ANALISIS MEAN, SHOCK, DAN VOLATILITY SPILLOVER ANTAR SAHAM BANK SYARIAH DAN BANK KONVENSIONAL DI INDONESIA: PENDEKATAN VARMA-GARCH DAN VARMA-AGARCH

Ilma Tazkia; Abdul Hakim

doi:10.32806/jii.v7i1.2438

Authors

Ilma Tazkia Magister Ilmu Ekonomi, Fakultas Bisnis dan Ekonomika, Universitas Islam Indonesia, Yogyakarta, Indonesia
Abdul Hakim Jurusan Ilmu Ekonomi, Fakultas Bisnis dan Ekonomika, Universitas Islam Indonesia, Yogyakarta, Indonesia

DOI:

https://doi.org/10.32806/jii.v7i1.2438

Keywords:

Bank Syariah; Bank Konvensional; Mean Spillover; Shock Spillover; Volatility Spillover; VARMA-GARCH; VARMA-AGARCH.

Abstract

Penelitian ini bertujuan menganalisis karakteristik volatilitas serta transmisi mean spillover, shock spillover, dan volatility spillover antara saham bank syariah dan bank konvensional di Indonesia. Penelitian menggunakan data harga penutupan harian empat saham bank syariah, yaitu Bank Syariah Indonesia (BRIS), Bank BTPN Syariah (BTPS), Bank Artha Graha Internasional (BANK), dan Bank Panin Dubai Syariah (PNBS), serta empat saham bank konvensional, yaitu Bank Central Asia (BBCA), Bank Rakyat Indonesia (BBRI), Bank Negara Indonesia (BBNI), dan Bank Mandiri (BMRI), selama periode 8 November 2021 hingga 7 November 2025. Analisis dilakukan secara bertahap menggunakan model GARCH (1,1), GJR-GARCH, VARMA-GARCH, dan VARMA-AGARCH untuk mengidentifikasi karakteristik volatilitas, respons terhadap guncangan, efek asimetris, serta transmisi risiko antar saham. Hasil penelitian menunjukkan bahwa volatilitas saham perbankan bersifat heterogen dan terdapat hubungan spillover yang berbeda antar pasangan saham. Beberapa saham menunjukkan adanya mean spillover, shock spillover, dan volatility spillover, yang mengindikasikan terjadinya transmisi informasi dan risiko antara kelompok bank syariah dan konvensional. Model asimetris juga menunjukkan bahwa respons volatilitas terhadap guncangan positif dan negatif tidak selalu sama pada seluruh saham. Temuan ini memberikan implikasi bagi investor dalam melakukan diversifikasi dan pengelolaan risiko portofolio, serta bagi regulator dalam memantau keterkaitan dan potensi transmisi risiko dalam sistem perbankan Indonesia. Kontribusi penelitian terletak pada analisis simultan transmisi return, guncangan, dan volatilitas antara saham bank syariah dan konvensional melalui pendekatan VARMA-GARCH dan VARMA-AGARCH dalam konteks sistem perbankan ganda Indonesia.

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