Efek indeks bursa saham Amerika terhadap Indonesia dengan metode mvmq-caviar = The effect of american indices stock market towards Indonesia based on mvmq-caviar method

Susanto, Shelly (2015) Efek indeks bursa saham Amerika terhadap Indonesia dengan metode mvmq-caviar = The effect of american indices stock market towards Indonesia based on mvmq-caviar method. Bachelor thesis, Universitas Pelita Harapan.

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Abstract

Salah satu resiko yang mungkin terjadi di pasar modal internasional adalah Financial Contagion (penularan krisis). Dengan mengetahui ada atau tidaknya financial contagion memiliki dampak yang penting terhadap investor dalam membentuk portofolio internasional dan manajemen resiko. Penelitian ini bertujuan untuk melihat ada atau tidaknya efek contagion bursa saham Amerika terhadap Indonesia dengan metode MVMQ-CAViaR dengan menggunakan indeks saham Amerika S&P 500 dan indeks saham Indonesia IHSG selama 8 tahun terakhir. Dalam penelitian ini dibagi menjadi tiga periode, yaitu periode pre-krisis, krisis, dan recovery untuk meningkatkan keefisienan dalam estimasi dan dapat membandingkan hasil di tiap periodenya. Untuk mendeteksi ada atau tidaknya contagion, dapat dilihat dari significance coefficient nya, yang diperoleh dengan menggunakan Quasi-Maksimum Likelihood Estimator (QMLE). Hasil penelitian menunjukkan adanya contagion effect dari krisis bursa saham Amerika terhadap Indonesia. Financial contagion dari Amerika ke Indonesia menyebabkan kondisi finansial Indonesia sangat dipengaruhi oleh Amerika, dan efek krisis Amerika meningkatkan kenaikan resiko yang sangat signifikan bagi Indonesia. / One of the risks that may occur in the International Capital Market is Financial Contagion. Determining wheter or not financial contagion occurs, has a significant impact towards the investors in establishing international portofolio and managing risk. This study aims to discover whether there is a financial contagion of American indices stock market towards Indonesia based on MVMQ-CAViaR method using the American stock index S&P 500 and Indonesia stock index JCI in the last 8 years. This study is divided into three periods (pre-crisis, crisis and recovery) to allow efficient estimation the data and enable the comparison of the result in each period. The financial contagion can be analyzed from the contagious coefficient, which is obtained by using Quasi Maximum Likelihood Estimator (QMLE). The result shows that the financial contagion effect does present in Indonesia, as a result of America market crisis. The financial contagion that spreads from America to Indonesia, demonstrates that Indonesia’s financial situation is strongly influenced by America’s, thus the effect of crisis in America increases the risk in Indonesia significantly.

Item Type: Thesis (Bachelor)
Creators:
CreatorsNIMEmail
Susanto, ShellyNIM11220110005UNSPECIFIED
Contributors:
ContributionContributorsNIDN/NIDKEmail
Thesis advisorIndratno, Sapto WahyuUNSPECIFIEDUNSPECIFIED
Thesis advisorSaputra, Kie Van IvankyNIDN0401038203kie.saputra@uph.edu
Additional Information: SK 112-11 SUS e
Uncontrolled Keywords: financial contagion; MVMQ-Caviar; quasi-maksimum likelihood estimator (QMLE); GARCH; conditional quantile
Subjects: Q Science > QA Mathematics
Divisions: University Subject > Current > Faculty/School - UPH Karawaci > Faculty of Science and Technology > Mathematics
Current > Faculty/School - UPH Karawaci > Faculty of Science and Technology > Mathematics
Depositing User: Mrs Veronica Fitri Astuti
Date Deposited: 05 May 2021 07:56
Last Modified: 01 Nov 2023 09:44
URI: http://repository.uph.edu/id/eprint/18350

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