleading data, opinions or statements be published in the journal. In any way, the contents of the articles and advertisements published in DIJB are sole and exclusive responsibility of their respective authors and advertisers.
Remember, even though we ask for a transfer of copyright for publishing (CTAP), our journal Author(s) retain (or are granted back) significant scholarly rights as mentioned before.
The Copyright Transfer Agreement for Publishing (CTAP) Form can be downloaded here
View My Stats
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
