Image of Analisa tail risk pada imbal hasil indek saham, nilai tukar, dan suku bunga di Jepang, Cina, Korea Selatan, Negara ASEAN-5, dan Amerika Serikat

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Analisa tail risk pada imbal hasil indek saham, nilai tukar, dan suku bunga di Jepang, Cina, Korea Selatan, Negara ASEAN-5, dan Amerika Serikat

This study aims to analyze tail risk on three variables that generate the market risk. They are equity index, exchange rate, and interest rate risk in Japan, China, South Korea, ASEAN-5 Countries, and United States of America. In this study, GARCH-M-GED (General Autoregressive Conditional Heteroschedascity in Mean with General Error Distribution Parameter ) method used to find out about the establishment and magnitude of the tail risk, and will be completed with VAR (Vector Autoregressive) IRF(Impulse Response Function) method in order to analyze the pattern of global transmission in each variable. This study also done a comparative study between daily time series data with weekly time series data to analyze the resistence of investment towards tail risk, based on the investment time horizon. Finally, this study find out that tail risk is something prevalent, and the highest volatility showed by interest rate variable. And weekly time horizon investment considered more resistance toward tail risk rather than daily time horizon investment.Ada tabel

Ketersediaan

Call NumberLocationAvailable
8381PSB lt.2 - Karya Akhir1
Penerbit Depok Program Studi Manajemen, Fakultas Ekonomi Universitas Indonesia.,
Edisi -
Subjek Share valuation
United States
Exchange rate
Interest rate
ASEAN
Japan
China
Return on equity
South Korea
Markets risks
Tail risk
ISBN/ISSN -
Klasifikasi -
Deskripsi Fisik xvi, 192 p. : diagr. ; 30 cm.
Info Detail Spesifik -
Other Version/Related Tidak tersedia versi lain
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