UI - Tesis Membership :: Kembali

UI - Tesis Membership :: Kembali

Analisis faktor makro ekonomi dan pasar saham terhadap stock-bond correlation di Indonesia, Filipina, dan Malaysia pada tahun 2003-2014 = Analysis of macro economic and stock market factors towards stock bond correlation in Indonesia, Philippines, and Malaysia period of 2003-2014

Vindaniar Yuristamanda Putri; Irwan Adi Ekaputra, supervisor; Cynthia Afriani, examiner; Dewi Hanggraeni, examiner ([Publisher not identified] , 2015)

 Abstrak

[ABSTRAK
Tesis ini menganalisis mengenai determinan korelasi saham dan obligasi di Indonesia, Filipina, dan Malaysia. Penelitian ini bertujuan untuk menganalisis pengaruh determinan makro ekonomi dan pasar saham terhadap korelasi imbal hasil saham dan obligasi dengan menggunakan pendekatan kuantitatif. Model penelitian ini yang digunakan adalah korelasi imbal hasil saham dan obligasi dengan metode Dynamic Conditional Correlation (DCC). Kemudian analisis determinan korelasi saham dan obligasi dilakukan dengan analisis regresi OLS. Hasil penelitian menunjukkan bahwa faktor makro ekonomi (inflasi) lebih berpengaruh daripada faktor pasar saham terhadap korelasi imbal hasil saham dan obligasi di Filipina dan Malaysia. Sedangkan faktor pasar saham (EPR) berpengaruh secara signifikan terhadap korelasi imbal hasil saham dan obligasi di Indonesia.;

ABSTRACT
This thesis analyzes the determinants of stock-bond correlation in Indonesia, Philippines, and Malaysia. This study aimed to get the conclusion about determinants such as macro economy and stock markets that influence stock-bond correlation with quantitative approach. The research model which being used was the correlation between return of stock and return of bond with Dynamic Conditional Correlation (DCC) method. Moreover, the analysis of the determinants of stock-bond correlation was performed by an OLS regression. The results of this study indicate that macroeconomic factor (inflation) has more influence than stock market towards stock-bond correlation in Philippine and Malaysia. However, stock market factor (EPR) has more influence than macro economic factor to explain the stock-bond correlation in Indonesia., This thesis analyzes the determinants of stock-bond correlation in Indonesia, Philippines, and Malaysia. This study aimed to get the conclusion about determinants such as macro economy and stock markets that influence stock-bond correlation with quantitative approach. The research model which being used was the correlation between return of stock and return of bond with Dynamic Conditional Correlation (DCC) method. Moreover, the analysis of the determinants of stock-bond correlation was performed by an OLS regression. The results of this study indicate that macroeconomic factor (inflation) has more influence than stock market towards stock-bond correlation in Philippine and Malaysia. However, stock market factor (EPR) has more influence than macro economic factor to explain the stock-bond correlation in Indonesia.]

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 Metadata

Jenis Koleksi : UI - Tesis Membership
No. Panggil : T-Pdf
Entri utama-Nama orang :
Entri tambahan-Nama orang :
Entri tambahan-Nama badan :
Program Studi :
Subjek :
Penerbitan : [Place of publication not identified]: [Publisher not identified], 2015
Bahasa : ind
Sumber Pengatalogan : LibUI ind rda
Tipe Konten : text
Tipe Media : computer
Tipe Carrier : online resource
Deskripsi Fisik : xvi, 103 pages : illustration ; 28 cm + appendix
Naskah Ringkas :
Lembaga Pemilik : Universitas Indonesia
Lokasi : Perpustakaan UI, Lantai 3
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No. Panggil No. Barkod Ketersediaan
T-Pdf 15-18-219207149 TERSEDIA
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