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"ABSTRAKKrisis ekonomi Eropa mengindikasikan adanya pengaruh terhadap bursa saham Indonesia. Pengamatan terhadap hubungan indeks saham akan memberikan gambaran akan bentuk pengaruh yang terjadi. Pengujian pertama dilakukan melalui pengamatan parameter kovarians, korelasi dan volatilitas antar kawasan. Hasil pengujian wilayah Asia menunjukkan nilai kovarians yang lebih rendah dibandingkan kawasan Eropa dan tingkat volatilitas Eropa juga teramati lebih tinggi dibandingkan kawasan Asia. Pengujian kedua dilakukan dengan menggunakan permodelan contemporaneous dan dynamic volatility spillover terhadap 7 indeks saham negara dan kawasan Eropa untuk melihat efek contagion. Hasil pengujian volatility spillover menunjukkan adanya volatility spillover di hampir seluruh pasangan indeks yang diuji. Hasil pengujian contagion menunjukkan bahwa tidak terjadi contagion dari hampir seluruh pasangan indeks pengujian kecuali untuk indeks DAX.

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ABSTRACTEurozone crisis has spread accross regions and indicate an effect to Indonesian Stock Exchange. A study into stock index relationship would give a better understanding on how the crisis might influene the Indonesian Stock Exchange. The study of regional relationship was done through an analysis of variance, covariance and correlation paramaters. In crisis period, Asia showed lower covariance figures against Europe and volatility measures showed lower value in Asia than Europe. Study of contagion effect was done through contemporaneous and dynamic volatility spillover between seven Europen index agains Indonesian composite index. Result of the volatility spillover model showed that spillover happens in almost all pair of the samples. Contagion effect tests showed that there is no contagion between each of pair of sample with an exception on DAX Index."

"Penelitian ini membahas tentang analisis efek contagion pada negara-negara emerging market Kawasan Asia saat terjadi krisis finansial global yaitu subprime mortgage di Amerika Serikat dan eurodebt di Kawasan Euro. Periode penelitian berlangsung sejak 2007 hingga 2016, saat terjadi krisis dan sesudah krisis. Observasi mencakup sepuluh negara dengan menggunakan data closing price indeks. Hasil penelitian menunjukan bahwa pada saat terjadi krisis subprime mortgage, hampir seluruh negara berkembang di Kawasan Asia terkena guncangan dari krisis yaitu mengalami efek contagion. Sementara itu, pada krisis Eurozone, hanya sedikit negara yang terkena efek contagion. Mayoritas negara Emerging Market Asia tidak terpengaruh dari krisis Eurozone. ......This research analyzes of contagion effects on emerging market countries in Asia when the global financial crisis is subprime mortgage in the United States and eurodebt in the Eurozone. The research period started from 2007 to 2016, during the crisis and after the crisis. Observations include the ten countries using data from the index closing price. The results showed that at the time of the subprime mortgage crisis, all developed countries in the Asian region affected by shocks from the crisis that is experiencing the effects of contagion. While the Eurozone crisis, only a few countries affected by the contagion effect. Majority countries in EM Asia are not affected from Eurozone crisis. "