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ArtikelAccounting Innovation Analysis For The Stock Prices And Macroeconomic Factors Of Five ASEAN Countries During And Post The 1997 Asian Financial Crisis  
Oleh: Atmadja, Adwin Surja
Jenis: Article from Journal - ilmiah nasional - terakreditasi DIKTI
Dalam koleksi: Jurnal Akuntansi dan Keuangan vol. 6 no. 1 (May 2004), page 55-76.
Topik: Accounting Innovation Analysis; Asian Financial Crisis; Stock Markets; Macroeconomic Factors; VAR; Analisa Accounting Innovation; Krisis Keuangan Asia; Pasar Modal; Faktor-Faktor Ekonomi Makro
Fulltext: Adwin Surja Atmadja.pdf (79.94KB)
Isi artikelThis paper seeks to examine some of the dynamic interactions of stock prices and macroeconomic factors in five ASEAN countries, Indonesia; Malaysia; the Philippines; Singapore; and Thailand with particular attention to the 1997 Asian financial crisis and period onwards. Using monthly time series data of the countries, accounting innovation analyses based on vector autoregressive (VAR) analytical framework is employed to empirically examine the interaction among the variables. This research reveals that, firstly, a shock to a particular variable in the model results in various contemporaneous reactions by other variables across the countries during the sample period. Secondly, the general forecast error variance decomposition results likely reinforce the outcomes of the general impulse response analyses in most of the countries.
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