Dataset for “The Interaction Between Sovereign Risk, Global Volatility, and Domestic Stock Returns: An Indonesian Case Study"

This dataset contains monthly and quarterly time-series data from 2012 to 2024 for Indonesian sovereign credit risk (∆CDS), global volatility (VIX), international equity proxy (MSCI World Index), Indonesia Stock Exchange Composite Index (IHSG), exchange rate (USD/IDR), and inflation. The dataset supports the empirical analysis in the article titled “The Interaction Between Sovereign Risk, Global Volatility, and Domestic Stock Returns: An Indonesian Case Study.