Kointegrasi dan analisis volatilitas comovement pasar modal di lima Negara ASEAN tahun 1988-2012 = Cointegration and analysis of capital market volatility comovement in five ASEAN countries in 1988-2012
| Format: | Bachelors |
|---|---|
| Terbitan: |
Fakultas Ekonomi dan Bisnis Universitas Indonesia
, 2013
|
| Subjects: | |
| Online Access: |
http://lib.ui.ac.id/file?file=digital/20348522-S53431-Julia Rani Fransiska Sinaga.pdf |
| ctrlnum |
20348522 |
|---|---|
| fullrecord |
<?xml version="1.0"?>
<dc schemaLocation="http://www.openarchives.org/OAI/2.0/oai_dc/ http://www.openarchives.org/OAI/2.0/oai_dc.xsd"><title>Kointegrasi dan analisis volatilitas comovement pasar modal di lima Negara ASEAN tahun 1988-2012 = Cointegration and analysis of capital market volatility comovement in five ASEAN countries in 1988-2012</title><creator/><type>Thesis:Bachelors</type><place/><publisher>Fakultas Ekonomi dan Bisnis Universitas Indonesia</publisher><date>2013</date><description>[Penelitian ini bertujuan menganalisa hubungan kointegrasi jangka panjang
antara pasar modal selama 23 tahun di 5 negara ASEAN, pola hubungan integrasi
pasar modal sebelum dan setelah krisis tahun 1997 di antara 5 negara ASEAN,
dan besarnya volatilitas co-movement Indonesia diantara pasar modal negara
ASEAN. Metode yang digunakan adalah metode VAR, GARCH, dan Granger
Causality.
Penelitian ini menunjukan bahwa untuk hubungan kointegrasi antara tahun
1988-2012, Output Johansen Cointegration menunjukan ada regresi kointegrasi
yaiu kelima indeks negara Asean bergerak bersamaan dalam jangka panjang.
Berdasarkan olah data menggunakan granger causality, hubungan antar pasar
saham memiliki hubungan satu arah kecuali hubungan antara IHSG dan PHSC,
IHSG dan STI, STI dan KLCI dimana memiliki hubungan dua arah atau saling
mempengaruhi. Untuk hubungan kointegrasi antara tahun 1988-1997, Output
Johansen Cointegration menunjukan ada regresi kointegrasi yaitu kelima indeks
negara Asean bergerak bersamaan dalam jangka panjang. Berdasarkan olah data
menggunakan granger causality, hubungan antar pasar saham memiliki hubungan
dua arah atau saling mempengaruhi kecuali hubungan antara SET dan PHSC
dimana memiliki hubungan satu arah. Untuk hubungan kointegrasi antara tahun
1997-2012, Output johansen cointegration menunjukan ada regresi kointegrasi
yaitu kelima indeks negara Asean bergerak bersamaan dalam jangka panjang.
Berdasarkan olah data menggunakan granger causality, hubungan antar pasar
saham memiliki hubungan satu arah kecuali hubungan antara IHSG dan STI, STI
dan KLCI dimana memiliki hubungan dua arah atau saling mempengaruhi., This study aims to analyze the long-term cointegration relationship
between capital market for 23 years in five ASEAN countries; patterns of
relationship capital market integration before and after the 1997 crisis in the
ASEAN 5 countries, and the magnitude of volatility co-movement between the
Indonesian capital markets of ASEAN countries and uses method VAR, GARCH,
and Ganger Causality.
This study shows that for a cointegration relationship between years 1988-
2012, Output Johansen Cointegration regression showed no cointegration means
the five Asean countries indices move together in the long run. Based on the data
if using granger causality, the relationship between the stock market has a 1-way
relationship unless the relationship between IHSG and PHSC, IHSG and STI, STI
and KLCI which has a 2-way relationship or mutual influence. For cointegration
relationship between years 1988-1997, Output Johansen Cointegration regression
showed no cointegration means the five Asean countries indices move together in
the long run. Based on the data if using granger causality, the relationship between
the stock market has a 2-way relationship unless the relationship or interplay
between SET and PHSC which has a 1-way relationship. For cointegration
relationship between years 1997-2012, Output johansen cointegration regression
showed no cointegration means the five Asean countries indices move together in
the long run. Based on the data if using granger causality, the relationship between
the stock market has a 1-way relationship unless the relationship between IHSG
and STI, STI and KLCI which has a 2-way relationship or interplay.]</description><subject>Cointegration.</subject><identifier>20348522</identifier><source>http://lib.ui.ac.id/file?file=digital/20348522-S53431-Julia Rani Fransiska Sinaga.pdf</source><recordID>20348522</recordID></dc>
|
| format |
Thesis:Bachelors Thesis |
| title |
Kointegrasi dan analisis volatilitas comovement pasar modal di lima Negara ASEAN tahun 1988-2012 = Cointegration and analysis of capital market volatility comovement in five ASEAN countries in 1988-2012 |
| publisher |
Fakultas Ekonomi dan Bisnis Universitas Indonesia |
| publishDate |
2013 |
| topic |
Cointegration |
| url |
http://lib.ui.ac.id/file?file=digital/20348522-S53431-Julia Rani Fransiska Sinaga.pdf |
| contents |
[Penelitian ini bertujuan menganalisa hubungan kointegrasi jangka panjang
antara pasar modal selama 23 tahun di 5 negara ASEAN, pola hubungan integrasi
pasar modal sebelum dan setelah krisis tahun 1997 di antara 5 negara ASEAN,
dan besarnya volatilitas co-movement Indonesia diantara pasar modal negara
ASEAN. Metode yang digunakan adalah metode VAR, GARCH, dan Granger
Causality.
Penelitian ini menunjukan bahwa untuk hubungan kointegrasi antara tahun
1988-2012, Output Johansen Cointegration menunjukan ada regresi kointegrasi
yaiu kelima indeks negara Asean bergerak bersamaan dalam jangka panjang.
Berdasarkan olah data menggunakan granger causality, hubungan antar pasar
saham memiliki hubungan satu arah kecuali hubungan antara IHSG dan PHSC,
IHSG dan STI, STI dan KLCI dimana memiliki hubungan dua arah atau saling
mempengaruhi. Untuk hubungan kointegrasi antara tahun 1988-1997, Output
Johansen Cointegration menunjukan ada regresi kointegrasi yaitu kelima indeks
negara Asean bergerak bersamaan dalam jangka panjang. Berdasarkan olah data
menggunakan granger causality, hubungan antar pasar saham memiliki hubungan
dua arah atau saling mempengaruhi kecuali hubungan antara SET dan PHSC
dimana memiliki hubungan satu arah. Untuk hubungan kointegrasi antara tahun
1997-2012, Output johansen cointegration menunjukan ada regresi kointegrasi
yaitu kelima indeks negara Asean bergerak bersamaan dalam jangka panjang.
Berdasarkan olah data menggunakan granger causality, hubungan antar pasar
saham memiliki hubungan satu arah kecuali hubungan antara IHSG dan STI, STI
dan KLCI dimana memiliki hubungan dua arah atau saling mempengaruhi., This study aims to analyze the long-term cointegration relationship
between capital market for 23 years in five ASEAN countries; patterns of
relationship capital market integration before and after the 1997 crisis in the
ASEAN 5 countries, and the magnitude of volatility co-movement between the
Indonesian capital markets of ASEAN countries and uses method VAR, GARCH,
and Ganger Causality.
This study shows that for a cointegration relationship between years 1988-
2012, Output Johansen Cointegration regression showed no cointegration means
the five Asean countries indices move together in the long run. Based on the data
if using granger causality, the relationship between the stock market has a 1-way
relationship unless the relationship between IHSG and PHSC, IHSG and STI, STI
and KLCI which has a 2-way relationship or mutual influence. For cointegration
relationship between years 1988-1997, Output Johansen Cointegration regression
showed no cointegration means the five Asean countries indices move together in
the long run. Based on the data if using granger causality, the relationship between
the stock market has a 2-way relationship unless the relationship or interplay
between SET and PHSC which has a 1-way relationship. For cointegration
relationship between years 1997-2012, Output johansen cointegration regression
showed no cointegration means the five Asean countries indices move together in
the long run. Based on the data if using granger causality, the relationship between
the stock market has a 1-way relationship unless the relationship between IHSG
and STI, STI and KLCI which has a 2-way relationship or interplay.] |
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