Spillover Volatilitas dan Efek Kontagion Antar Kelas Aset: Bukti Empiris Dari Pandemi dan Ketegangan Geopolitik

Abstract

Penelitian ini bertujuan untuk menganalisis spillover volatilitas antar kelas aset selama dua periode krisis global: pandemi Covid-19 dan konflik Rusia–Ukraina. Penelitian ini menggunakan pendekatan Generalized Forecast Error Variance Decomposition (GFEVD) dalam kerangka Diebold-Yilmaz untuk mengukur arah dan besaran spillover antar kelas aset, termasuk pasar saham, obligasi pemerintah, emas, energi, cryptocurrency, dan pangan. Hasil analisis menunjukkan bahwa tingkat Total Spillover Index sebesar 23,2% kondisi normal, namun melonjak tajam selama krisis menjadi 85,71% saat pandemi dan 79,51% selama konflik geopolitik, mengindikasikan adanya efek contagion yang kuat. Aset IHSG dan obligasi sebagai net receiver, mencerminkan ketergantungan terhadap shock eksternal. Emas berperan sebagai net transmitter pada periode normal, namun berubah menjadi net receiver selama masa krisis, sejalan dengan fungsinya sebagai safe haven. Bitcoin menunjukkan pola yang dinamis, bertindak sebagai transmitter saat pandemi dan receiver saat konflik geopolitik.

This study aims to analyze volatility spillovers across asset classes during two major global crises: the Covid-19 pandemic and the Russia–Ukraine conflict. Using the Generalized Forecast Error Variance Decomposition (GFEVD) approach within the Diebold-Yilmaz framework, the study measures the direction and magnitude of spillovers among various asset classes, including equity markets, government bonds, gold, energy, cryptocurrency, and food commodities. The results show that the Total Spillover Index stood at 23.2% under normal conditions but surged sharply during crises, 85.71% during the pandemic and 79.51% during the geopolitical conflict, indicating a strong contagion effect. The Indonesian stock market (IHSG) and government bonds acted as net receivers, reflecting their vulnerability to external shocks. Gold functioned as a net transmitter under normal conditions but shifted to a net receiver during periods of crisis, consistent with its role as a safe haven. Bitcoin exhibited dynamic behavior, acting as a transmitter during the pandemic and switching to a receiver during the geopolitical conflict.