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Risiko Spesifik Bisnis dan Volatilitas Pasar Saham sebagai Estimator Risiko Makroekonomi Indonesia Periode 2004 - 2020
This study was conducted with the aim of knowing the effect of cross-sectional risk, which comprises business-specific risk and stock market volatility, as a variable for estimating macroeconomic risk in Indonesia. This study observes public companies in Indonesia and Indonesian macroeconomic data in the period 2004 - 2020. In this study, the authors use term spread as the dependent variable that reflects macroeconomic risk, and the cross-sectional risk comprises financial friction, cash flow, debt-service-ratio, and stock market volatility as independent variables. By using the Autoregressive Distributed Lag Model method, this study shows that business-specific risk and stock market risk are able to estimate macroeconomic risk, so that it becomes an early signal of economic shock, such as recession or high inflation in the future. The model in this study also examines the cross-sectional risk relationship with other macroeconomic indicators, such as the consumer confidence index, money supply, and Indonesia's trade balance. Each variable represents its own meaning in explaining Indonesia's macroeconomic risk..Ada Tabel
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| 13068 | PSB lt.2 - Karya Akhir | 1 |
| Penerbit | Depok: Program Studi Manajemen Fakultas Ekonomi dan Bisnis UI 2021 |
|---|---|
| Edisi | - |
| Subjek | Macroeconomic Stock market Volatility Business risk |
| ISBN/ISSN | - |
| Klasifikasi | - |
| Deskripsi Fisik | xii, 87 p. ; diagr. ; 30 cm |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |