Deskripsi Lengkap
| Bahasa : | ind |
| Sumber Pengatalogan : | LibUI ind rda |
| Tipe Konten : | text (rdacontent) |
| Tipe Media : | unmediated (rdamedia) ; computer (rdamedia) |
| Tipe Carrier : | volume (rdacarrier) ; online resource (rdacarrier) |
| Deskripsi Fisik : | xvii, 91 pages : illustration ; 30 cm + appendix |
| Naskah Ringkas : | |
| Lembaga Pemilik : | Universitas Indonesia |
| Lokasi : | Perpustakaan UI, Lantai 3 |
- Ketersediaan
- File Digital: 1
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- Sampul
- Abstrak
| No. Panggil | No. Barkod | Ketersediaan |
|---|---|---|
| S57095 | 14-18-097262083 | TERSEDIA |
| Tidak ada ulasan pada koleksi ini: 20386874 |
Abstrak
Penelitian ini bertujuan untuk melihat long run equilibrium antara indeks saham di Indonesia dan nilai tukar Rupiah/Dollar Amerika Serikat. Observasi dilakukan pada data harian dari tahun 2001-2013 dengan menggunakan tambahan analisis overlapping (sub periode). Selain itu, ada penambahan variabel kontrol harga emas untuk mengontrol hubungan antar pasar. Studi ini juga menelusuri hubungan kausalitas antara return saham dan nilai tukar. Dari hasil peneilitian ini menunjukkan bahwa tidak ada kointegrasi baik dalam keseluruhan periode maupun sub periode namun ada hubungan kausalitas antara return saham Indonesia (IHSG) dengan nilai tukar Rupiah/Dollar Amerika Serikat yang terjadi di dalamnya.
This study has a propose to examine whether there is a long run equilibrium between stock index in Indonesia and exchange rate Rupiah/US Dollar. The observation taken from 2001-2013 and uses overlapping technic to analyze subperiod. In additional, to control the relationship between two markets, international gold price added as control variable. Furthermore in order to detect the short run relationship within the market, Granger Causality test taken into this paper. The result exhibit absence in long term equilibrium either from all or sub period. Meanwhile Granger Causality test proves variation of relationship between stock return and exchange rate from sub periode.
This study has a propose to examine whether there is a long run equilibrium between stock index in Indonesia and exchange rate Rupiah/US Dollar. The observation taken from 2001-2013 and uses overlapping technic to analyze subperiod. In additional, to control the relationship between two markets, international gold price added as control variable. Furthermore in order to detect the short run relationship within the market, Granger Causality test taken into this paper. The result exhibit absence in long term equilibrium either from all or sub period. Meanwhile Granger Causality test proves variation of relationship between stock return and exchange rate from sub periode.