Dataset for "Systemic Risk Spillovers among Indonesia's State-Owned Banks: An Econometric Network and Quantile-Based Approach"

This dataset accompanies the article titled “Systemic Risk Spillovers among Indonesia’s State-Owned Banks: An Econometric Network and Quantile-Based Approach.” It was compiled to examine systemic risk transmission, interbank connectedness, and tail-risk spillovers among Indonesia’s state-owned banks using econometric network analysis and quantile-based modelling. The dataset contains processed financial time-series observations for Indonesian state-owned banks from 1 January 2015 to 31 August 2025. It supports the empirical analysis of risk spillovers across banks under different market conditions, particularly in lower-tail, median, and upper-tail states. The dataset enables replication of the main econometric procedures used in the study, including return construction, volatility or risk-proxy estimation, network connectedness measurement, and quantile-based spillover analysis. The study focuses on the systemic relevance of state-owned banks within Indonesia’s financial system. By providing bank-level data and derived analytical outputs, this dataset allows researchers to examine how shocks are transmitted among major banking institutions, how spillover intensity varies across quantiles, and which banks act as dominant transmitters or receivers of systemic risk during normal and stressed market conditions.