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DC Field | Value | Language |
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dc.contributor.advisor | Achsani, Noer Azam | |
dc.contributor.advisor | Wiliasih, Ranti | |
dc.contributor.author | Sari, Putri Monicha | |
dc.date.accessioned | 2014-12-30T02:00:32Z | |
dc.date.available | 2014-12-30T02:00:32Z | |
dc.date.issued | 2014 | |
dc.identifier.uri | http://repository.ipb.ac.id/handle/123456789/72675 | |
dc.description.abstract | Penelitian ini bertujuan untuk menganalisis volatilitas return indeks saham syariah (res_JII) dan konvensional (res_JCI) di Indonesia serta menganalisis dampak krisis keuangan global, perubahan harga minyak dunia dan volatilitas return indeks saham global terhadap volatilitas return indeks saham syariah (res_JII) dan konvensional (res_JII) di Indonesia. Data yang digunakan dalam penelitian ini adalah data harian harga minyak dunia dan indeks saham dari India, Jerman, Hong Kong, Jepang, Australia, Amerika Serikat, Singapura dan Indonesia mulai 1 Agustus 2007 sampai 31 Desember 2013. Metode analisis yang digunakan adalah kombinasi dari GARCH dan VAR. Hasil yang diperoleh adalah: (1) volatilitas return JII lebih tinggi dibanding volatilitas return JCI, tetapi pergerakan volatilitas return kedua indeks tersebut sama. (2) Guncangan krisis keuangan global lebih memberikan pengaruh yang besar terhadap volatilitas return JII dibanding volatilitas return JCI. Namun, baik volatilitas return JII maupun JCI lebih dipengaruhi oleh dirinya sendiri dan volatilitas return dari indeks saham Amerika Serikat, sedangkan perubahan harga minyak dunia tidak memberikan pengaruh yang besar terhadap volatilitas return kedua indeks saham tersebut. | en |
dc.description.abstract | The objectives of this research are to analyze the return volatility from sharia (res_JII) and conventional index (res_JCI) and analyze the impact of global financial crisis, world oil price changes and return volatility from global indices to Sharia and Conventional Stock Index Return Volatility in Indonesia. This researh utilize the daily world oil price and the stock price indices from India, Germany, Hong Kong, Japan, Australia,United States, Singapore and Indonesia from August 1st2007 to December 31th 2013. The data analysis method utilize combination GARCH and VAR. The result show that: (1) JII has a higher return volatility than JCI. But, return volatility in JII and JCI have a similar movement. (2) The shock from global financial market give much effect to JII return volatility than JCI return volatility. But, the the both of JII return volatility and JCI return volatility are effected by themselves and and return volatility from United States, whereas the stock price changes don‟t give much effect to the both of stock return volatility. | en |
dc.language.iso | id | |
dc.publisher | Bogor Agricultural University | |
dc.title | Dampak krisis keuangan global, perubahan harga minyak dunia dan volatilitas return indeks saham global terhadap volatilitas return indeks saham syariah dan konvensional di indonesia | en |
dc.title.alternative | The impact of global financial crisis, world oil price changes and return volatility from global indices to sharia and conventional index in indonesia | en |
dc.type | Undergraduate Thesis | en |
dc.subject.keyword | ARCH/GARCH | en |
dc.subject.keyword | indeks konvensional | en |
dc.subject.keyword | indeks syariah | en |
dc.subject.keyword | krisis keuangan global | en |
dc.subject.keyword | perubahan harga minyak dunia | en |
dc.subject.keyword | volatilitas return indeks | en |
dc.subject.keyword | VAR | en |
Appears in Collections: | UT - Economics and Development Studies |
Files in This Item:
File | Description | Size | Format | |
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H14pms.pdf Restricted Access | Full text | 1.78 MB | Adobe PDF | View/Open |
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