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Abstrak :
[ABSTRAK
Penelitian ini mengukur keterkaitan antara perbankan di Indonesia dengan perbankan di Asia Tenggara, Asia, Emerging Market, dan Dunia. Dengan menggunkan pendekatan marginal expected shortfall (MES), yang diperkenalkan Brownless dan Engle (2012), analisis dilakukan terhadap saham 9 bank di Indonesia dan indeks saham perbankan setiap kawasan yang diambil dari Datastream selama periode 2004-2014. Hasil menunjukan perbankan di Indonesia bersifat independen terhadap shock dari sistem perbankan di kawasan lain. Estimasi MES menunjukan krisis yang terjadi pada perbankan di Indonesia memiliki dampak yang jauh lebih besar terhadap bank-bank di Indonesia, dibaningankan apabila terjadi krisis pada perbankan di Asia Tenggara, Asia, Emerging Market, dan Dunia yang dampaknya relatif kecil.

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ABSTRACT
This study analyze the interconnectedness among Indonesia banking industry and banking industry in South East Asia, Asia, Emerging market, and World. Using marginal expected shortfall (MES) approach, which introduced by Brownless and Engle 2012, analysis conducted on stock of 9 banks and banking stock index in each region that taken from Datastream during 2004-2014. The result show that Indonesia banking system is relatively independent to shock in other region banking systems. The MES estimation results indicate crisis in Indonesian banking system has large impact to banks in Indonesia, compared if crisis experienced in South East Asian, Emerging Market, Asian, and World banking system that have relatively small impact, This study analyze the interconnectedness among Indonesia banking industry and banking industry in South East Asia, Asia, Emerging market, and World. Using marginal expected shortfall (MES) approach, which introduced by Brownless and Engle 2012, analysis conducted on stock of 9 banks and banking stock index in each region that taken from Datastream during 2004-2014. The result show that Indonesia banking system is relatively independent to shock in other region banking systems. The MES estimation results indicate crisis in Indonesian banking system has large impact to banks in Indonesia, compared if crisis experienced in South East Asian, Emerging Market, Asian, and World banking system that have relatively small impact]