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Stabilitas Bursa Efek Indonesia (BEI) : firm level analysis
This research is aims to test the financial market stability in the BEI from impact of systematic shock in the micro structure level, which is analyze the individual firm and will be aggregate as a whole financial market. The test will be in quantitative research with the quantile regression method which can solve the conditional style-fact of financial data. The data is taken from the survivor stocks of LQ 45 in 2005-2009. Empirical results show that as an aggregate, BEI is in unstable conditions. In contrast, in firm level, there are some stable firm stocks. Furthermore, the dominant source of risk which most influence is from idiosyncratic shock. Finally, as an aggregate, BEI has a symmetric shock propagation in extreme market condition.Ada tabel
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| 7250 | PSB lt.2 - Karya Akhir | 1 |
| Penerbit | Depok: Program Studi Manajemen Fakultas Ekonomi Universitas Indonesia 2011 |
|---|---|
| Edisi | - |
| Subjek | Shares Stock exchanges Capital markets Financial stability |
| ISBN/ISSN | - |
| Klasifikasi | - |
| Deskripsi Fisik | xv, 133 p. : diagr. ; 30 cm |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |