Hasil Pencarian  ::  Simpan CSV :: Kembali

Hasil Pencarian

Ditemukan 3 dokumen yang sesuai dengan query
cover
Rachmat Prayudi
"Penelitian ini bertujuan untuk mengamati kejadian overreaction, underreaction, serta calendar anomalies yang terdapat pada foreign exchange market di negara ASEAN- 5. Penelitian ini mengacu kepada metode yang dilakukan pada penelitian Parikakis dan Syriopoulos (2008) dalam melihat ada tidaknya anomali yang terjadi pada foreign exchange market dengan melakukan uji terhadap average cumulative abnormal return dari tiap mata uang yang masuk sebagai objek penelitian dan juga mengamati pola extreme exchange rate changes yang terjadi berdasarkan pola harian dan bulanan.
Pada penelitian ini ditemukan bahwa terdapat indikasi adanya gejala overreaction dan underreaction namun tidak signifikan secara statistik. Terdapat juga hasil yang menggambarkan adanya calendar anomalies pada kejadian extreme exchange rate changes namun hanya beberapa yang dapat dibuktikan signifikan secara statistik. Dari hasil penelitian ini juga disimpulkan bahwa contrarian strategy akan terlalu berisiko jika digunakan dalam perdagangan pada foreign exchange market di negara ASEAN-5.
......The objective of this study is to observe overreaction, underreaction, and also calendar anomalies that happened in ASEAN-5 countries? foreign exchange market. The methods that used in this study is the same as the research done by Parikakis and Syriopoulos (2008) in order to prove the anomalies that occur in foreign exchange market by testing the average cumulative abnormal return for each currencies and also observing the pattern of extreme exchange rate changes that occurred daily and monthly.
The results of this study show that there are indications for overreaction and underreaction to be occurred along the period but statistically insignificant. This study also find that only few of the calendar anomalies which extreme exchange rate changes occurred are statistically significant. The results of this study also conclude that contrarian strategy is too risky to do in ASEAN-5 foreign exchange market."
Depok: Fakultas Ekonomi dan Bisnis Universitas Indonesia, 2011
T29494
UI - Tesis Open  Universitas Indonesia Library
cover
Fitri Aprilina
"Penelitian ini membuktikan mengenai intensitas pencarian (search volume) terhadap stock return dan likuiditas di negara emerging market. Sampel terdiri dari 9 negara emerging market berdasarkan Morgan Stanley Capital International (MSCI) Emerging Market Index. Intensitas pencarian diproksikan oleh Google Trend bernama Google Search Volume Index(SVI) sebagai proksi untuk perhatian investor dan Abnormal Trading Volume (ATV) sebagai proksi likuiditas. Dalam penelitian ini, kami menggunakan Model Tiga Faktor Fama-French untuk menjelaskan variabilitas return saham di emerging market. Penelitian ini menggunakan data mingguan untuk periode Juli 2014-Juni 2018 dan currency depreciation sebagai peristiwa attention-grabbing. Kami mengklasifikasikan sampel ke dalam 3 portofolio yaitu negara yang memiliki depresiasi mata uang rendah, negara yang memiliki depresiasi mata uang menengah, dan negara yang memiliki depresiasi mata uang tajam. Hasilnya, terdapat indikasi SVI berpengaruh terhadap portofolio walaupun secara keseluruhan SVI tidak signifikansi terhadap return saham namun signifikan terhadap likuiditas. Faktor pasar (premi risiko pasar) positif dan signifikan pada portofolio keseluruhan. ATV memiliki informasi yang lebih dominan dari SVI dalam menjelaskan return saham. Selain itu, kami menemukan bahwa pada negara yang memiliki depresiasi mata uang rendah dan depresiasi tajam, preferensi investor berinvestasi pada small stock dengan book-to-market yang tinggi sementara pada negara yang memiliki depresiasi mata uang menengah preferensi investor untuk berinvestasi pada big stock dengan book-to-market yang tinggi. Dapat disimpulkan bahwa pada emerging market investor akan berperilaku rasional dalam jangka panjang.
......The research examines the evidence of search intensity toward stock return and liquidity in emerging market country. The sample consists of 9 emerging market country classified as Morgan Stanley Capital International (MSCI) Emerging Market Index. Search intensity is measured by Google Trends named Google Search Volume Index (SVI) as a direct proxy for investors attention and Abnormal Trading Volume (ATV) as proxies for liquidity. We use the Fama-French Three-Factor Model to explain stock return variability in emerging market. We obtain weekly data for the period from July 2014-June 2018 and currency depreciation as an attention-grabbing event. We classified the sample into 3 portfolios which are low currency depreciation, medium currency depreciation, and sharp currency depreciation. The result showed that the SVI has a tendency to explain stock return variability in portfolio even though in general SVI insignificant toward stock return however significant on liquidity. Market factor (market risk premium) consistent positive and significant in overall portfolio. ATV has dominance information rather than SVI in explaining stock return. Additionally, we find that in low and sharp currency depreciation, investor tend to invest in small stock with high book to market meanwhile in medium currency depreciation investor tend to invest in big stock with high book to market. Overall, we conclude that in emerging market, in a long term investor behave on their rationality."
Depok: Fakultas Ekonomi dan Bisnis Universitas Indonesia, 2019
T-pdf
UI - Tesis Membership  Universitas Indonesia Library
cover
"This Second Edition of the authoritative resource summarizes the state of consumer finance research across disciplines for expert findings on--and strategies for enhancing--consumers economic health. New and revised chapters offer current research insights into familiar concepts (retirement saving, bankruptcy, marriage and finance) as well as the latest findings in emerging areas, including healthcare costs, online shopping, financial therapy, and the neuroscience behind buyer behavior. The expanded coverage also reviews economic challenges of diverse populations such as ethnic groups, youth, older adults, and entrepreneurs, reflecting the ubiquity of monetary issues and concerns. Underlying all chapters is the increasing importance of financial literacy training and other large-scale interventions in an era of economic transition.
Among the topics covered:
- Consumer financial capability and well-being.
- Advancing financial literacy education using a framework for evaluation.
- Financial coaching: defining an emerging field.
- Consumer finance of low-income families.
- Financial parenting: promoting financial self-reliance of young consumers.
- Financial sustainability and personal finance education. "
Switzerland: Springer International Publishing, 2016
e20509993
eBooks  Universitas Indonesia Library