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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 Number | Location | Available |
|---|---|---|
| 7038 | PSB lt.2 - Karya Akhir | 1 |
| Penerbit | Depok: Progran Studi Departemen Ilmu Manajemen Fakultas Ekonomi Universitas Indonesia 2010 |
|---|---|
| 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 |