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http://repository.ipb.ac.id/handle/123456789/59396
Title: | The Effect of Foreign Transaction Stock Return Volatility in Indonesia. Pengaruh Transaksi Asing terhadap Volatilitas Return Saham di Indonesia |
Authors: | Sugema, Iman Falianty, Telisa Aulia Anggriyani, Rita |
Keywords: | stock return volatility transitory component permanent component CGARCH half-life |
Issue Date: | 2012 |
Abstract: | This study considers component GARCH (CGARCH) model to decompose the stock return volatility of composite stock price index and sectoral stock price indices (three bigest market capitalization: finance sector, consumer goods sector, and mining sector) into permanent and transitory component in presence of foreign transaction. This study shows that an increase in stock returns at net positive position will be followed by an increase in transitory volatility components, but didn’t increase the volatility of the permanent components, both in composite stock price index as well as sectoral stock price indices. The increase in net position will result in increased volatilities (transitory component) is greater than the increase stock returns, both in composite stock price index as well as sectoral stock price indices. The effects of a shock that occured in previous stock returns in the consumer goods sector will disapper faster than the effects of a shock that occured in previous stock returns in the finance sector and mining sector, both in the volatility of the permanent components and the volatility of the transitory components. |
URI: | http://repository.ipb.ac.id/handle/123456789/59396 |
Appears in Collections: | MT - Economic and Management |
Files in This Item:
File | Description | Size | Format | |
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2012ran.pdf Restricted Access | Fulltext | 1.09 MB | Adobe PDF | View/Open |
Abstract.pdf Restricted Access | Abstract | 296.66 kB | Adobe PDF | View/Open |
BAB I Pendahuluan.pdf Restricted Access | BAB I | 425.51 kB | Adobe PDF | View/Open |
BAB II Tinjauan Pustaka dan Kerangka Pemikiran.pdf Restricted Access | BAB II | 391.52 kB | Adobe PDF | View/Open |
BAB III Metodologi Penelitian.pdf Restricted Access | BAB III | 421.22 kB | Adobe PDF | View/Open |
BAB IV Hasil dan Pembahasan.pdf Restricted Access | BAB IV | 442.27 kB | Adobe PDF | View/Open |
BAB V Simpulan dan Saran.pdf Restricted Access | BAB V | 294.9 kB | Adobe PDF | View/Open |
Cover.pdf Restricted Access | Cover | 280.19 kB | Adobe PDF | View/Open |
Daftar Pustaka.pdf Restricted Access | Daftar Pustaka | 303.05 kB | Adobe PDF | View/Open |
Lampiran.pdf Restricted Access | Lampiran | 574.55 kB | Adobe PDF | View/Open |
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