The study of banking is a widely debated topic because banks are complex entities that can both promote economic growth and cause financial crises. In the case of Indonesia, the majority of financial assets in the integrated financial system of the country flow through banks. Previous studies on spillover effects between assets have been conducted extensively. However, limited attention has been given to examining the risk of contagion of the Indonesian banking system with the stock market from a sectoral viewpoint. This study tries to bridge this gap by investigating the dynamic behavior between the banking sector and the private sector in the Indonesian stock market, specifically focusing on the behavior of spillover. The study aims to explore the dynamics of volatility spillover between the banking sector and the private sector in Indonesia. It involves a dataset spanning from December 2012 to December 2020 with 422 observation, revealing interesting insights. By analyzing the causality and contribution effects using statistical techniques, including granger causality, EGARCH (1,1), and variance decomposition based on the VAR model, the empirical findings in the Indonesian context revealed that the banking sector (BANK) is not the dominant driver of volatility spillover, but rather the basic industry and chemical (BSC) and consumer goods industry (CSM) sector tend to precede shocks affecting the banking sector. Furthermore, the BSC sector emerges as the primary driving force behind movements in the banking sector. These findings have important implications for businesses, suggesting the relevance of utilizing economic indicators such as the consumer confidence index (CCI) and purchasing managers' index (PMI) as key factors in assessing the economic environment in Indonesia.