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Analisis hubungan interdependensi pasar saham Indonesia dengan beberapa pasar saham Dunia periode Pra krisis 2004 - 2006 sampai dengan periode krisis 2007 - 2009
The purpose of this thesis is to find out whether there are short-run dynamics and long-run relationships between the Indonesian stock market and a few of the biggest stock markets in the world and the effect the global financial crisis has on the relationships. The daily return of stock market indexes are used as data for the period of January 1s 2004 until the 31st of October 2009, which will be divided into two sub-periods. This interdependency test uses the VAR model for the implementation of the Granger Causality Test and the Johansen Cointegration Test. The findings of this research show that the interactions between stock markets increase in the short run on the crisis period and dominance of the USA stock markets on the other stock markets.Ada tabel
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| 6986 | PSB lt.2 - Karya Akhir | 1 |
| Penerbit | Depok Progran Studi Departemen Ilmu Manajemen Fakultas Ekonomi Universitas Indonesia., 2010 |
|---|---|
| Edisi | - |
| Subjek | Share valuation Financial crisis Granger causality Interdependency |
| ISBN/ISSN | - |
| Klasifikasi | - |
| Deskripsi Fisik | xiv, 103 p. : diagr. ; 30 cm |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |