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Volatility Spillovers antara Pasar Minyak Mentah dengan Pasar Saham Konvensional dan Syariah
This study aims to observe the volatility spillovers between crude oil market and conventional market versus islamic stock market in ASEAN countries. The sample used in this study consists of price of WTI (West Texas Intermediate) crude oil as well as conventional and sharia stock indices from 5 ASEAN countries, namely Singapore, Malaysia, Indonesia, the Philippines, and Thailand. The type of data used is time series, with a period spanning from 2010 to 2021. The volatility spillover is analyzed using BEKK-GARCH bivariate model. The findings of the study indicate that there is volatility spillover from the stock market to all observed stock markets, both conventional and islamic. This study also analyzes the volatility of spillovers in the period before and before the oil price crisis in 2014. The results show that the amount of volatility transferred before the crisis is greater than after the crisis..Ada Tabel
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| 13517 | PSB lt.2 - Karya Akhir | 1 |
| Penerbit | Depok: Program Studi Manajemen Fakultas Ekonomi dan Bisnis UI 2022 |
|---|---|
| Edisi | - |
| Subjek | Volatility spillover Crude oil prices Islamic stock market Conventional Stock Market |
| ISBN/ISSN | - |
| Klasifikasi | - |
| Deskripsi Fisik | xvi, 122 p. ; diagr. ; 30 cm |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |