JKSE
t
t
t
t
t
t
DJA 11 12 13 14 15
FTSE 21 22 23 24 25
Nikkei 31 32 33 34 35
41 42 43 44 45 HSI
51 52 53 54 55 JKSE
a L a L L L L
a L a L L L L
a L L L L L
a L L L L L
a L L L L L
o o o
o o o
o o o o
o o o o
o o o o
( (
( (
( (
( ( =
( (
( (
( (
t
t
t
t
t
DJA
FTSE
Nikkei
HSI
JKSE
t
t
t
t
t
c
c
c
c
c
( (
( (
( (
( (
+
( (
( (
( (
Spesifikasi Model
t t
t t
t t
t t
11 12 13 14
e e 21 22 23 24
31 32 33 34
41 42 43 44 PDB PDB
t
t
t
t
JKSE JKSE
a L a L L L
a L a L L L
a L L L L
a L L L L
c
c
c
c
o o
o o
t o o o t
o o o
( ( (
(
( ( (
(
( ( (
(
= +
( ( (
(
( ( (
(
Model VAR Kedua:
JKSE
t
e
t
t
PDB
t
Tahapan Pengujian
Uji Stasioneritas Data : Augmented Dickey-Fuller
Test
Pengujian untuk Model Pertama:
- Cross Market Correlation
- Impulse Respone Function
- Variance Decomposition
Pengujian untuk Model Kedua:
- Impulse Respone Function
- Variance Decomposition
Skema Dampak Krisis ke Perekonomian
Global
Risk Aversion
Flight to
Quality
Financial
Crisis
Deterioration
in US
Financial
Condition
Drop in Food and
Energy Price
Decline in US
Economic Activity
Deterioration in
World Financial
Conditions
Decline in World
Economic Activity
Banking and Balance of
Payment Crisis
Increase in
Capital Outflow
SEKIAN