Text
Hubungan Jangka Pendek dan Jangka Panjang Antara Gold, Crude Oil, dan Pasar Saham Negara Maju dan Berkembang Pada Dua Peristiwa Krisis Keuangan
This study discusses the short and long run relationship among gold, crude oil, and stock markets in emerging and developed countries in two financial crisis events: Global Financial Crisis 2008 and the financial crisis due to the COVID-19 pandemic. The analysis is divided into three sub periods for the first event and two sub periods for the second. The study uses secondary data from June 2005 to December 2017 for the first event and from January 2018 to March 2021 for the second event. Hypothesis testing is done by determining the short and long run relationship among variables. The estimation methods used are Johansen Test, VAR and VECM, Granger Test, and TY-Modified Granger Causality. The findings prove that the relationship among gold, crude oil, and the market is different in the two financial crisis event. The market became more integrated during the crisis and the post-crisis period for the global financial crisis in 2008. Meanwhile, in the financial crisis due to the COVID-19 pandemic, the market seemed to move on its own and there was no integration. The difference in these findings proves that the right investment choice as a hedging tool in these two financial crisis events is different.Ada Tabel
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| 12908 | PSB lt.2 - Karya Akhir | 1 |
| Penerbit | Depok Program Studi Manajemen Fakultas Ekonomi dan Bisnis Universitas Indonesia., 2021 |
|---|---|
| Edisi | - |
| Subjek | Stock market Gold Emerging market Causality Cointegration Crude Oil |
| ISBN/ISSN | - |
| Klasifikasi | - |
| Deskripsi Fisik | xix, 135 p. ; diagr. ; 30 cm |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |