Integrasi dan Contagion Effect antara Pasar Saham Indonesia dan Asia
| Main Author: | Susanto, Auberta Danice |
|---|---|
| Other Authors: | Robiyanto, Robiyanto |
| Format: | Thesis Book application/pdf |
| Bahasa: | ind |
| Terbitan: |
, 2022
|
| Subjects: | |
| Online Access: |
https://repository.uksw.edu//handle/123456789/27949 |
Daftar Isi:
- Semakin tinggi jumlah investor asing akan membuat pasar saham di dunia semakin terintegrasi. Integrasi ini memberikan banyak manfaat bagi suatu negara maupun para investor. Tetapi di sisi lain, semakin kuat integrasi pada pasar saham antar negara dapat menyebabkan peningkatan contagion effect. Contagion effect terjadi saat suatu negara mengalami guncangan dan menular ke negara lain. Pada negara-negara di dunia telah terjadi banyak guncangan seperti pandemi Covid-19. Hal ini menyebabkan penularan dan mempengaruhi dinamika integrasi. Penelitian ini melihat integrasi dan contagion effect antara pasar saham Indonesia dan Asia menggunakan metode ADCC-GARCH untuk melihat contagion effect dan metode VAR untuk melihat integrasi. Penelitian ini menemukan bahwa pandemi Covid-19 menimbulkan contagion effect antara pasar saham Indonesia dan Asia serta meningkatkan integrasinya. Hal ini menunjukkan bahwa semakin meningkatnya integrasi akan menurunkan manfaat diversifikasi portofolio investor Indonesia.
- The higher number of foreign investors, the more integrated the world's stock markets will be. This integration provides many benefits for a country and investors. But on the other hand, stronger integration on the stock market between countries can lead to increase the contagion effect. Contagion effect occurs when a country experiences shocks and spreads to other countries. Many countries in the world have experienced shocks such as the Covid-19 pandemic. This causes contagion and influences the dynamics of integration. This research looks at the integration and contagion effect between Indonesian and Asian stock markets using the ADCC-GARCH method to see the contagion effect and the VAR method to see integration. This research found that the Covid-19 pandemic created a contagion effect between the Indonesian and Asian stock markets and increased their integration. This shows that increasing integration will reduce the benefits of diversifying Indonesia's investor portfolio.