Image of Korelasi Harga Indeks Pasar Berkembang dengan Harga Derivatif Sebelum dan Saat Covid-19 Menggunakan Dynamic Conditional Correlation GARCH (Laporan Magang)

Text

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 NumberLocationAvailable
12862PSB lt.2 - Karya Akhir1
Penerbit Depok Program Studi Manajemen Fakultas Ekonomi dan Bisnis Universitas Indonesia.,
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