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Analisis dampak pengumuman indikator makroekonomi Amerika Serikat terhadap pergerakan indeks saham di bursaefek Indonesia dan Singapura periode 2001 - 2009
The purpose of this thesis is to find out whether there are spillover effect of United States macroeconomic news announcement as the global market leading indicator to Indonesian and Singapore stock market index (IHSG and STI). The data observed in this thesis are Indonesian and Singapore stock market indexes return (IHSG and STI), and also announcement of United States macroeconomic indicators, they are GDP, Trade Balance, Unemployment Rate, CPI, and Retail Sales Level. All data are taken from 2001 to 2009 period. This research employs EGARCH modeling to explain mean and volatility movement of stock indexes and detect asymmetric volatility response. The result of this research indicates that there are significance relationship between stock indexes volatility and announcement of U.S macroeconomic indicators. This research also indicates that Indonesian and Singapore stock market indexes encounter asymmetric volatility response.Ada tabel
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| 7028 | PSB lt.2 - Karya Akhir | 1 |
| Penerbit | Depok: Progran Studi Departemen Ilmu Manajemen Fakultas Ekonomi Universitas Indonesia 2010 |
|---|---|
| Edisi | - |
| Subjek | United States Macroeconomics Stock markets Shares valuation |
| ISBN/ISSN | - |
| Klasifikasi | - |
| Deskripsi Fisik | xv, 152 p. : diagr., il. ; 30 cm & lamp |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |