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"This book examines the dynamic relationship and volatility spillovers between crude oil prices, exchange rates and stock markets of India. Unfortunately very little research has been conducted to analyze the volatility spillovers and dynamic relationship between crude oil prices, exchange rates and stock markets of India."

"Penelitian ini bertujuan untuk menganalisis hubungan kointegrasi dan kausalitas antara harga emas, harga minyak mentah, nilai tukar Rupiah, dan Produk Domestik Bruto (PDB) tahun 1999-2018. Penelitian ini merupakan penelitian kuantiatif dengan menggunakan data selama 20 tahun yang dimulai dari tahun 1999 hingga 2018. Data pada penelitian ini merupakan data time series dengan menggunakan data kuartal dari tahun 1999 hingga 2018. Teknik analisis yang digunakan meliputi pengujian Augmented Dickey-Fuller Test, Lag Optimum, Johansen Cointegration Test, Vector Error Correction Model (VECM), VEC Granger Causality/Block Exogeneity Wald Test, dan Toda Yamamoto modified Granger Causality. Hasil pada penelitian ini menunjukkan bahwa variabel harga emas, harga minyak mentah, nilai tukar Rupiah, dan Produk Domestik Bruto (PDB) memiliki hubungan kointegrasi dan variabel harga emas memiliki hubungan kausalitas dengan harga minyak mentah dan nilai tukar Rupiah. Selain itu juga terdapat hubungan kausalitas pada Produk Domestik Bruto (PDB) terhadap harga emas. Berdasarkan hasil penelitian, dapat disimpulkan bahwa emas merupakan salah 1 jenis investasi yang tepat dipilih oleh investor yang bertujuan untuk menjaga asetnya agar tidak terdepresiasi. Sementara itu, apabila kondisi nilai tukar mata uang mengalami kondisi paling ekstrim maka pemerintah dapat menerapkan kebijakan moneter dengan cara melakukan apresiasi, revaluasi, dan sterilisai/intervensi nilai mata uang. Saran untuk penelitian selanjutnya adalah dengan menambahkan variabel indeks harga saham.......This research aims to analyze the cointegration and causality relationship between the price of gold, the price of crude oil, the exchange rate of Rupiah, and the Gross Domestic Product (GDP) in 1999-2018. This research is quantitative research using data for 20 years starting from 1999 to 2018. The data in this study are time series data using quarterly data from 1999 to 2018. The analysis technique used includes testing the Augmented Dickey-Fuller Test, Lag Optimum, Johansen Cointegration Test, Vector Error Correction Model (VECM), VEC Granger Causality / Block Exogeneity Wald Test, and Yamamoto Toda modified Granger Causality. The results of this study indicate that the variable price of gold, crude oil prices, the exchange rate of Rupiah, and Gross Domestic Product (GDP) has a cointegration relationship and the variable price of gold has a causal relationship with crude oil prices and the Rupiah exchange rate. In addition, there is also a causality relationship on Gross Domestic Product (GDP) to the price of gold. Based on the results of the study, it can be concluded that gold is one type of investment that deserves to be chosen by investors who want to buy assets so as not to depreciate. Meanwhile, changing the exchange rates for exchange is the most complicated issue, then replace the exchange money by conducting appreciation, revaluation, and sterilizing / intervening currency values. Suggestions for further research is to add stock price index variables."

"This article contributes to country specific result on the responses of sector stock indices to crudeoil price changes. Using linear and asymmetric models and by studying the association of crude oiland stock price, this article aims to explain about the short-term responses of Indonesian sector stockindices to crude oil price changes. Besides, we also try to figure out whether there are asymmetricresponses within. Our findings suggest that the strength and the sensitivity of this association varyacross sectors, and the effects are positive for all sectors. We also find strong significance of asymmetryreactions for Agriculture and Consumer Goods sector stock returns due to changes in crudeoil price."

"Modeling the correlation of assets returns volatilities across different markets or segments of amarket has practical value for portfolio selection and diversification, market regulation, and riskmanagement. This paper therefore evaluates the nature of time-varying correlation between volatilitiesof stock market and crude oil returns in Nigeria using Dynamic Conditional Correlation-GeneralisedAutoregressive Conditional Heteroscedasticity (DCC-GARCH) model. Results from DCCGARCH(1,1) model show evidence of volatility clustering and persistence in Nigeria stock marketand crude oil returns. The results also show that there is no dynamic conditional correlation in ARCHeffects between stock market returns and crude oil prices in Nigeria. The results further show thatthere is strong evidence of time-varying volatility correlation between stock market and crude oilreturns volatility. The findings will help shape policy-making in risk management and market regulationin Nigeria."

"ABSTRAKKebijakan subsidi erat kaitannya dengan harga minyak dikarenakan keputusandalam kebijakan subsidi minyak tergantung pada fluktuasi harga minyak dunia.Penelitian ini mencoba menganalisis hubungan antara guncangan harga minyakdengan variabel - variabel ekonomi makro termasuk faktor fiskal di Indonesiatahun 1990 sampai dengan 2013. Penggunaan SVARX, Structural AutoregressionModel dengan penambahan variabel eksogen, menciptakan kemungkinan untukmenganalisis interaksi dinamis antara variabel – variabel yang diestimasi. Analisisimpulse response menunjukkan bahwa pertumbuhan ekonomi, dalam hal ini GDPriil, merespon positif terhadap guncangan harga minyak dalam jangka pendek.Pertumbuhan ekonomi merespon secara negatif terhadap guncangan harga minyakpada kuartal keenam. Selain itu, otoritas fiskal dan moneter merespon guncanganharga minyak dengan meningkatkan subsidi pemerintah dan tingkat bunga. Dalamhal ini, respon dari pemerintah dengan melindungi perekonomian Indonesia dariguncangan harga minyak melalui kebijakan fiskal dan moneter dinilai cukupefektif. Di sisi lain, belanja pemerintah memberikan respon yang positif terhadapguncangan subsidi minyak. Sementara itu, tingkat inflasi membutuhkan time laguntuk merespon guncangan subsidi minyak dan memberikan respon positif setelahkuartal kedua, GDP riil merespon secara positif terhadap guncangan subsidiminyak. Hal ini berarti bahwa kebijakan subsidi mempengaruhi pertumbuhanekonomi secara positif meskipun harus dibiayai dengan menggunakan belanjapemerintah yang tinggi.

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ABSTRACTThere is a close relationship between oil price and subsidy spending sincedecision in subsidy policy depends on the fluctuation of oil prices. This studyexplores the relationship between oil price shocks and macroeconomic variablesincluding fiscal factors in Indonesia during 1990 – 2013. The use of StructuralVector Autoregression Model with exogenous variables (SVARX) creates thepossibility to capture dynamic interactions between estimated variables. Impulseresponse analysis shows that economic growth represented by real GDP respondspositively to oil price shocks in the short run. Negative response of economicgrowth to oil price shocks appears after six quarters. Furthermore, fiscal andmonetary authorities respond to oil price shocks by increasing governmentsubsidy and interest rate. In this case, response from government by protectingIndonesian economy from oil price shocks through fiscal and monetary policycould be effective in the short run. On the other hand, government spendingresponds positively to oil subsidy shocks. While inflation rate needs time lag inorder to respond oil subsidy shocks and responds positively after second quarter,real GDP (in percentage change) responds directly and positively to oil subsidyshocks. It could mean that subsidy policy temporarily affects economic growthalthough it should be paid using high government expenditure."

"Penelitian ini bertujuan menganalisa hubungan kausalitas Granger antara variabel peringkat risiko negara, ketidakpastian kebijakan ekonomi (EPU), sentimen investor dan harga minyak terhadap returns saham secara spesifik di pasar negara berkembang selama periode Januari 2010 hingga Desember 2019 dengan menggunakan model kausalitas nonlinear non-parametrik Granger serta Vector Error Correction Model (VECM), dan hasil dari penelitian menemukan hubungan kausalitas Granger-VECM jangka pendak dan jangka panjang pada variabel harga minyak yang cukup signifikan dalam memprediksi returns saham di pasar negara berkembang serta dibutuhkan penelitian lebih lanjut atas penggunaan Credit Default Swap sebagai proksi variabel peringkat risiko negara dalam memprediksi returns saham.......This research analyzes the causal relationship between country risk rating, economic policy uncertainty (EPU), investor sentiment, oil prices and equity returns in several emerging markets over  a decade. We use the nonlinear non-parametric Granger causality model and Vector Error Correction model to describe and investigate the causal correlation between country risk rating, economic policy uncertainty, oil prices, and investor sentiment and equity returns at the original level. We find Granger causal relationship-VECM with oil prices to predict stock returns in emerging markets and further research is suggested to investigate the usage of Credit Default Swap as country risk rating proxy to predict stock markets returns."

"Penelitian ini bertujuan untuk mengetahui pengaruh makro ekonomi dan komoditas terhadap Jakarta Islamic Index (JII) periode 2013-2017. Variabel makro ekonomi yang diuji adalah inflasi, nilai tukar mata uang asing dan suku bunga, sedangkan variabel komoditas meliputi harga minyak dan harga emas. Penelitian ini menggunakan data sekunder kuantitatif dan diuji menggunakan model regresi data time series. Hasil penelitian yang diperoleh adalah tingkat inflasi berpengaruh negatif signifikan terhadap Jakarta Islamic Index, nilai tukar mata uang asing berpengaruh positif tidak signifikan terhadap Jakarta Islamic Index, suku bunga berpengaruh positif tidak signifikan terhadap Jakarta Islamic Index, harga minyak berpengaruh negatif tidak signifikan terhadap Jakarta Islamic Index dan harga emas berpengaruh positif signifikan terhadap Jakarta Islamic Index. ......This study aims to determine the effec of macroeconomics and commodities on Jakarta Islamic Index (JII) for the period 2013-2017. The macroeconomic variables tested were inflation, foreign exchange rates and interest rates, while commodity variables were oil prices and gold prices. This study used quantitative secondary data and a time series data for regression model. The result of the research found that the inflation rate has a significant negative effect on the Jakarta Islamic Index, the exchange rate of foreign currencies has a positive and insignificant effect on the Jakarta Islamic Index, interest rates have a positive and insignificant effect on the Jakarta Islamic Index, oil prices have no significant effect on the Jakarta Islamic Index and the price of gold has a significant positive effect on the Jakarta Islamic Index."