Pengaruh surprise berita makroekonomi domestik dan global pada imbal hasil surat utang Negara Indonesia = The impact of surprise of domestic and global macroeconomic news on returns of Indonesian Government bond / Dahlia Ervina
Dahlia Ervina;
Buddi Wibowo, supervisor; Irwan Adi Ekaputra, examiner; Ruslan Prijadi, examiner
([Publisher not identified]
, 2015)
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[ABSTRAK Tesis ini mempelajari natur dari pengaruh surprise berita makroekonomidomestik dan global terhadap imbal hasil dan volatilitas imbal hasil Surat UtangNegara (SUN) Indonesia dengan menggunakan harga transaksi harian SUN dipasar perdagangan sekunder. Penelitian dilakukan pada semua seri SUNbenchmark pada periode 2010-2014.Saya menemukan bahwa baik berita makroekonomi domestik maupunglobal mempengaruhi imbal hasil dan volatilitas imbal hasil SUN secarasignifikan di pasar perdagangan sekunder dengan cara dan periode waktu yangberbeda. Selain itu ditemukan bahwa persistensi pengaruh pada volatilitas imbalhasil tidak berlarut-larut dan lebih cepat dibandingkan negara berkembang lain. ABSTRACT This research studies the nature about influence of domestic and globalmacroeconomic news surprise on returns and returns volatility of Surat UtangNegara (SUN) Indonesia using daily price of secondary market of SUN. Thisresearch use all series of SUN benchmark for the period of 2010-2014.I find that both domestic and global macroeconomic news surprises havesignificant influence on returns and returns volatility of SUN Indonesia withdifferent manner and time period. I also find that the impact to the persistence ofthe returns volatility is not widen and is short compared to other emergingcountries, This research studies the nature about influence of domestic and globalmacroeconomic news surprise on returns and returns volatility of Surat UtangNegara (SUN) Indonesia using daily price of secondary market of SUN. Thisresearch use all series of SUN benchmark for the period of 2010-2014.I find that both domestic and global macroeconomic news surprises havesignificant influence on returns and returns volatility of SUN Indonesia withdifferent manner and time period. I also find that the impact to the persistence ofthe returns volatility is not widen and is short compared to other emergingcountries] |
T42748-Dahlia Ervina.pdf :: Unduh
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No. Panggil : | T42748 |
Entri utama-Nama orang : | |
Entri tambahan-Nama orang : | |
Entri tambahan-Nama badan : | |
Subjek : | |
Penerbitan : | [Place of publication not identified]: [Publisher not identified], 2015 |
Program Studi : |
Bahasa : | ind |
Sumber Pengatalogan : | LibUI ind rda |
Tipe Konten : | text |
Tipe Media : | unmediated ; computer |
Tipe Carrier : | volume ; online resource |
Deskripsi Fisik : | xii, 96 pages : illustration ; 28 cm + appendix |
Naskah Ringkas : | |
Lembaga Pemilik : | Universitas Indonesia |
Lokasi : | Perpustakaan UI, Lantai 3 |
No. Panggil | No. Barkod | Ketersediaan |
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T42748 | 15-17-492834019 | TERSEDIA |
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