Image of Analisis volatility spillovers nilai tukar mata uang dan indeks saham di Indonesia, Singapura, Hongkong, Korea dan Jepang dengan menggunakan modal bevariate Bekk Garch (1,1)

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Analisis volatility spillovers nilai tukar mata uang dan indeks saham di Indonesia, Singapura, Hongkong, Korea dan Jepang dengan menggunakan modal bevariate Bekk Garch (1,1)

This study aims to see the existence of volatility spillovers between exchange rate and stock indices in Indonesia, Singapore, Hong Kong, Korea and Japan. This study also aims to see the impact of stock indices volatility in Singapore, Hong Kong, Korea and Japan on stock index volatility in Indonesia, and volatility of Indonesian stock index effect on its correlation with stock indices in Singapore, Hong Kong, Korea and Japan. The data used is daily exchange rate and stock indices in Indonesia, Singapore, Hong Kong, Korea, and Japan. Using bivariate BEKK GARCH(1,1) model, the result of this study prove that there are volatility spillovers between exchange rates and stock indices in Indonesia and Singapore. However, volatility spillovers between exchange rate and stock indices are not found in Hong Kong, Korea, and Japan. Stock indices volatility in Singapore, Hong Kong, Korea and Japan also have significant influence on Indonesian stock indices volatility, and when the volatility of stock index in Indonesia rise, Indonesia?s stock index correlation with other countries also increase.Ada tabel

Ketersediaan

Call NumberLocationAvailable
7038PSB lt.2 - Karya Akhir1
Penerbit Depok Progran Studi Departemen Ilmu Manajemen Fakultas Ekonomi Universitas Indonesia.,
Edisi -
Subjek Share valuation
Exchange rates
Stock indeks
Volatility
Share index
ISBN/ISSN -
Klasifikasi -
Deskripsi Fisik xiii, 71 p. : diagr ; 30 cm & lamp
Info Detail Spesifik -
Other Version/Related Tidak tersedia versi lain
Lampiran Berkas Tidak Ada Data