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Korelasi Harga Indeks Pasar Berkembang dengan Harga Derivatif Sebelum dan Saat Covid-19 Menggunakan Dynamic Conditional Correlation GARCH (Laporan Magang)
The price movements of investment instruments in the capital market closely interact with each other. Instruments such as stocks can be directly or indirectly affected by the price movements of other instruments such as commodities. The correlation between these financial assets creates opportunities for investors to diversify assets. Then, the onset of the Covid-19 pandemic in early 2020 resulted in many unusual price movements in financial assets. Using the Dynamic Conditional Correlation-GARCH method and variables in the form of price of MSCI Emerging Markets Index, Bursa Malaysia Crude Palm Oil Futures, WTI Crude Oil Futures, USDA Wheat Spot, S&P500 Volatility Index, and USD Index, this study found changes between each variable pair during Covid-19 pandemic which then affect the ideal hedging ratio and ideal portfolio weighting between each asset pair.Ada Tabel
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| 12862 | PSB lt.2 - Karya Akhir | 1 |
| Penerbit | Depok: Program Studi Manajemen Fakultas Ekonomi dan Bisnis Universitas Indonesia 2021 |
|---|---|
| Edisi | - |
| Subjek | Derivatives Investment decision Covid 19 Asset Diversification Emerging Markets Index General Financial Markets Portfolio Choice |
| ISBN/ISSN | - |
| Klasifikasi | - |
| Deskripsi Fisik | xiv, 126 p. ; diagr. ; 30 cm |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |