Apakah Terjadi Perpindahan Simpanan Nasabah Bank Kecil Ke Bank Besar (Flight to Quality) Pada Saat Krisis Pandemi Covid-19?

This paper aims to explain whether flight to quality or the transfer of deposit funds from small banks to large banks actually occurred during the Covid-19 pandemic crisis as suspected by banking analysts. This research is descriptive research with a quantitative approach. The secondary data source in this study was obtained from the website of the Indonesia Deposit Insurance Corporation which lists the value of Commercial Bank Deposits from July 2013 to d. July 2020. Analysis of the data using panel data regression analysis. The results of this study conclude that 1) the Covid-19 pandemic does not significantly affect the performance of small banks in collecting deposits, 2) the Covid-19 pandemic causes flight to quality small bank deposits, namely Book 1 banks, Islamic banks, and regional banks to category banks. others who have large assets and 3) Economic growth does not affect the performance of small banks in collecting deposits during the Covid-19 Pandemic.How to Cite:Ashari, H., & Nugrahanti, T. P. (2021). Apakah Terjadi Perpindahan Simpanan Nasabah Bank Kecil ke Bank Besar (Flight to Quality) Pada Saat Krisis Pandemi Covid-19? Akuntabilitas: Jurnal Ilmu Akuntansi, 14(2), 215-230.

Dynamic Spillover Effects between the US Stock Volatility and China’s Stock Market Crash Risk: A TVP-VAR Approach

Due to the increasing linkage of China and the US stock markets today, we constructed a TVP-VAR model to study the dynamic spillover effects between the US stock volatility and China’s stock market crash risk. We found dynamic spillover effects are constantly strengthening between US stock volatility and China’s stock market crash risk: when the US stock volatility increases, China’s stock market crash risk increases. In addition, the gradual improvement of financial market openness in China, the short-term capital outflow from China, and the depreciation of the RMB exchange rate will increase China’s stock market crash risk. And, the impacts of short-term capital outflow from China are more significant. Further, the increase in China’s stock market crash risk will lead to the decline of the US stock volatility, which may be due to the flight to quality.

Commodity Transaction Tax (CTT)

This study aims to examine the time-varying correlations and volatility linkages between commodity and equity markets before and after the implementation of the commodity transaction tax (CTT) in India in 2013. The study utilizes symmetric and asymmetric DCC-EGARCH model to estimate correlation dynamics. Evidence suggests that the volatility and dynamic correlation linkages between commodities and equity markets are significantly affected by the triggering events. The time-varying correlations of Comdex-Nifty 50 show an unintended steep decline in the post-CTT period. It is an indication of a “flight to quality” phenomenon, where investors move capital from non-agricultural commodity futures to other cross markets and international markets. However, DCC of Comdex-Dhaanya pair is highly volatile in the post-CTT period and also noticed an increased correlation and volatility between the Dhaanya-Nifty 50 pair. Moreover, the correlation dynamics reveal a certain degree of interdependence between the cross markets, which are lower especially during the triggering episodes.