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Analisis hubungan dan pengaruh perubahan nilai tukar mata uang terhadap imbal hasil, volatilitas, dan efek asimetris volatilitas imbal hasil sembilan (9) indeks saham sektor Indonesia periode Januari 2000 - Desember 2009
This research is highlighting its estimation about exchange rate exposure of Indonesia?s sector stock returns. There are three aspects which are explored, namely: sensitivity of Indonesia?s sector stock returns to exchange rate changes; sensitivity of volatility of Indonesia?s sector stock returns to volatility of exchange rate changes; and the asymmetric effect on volatility of Indonesia?s sector stock returns due to the volatility of exchange rate changes. It used nine Indonesia?s sector stock data and exchange rate between Indonesia Rupiah (IDR) to US Dollar (USD). It is not only employ the Granger Causality model, VAR model, or Impulse Response Function model, but also employs bivariate GJR GARCH (TARCH). Based on its result, it finds significant evidence of exposed returns and its asymmetric volatility effect of exchange rate exposure. In addition, this finding is able to bring implications to investors, companies, central bank, and academic environment in formulating investment decisions, currency hedging strategies, exchange rate policy, and further researches.Ada tabel
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| 6983 | PSB lt.2 - Karya Akhir | 1 |
| Penerbit | Depok: Progran Studi Departemen Ilmu Manajemen Fakultas Ekonomi Universitas Indonesia 2010 |
|---|---|
| Edisi | - |
| Subjek | Share valuation Exchange rates Capital markets Volatility Sector indeks Asymmetric effect |
| ISBN/ISSN | - |
| Klasifikasi | - |
| Deskripsi Fisik | xv, 129 p. : diagr.; 30 cm |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |