Steven, Kevin (2024) Analisis dampak bencana alam terhadap perusahaan asuransi dan pasar saham = Analysis of the impact of natural disasters on insurance company shares and the stock market. Bachelor thesis, Universitas Pelita Harapan.
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Abstract
Penelitian ini bertujuan untuk menyelidiki dampak bencana alam terhadap saham perusahaan asuransi dan pasar saham Australia, khususnya dalam konteks volatilitas dan korelasi. Dalam pendekatan penelitian ini, digunakan metode analisis deret waktu multivariat VAR (Vector Autoregressive) dan DCC-GARCH (Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity). Model VAR digunakan sebagai model rata-rata, sementara DCC-GARCH digunakan untuk memodelkan volatilitas data pengembalian saham perusahaan asuransi dan pasar saham harian pada periode tahun 2013 hingga 2020. Hasil dari model yang diestimasi kemudian diaplikasikan untuk menguji signifikansi dampak dari sepuluh bencana alam terburuk dengan memperluas model DCC-GARCH dan menguji perbedaan korelasi pengembalian saham perusahaan asuransi dengan pasar saham akibat bencana alam menggunakan uji Jennrich. Hasil penelitian ini menunjukkan bahwa bencana memiliki dampak yang signifikan terhadap volatilitas pengembalian saham perusahaan asuransi dan pasar saham namun tidak signifikan dengan korelasi antara pengembalian saham perusahaan asuransi dan pasar saham. Penelitian ini juga menunjukkan bahwa nilai risiko yang ditanggung investor lebih tinggi saat melakukan diversifikasi risiko bencana alam./ This research aims to investigate the impact of natural disasters on insurance companies return and the stock market return in Australia, specifically in the context of volatility and correlation. In this research approach, the multivariate time series analysis methods VAR (Vector Autoregressive) and DCC-GARCH (Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity) are used. The VAR model is used as mean model, while DCC-GARCH is used to model the volatility of daily insurance companies stock return and stock market return data in the period 2013 to 2020. The results of the estimated model are then applied to test the significance of the impact of the ten worst natural disasters by expanding DCC-GARCH model and testing the differences in the correlation of insurance companies stock return with the stock market return due to natural disasters using the Jennrich test. The results of this study indicate that disasters have a significant impact on the volatility of insurance companies stock returns and the stock market but are not significant with the correlation between insurance company stock returns and the stock market. This research also shows that the risk value covered by investors is higher when diversifying the natural disaster risk.
Item Type: | Thesis (Bachelor) | ||||||||||||
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Uncontrolled Keywords: | pengembalian; deret waktu; VAR; DCC-GARCH; bencana alam; return; time series; VAR; DCC-GARCH; natural disaster. | ||||||||||||
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 |
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Depositing User: | Kevin Steven | ||||||||||||
Date Deposited: | 31 Jan 2024 09:02 | ||||||||||||
Last Modified: | 31 Jan 2024 09:02 | ||||||||||||
URI: | http://repository.uph.edu/id/eprint/61176 |
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