Korelasi antara minyak mentah dan pasar saham menggunakan pendekatan wavelet = Correlation between crude oil and stock market using wavelet approach

Adryan, Ignatius Mario (2018) Korelasi antara minyak mentah dan pasar saham menggunakan pendekatan wavelet = Correlation between crude oil and stock market using wavelet approach. Bachelor thesis, Universitas Pelita Harapan.

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Abstract

Dalam ekonomi global, guncangan yang terjadi di satu pasar dapat memempengaruhi ke pasar lain. Penelitian ini mengkaji dampak guncangan minyak pada korelasi antara pasar saham dan minyak. Kami menguji perubahan dalam korelasi untuk skala waktu yang berbeda dengan interval kepercayaan yang tidak tumpang tindih berdasarkan korelasi wavelet yang diperkirakan. Hasil kami menunjukkan bahwa korelasi antara pasar minyak dan pasar saham cenderung stabil dalam periode tenang, sekitar nol, tetapi ini berubah selama guncangan minyak baik pada frekuensi yang lebih tinggi dan lebih rendah. Pada frekuensi rendah, jumlah kerusakan korelasi selama guncangan minyak lebih tinggi dan dapat diartikan sebagai pergeseran dalam gerakan bersama pasar. / In a global economy, shocks occurring in one market can spill over to other markets. This paper investigates the impact of oil shocks on correlations between stock and oil markets. With the test changes in correlations for different time scales with non-overlapping confidence intervals based on estimated wavelet correlations. Our results indicate that correlation between oil and stock markets tends to be stable in non-shock periods, around zero, but this changes during oil shocks both at higher and lower frequencies. At low frequencies, the number of correlation breakdowns during oil shocks is higher and they can be interpreted as shifts in market co-movements.

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