Pengaruh ketidakpastian dalam kebijakan ekonomi terhadap return saham di negara Jepang

Yulitasari, Dhitya (2018) Pengaruh ketidakpastian dalam kebijakan ekonomi terhadap return saham di negara Jepang. Masters thesis, Universitas Pelita Harapan.

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Abstract

This research was conducted to determine the effect of economic policy uncertainty to stock returns in Japan, in the period from2002 to 2017. This study was conducted on three economic policy uncertainty indices in Japan and one global economic policy uncertainty. The results of this study state that economic policy uncertainty does not affect stock returns in Japan in full-period study, because the results of regression do not have a pattern that shows both positive or negative effect of stock returns. The results of the sub-period study show that there are significant results in the final sub-period between 201I and 2017, but still do not show differences in pattems that show positive or negative effect. / Penelitian ini dilakukan untuk mengetahui pengaruh ketidakpastian dalam kebijakan ekonomi (economic policy uncertainty) terhadap return saham di negara Jepang, dengan periode penelitian dari tahun 2002 sampai dengan tahun 2017. Penelitian dilakukan terhadap tiga indeks ketidakpastian dalam kebijakan ekonomi di negara Jepang itu sendiri, dan satu indeks ketidakpastian dalam kebijakan ekonomi secara global. Hasil yang diperoleh menyatakan bahwa ketidakpastian dalam kebijakan ekonomi tidak berpengaruh pada return saham di rLegara Jepang pada penelitian full-period, karena hasil dari regresi tidak signifikan dan tidak memiliki suatu pola yang menunjukkan baik pengaruh positif, maupun pengaruh negatif. Hasil penelitian sub-period menunjukkan adanya hasil yang signifikan pada sub-period akhir antara tahun 2011 sampai dengan 2017, meskipun tetap tidak menunjukkan adanya pola yang menggambarkan pengaruh po sitif maupun negatif.

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