PENGARUH PERGERAKAN RETURN BURSA SAHAM NEGARA ASEAN: TINJAUAN FENOMENA SPILLOVER ATAUKAH DAMPAK NILAI TUKAR?
Abstract
In March 2018, the United States announced a policy regarding import duties which contained restrictions on incoming goods from the People's Republic of China and early 2020, the whole world was faced with the COVID-19 pandemic causing many changes to macroeconomic indicators in many countries, including the stock market. This study uses historical data on the stock markets of the Americas, Indonesia, Singapore, Malaysia, the Philippines and Vietnam and the exchange rates of the Indonesian, Singaporean, Malaysian, Philippine and Vietnamese currencies against the USD to test whether there is a significant influence between the returns on the American stock market and the exchange rates. money of each country on stock market returns in Indonesia, Singapore, Malaysia, the Philippines and Vietnam. The author analyzes stock market returns using the Threshold GARCH method and continues by using the Standard GARCH method for heteroscedastic stock market returns and the Vector Autoregressive (VAR) method for non-heteroscedastic stock market returns. The results of the study show that the return on the American stock market and the exchange rates of currencies of ASEAN countries against the USD are related to the stock market returns of Indonesia, Singapore, Malaysia, the Philippines and Vietnam
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