Stabilitas Bursa Efek Indonesia (BEI) : firm level analysis

Deskripsi

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