Detail Analisis Pengaruh Volatilitas Index Global (DJI, HSI, STI), Harga Minyak Dunia, Nilai Tukar IDR/USD terhadap Indeks Harga Saham Gabungan di Bursa Efek Indonesia Tahun 2013-2015 Bibliografi Author: KHUSIANGTO, AILEN ; Saadah, Siti (Advisor) Topik: JCX; DJI; HSI; STI; Crude oil; Forex; GARCH/ARCH Mxi; 78 p; 29 cmodel Bahasa: (ID )     Penerbit: Program Studi Magister Manajemen Sekolah Pascasarjana Universitas Katolik Indonesia Atma Jaya     Tempat Terbit: Jakarta    Tahun Terbit: 2015     Jenis: Theses - Master Thesis Fulltext: 2013002045-Ailen.pdf (2.81MB; 48 download) Ketersediaan Perpustakaan Pusat (Semanggi) Nomor Panggil: MM-818 Non-tandon: tidak ada Tandon: 1  Lihat Detail Induk Abstract The objective of this study is to examine the effect between JCX volatility and how global index (DJI, HSI, STI), crude oil price, and internal factor of foreign exchange rate from local currency to US Dollar. To examine the correlation between variables, researchers use the DJI, HSI and STI to represent the global index variable, while the data of crude oil price using the standard of WTI oil price and exchange rate data from Central Bank of Indonesia. The sampling is limited to daily data during period 2nd of January 2013 and 31st of March 2015. This research analyzes the relationship between the dependent variable (JCX) and Independent variable (DJI, HSI, STI, Crude oil, Forex) using GARCH/ARCH models. ARCH-LM test of JCX showed volatility pattern and Pro-chi Square shows that time-varying variance data which is not normally distributed, therefore GARCH/ARCH model provide more precise result of the test. The result indicate that only two of three variable of global index affect JCX volatility, which is Hang Seng and Strait Time, while Dow Jones didn’t shows a significant influenced to JCX. The other internal factor is the value of the Rupiah against the Dollar which show a significant negative correlation while crude oil price didn’t show a significant influenced to JCX. Opini Anda Klik untuk menuliskan opini Anda tentang koleksi ini! Lihat Sejarah Pengadaan  Konversi Metadata   Kembali

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