| dc.contributor.advisor | Achsani, Noer Azam | |
| dc.contributor.advisor | Sari, Linda Karlina | |
| dc.contributor.author | HAMZA, IMATUL | |
| dc.date.accessioned | 2025-07-18T15:21:30Z | |
| dc.date.available | 2025-07-18T15:21:30Z | |
| dc.date.issued | 2025 | |
| dc.identifier.uri | http://repository.ipb.ac.id/handle/123456789/165317 | |
| dc.description.abstract | Perubahan kondisi makroekonomi seperti nilai tukar, GDP, dan suku bunga memengaruhi pasar saham, namun hubungan tersebut tidak selalu bersifat simetris. Penelitian ini bertujuan untuk menganalisis pengaruh dan melihat efek asimetris variabel makroekonomi terhadap indeks saham di negara maju dan negara berkembang. Model terbaik diperoleh dengan membandingkan pemodelan simetris ARDL (Autoregressive Distributed Lag) dan asimetris NARDL (Nonlinear Autoregressive Distributed Lag). Hasil penelitian menunjukkan model NARDL adalah model terbaik. Pada jangka panjang seluruh variabel yang diteliti menunjukkan efek asimetris pada kelompok seluruh negara. Namun, jangka pendek efek asimetris hanya ditemukan pada GDP dan suku bunga. Pada negara maju hanya efek asimetris jangka pendek pada variabel GDP. Temuan ini menunjukkan bahwa variabel makroekonomi memengaruhi indeks saham secara berbeda tergantung konteks negara. | |
| dc.description.sponsorship | Changes in macroeconomic conditions such as exchange rates, GDP, and interest rates affected the stock market, but the relationship was not always symmetrical. This study aimed to analyze the influence and examine the asymmetric effects of macroeconomic variables on stock indices in developed and emerging economies. The best model was obtained by comparing symmetric ARDL
(Autoregressive Distributed Lag) and asymmetric NARDL (Nonlinear Autoregressive Distributed Lag) modeling. The results indicated that the NARDL
model was the best fit. In the long term, all variables studied showed asymmetric effects across all countries. However, in the short term, asymmetric effects were only found in GDP and interest rates. In developed countries, only short-term asymmetric effects were found in GDP. These findings indicated that macroeconomic variables affected stock indices differently depending on the country context. | |
| dc.language.iso | id | |
| dc.publisher | IPB University | id |
| dc.title | Dampak Asimetris Variabel Makroekonomi terhadap Indeks Saham Negara Maju dan Berkembang | id |
| dc.title.alternative | Asymmetric Impact of Macroeconomic Variables on Stock Price Indices in Developed and Developing Countries | |
| dc.type | Skripsi | |
| dc.subject.keyword | Variabel Makroekonomi | id |
| dc.subject.keyword | Indeks Saham | id |
| dc.subject.keyword | Panel ARDL | id |
| dc.subject.keyword | Panel NARDL | id |
| dc.subject.keyword | Pengaruh Asimetris | id |
