Fresnel, Markus (2002) Analisis integrasi pasar modal regional di kawasan asia tenggara dengan menggunakan model vector error correction model. Masters thesis, Universitas Pelita Harapan.
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Abstract
Tesis ini mengkaji hubungan antara indeks gabungan pasar saham di Jakarta, Kuala Lumpur, dan Singapura dengan menggunakan teknik kointegrasi dan Error Correction Model. Korelasi yang signifikan antara indeks saham gabungan di Kuala Lumpur dan Singapura terhadap Indeks Harga Saham Gabungan di Bursa Efek Jakarta menunjukkan bahwa ketiga pasar modal tersebut saling berkointegrasi dan mempunyai hubungan ekuilibrium jangka panjang. Analisis Vector Error Correction Model juga memperlihatkan proses penyesuaian kondisi divergen yang terjadi dalam setiap periode menuju kondisi yang konvergen ke arah ekuilibrium jangka panjang dan ditemukan bahwa hanya perubahan indeks saham gabungan di Singapura yang signifikan mempengaruhi pertumbuhan IHSG. Sebagai tambahan, tesis ini menyimpulkan ketiga pasar modal ini tergabung dalam suatu emerging market yang membuat potensi diversifikasi risiko dalam berinvestasi semakin terbatas. Bursa Efek Jakarta juga dikatakan sebagai pasar yang memiliki bentuk efisiensi semi strong.
Item Type: | Thesis (Masters) | ||||||||
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Additional Information: | T 19-00 FRE a | ||||||||
Subjects: | H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management | ||||||||
Divisions: | University Subject > Current > Faculty/School - UPH Karawaci > Business School > Master of Management Current > Faculty/School - UPH Karawaci > Business School > Master of Management |
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Depositing User: | Users 18 not found. | ||||||||
Date Deposited: | 23 Feb 2021 03:24 | ||||||||
Last Modified: | 25 Aug 2021 07:35 | ||||||||
URI: | http://repository.uph.edu/id/eprint/22168 |
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