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Volatilitas return saham di Indonesia : pola dan perbandingan dengan Malaysia dan Singapura
During the last decade, volatility issues have been common topics for stock market participants in line with the increasing financial market liberalization. Why does volatility matter if excessive return volatility happened, it endangers stock market by blurring the usefulness of stock prices as a fair representative of company value (Karolyi, 2001). This paper will elaborate the pattern of return volatility in Indonesia, especially in periode before and during the world financial crisis. Malaysia and Singapore, were taken into account for a comparison. By using Student-t EGARCH, the existence of the asymmetric effect on return volatility upon the market shock was well documented, where volatility was more influenced by negative shocks rather than positive shocks. It was also found that during the crisis, the shock magnitude in Indonesia was greater, as compared to that of Malaysia and Singapore. Nonetheless, in term of persistence, Indonesia was in between Malaysia and Singapore..
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| PSB lt.2 - Karya Akhir | 1 |
| Penerbit | : Jurnal BPPK 2013 |
|---|---|
| Edisi | - |
| Subjek | Stock return Stock market Volatility Stock analysis |
| ISBN/ISSN | - |
| Klasifikasi | - |
| Deskripsi Fisik | - |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |