Image of Analisis dampak pengumuman indikator makroekonomi Amerika Serikat terhadap pergerakan indeks saham di bursaefek Indonesia dan Singapura periode 2001 - 2009

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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 NumberLocationAvailable
7028PSB lt.2 - Karya Akhir1
Penerbit Depok Progran Studi Departemen Ilmu Manajemen Fakultas Ekonomi Universitas Indonesia.,
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
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