International asset pricing model dan integrasi price based pasar keuangan Indonesia = International asset pricing model and Indonesian financial market price based integration / Gema Ramadhan Adrian
Gema Ramadhan Adrian;
Zaafri Ananto Husodo, supervisor; Buddi Wibowo, examiner; Irwan Adi Ekaputra, examiner
([Publisher not identified]
, 2015)
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[ABSTRAK Tesis ini membahas tentang risiko dunia dan risiko lokal dalammempengaruhi Pasar Saham Indonesia dengan menggunakan pendekatanInternational Capital Asset Pricing Model. Model yang digunakan adalahMultivariate GARCH dari De Santis & Gerard (1997) and J. Antell & M.Vaihekoski (2004). Tesis ini menunjukkan bahwa risiko global dan lokalmerupakan faktor penting dalam proses asset pricing imbal hasil Indonesia danpada saat risiko relatif stabil pada waktu pengamatan, hanya risiko lokal yangmemberikan kontribusi pada proses price discovery sementara risiko global tidak.Dilihat dari Pasar Indonesia yang terintegrasi secara parsial, imbal hasil PasarSaham Indonesia dengan menggunakan informasi internasional memperhitungkanrisiko global dan risiko lokal dengan komposisi informasi yang bersifat globallebih besar pengaruhnya dibandingkan dengan informasi yang bersifat lokal. ABSTRACT We study on how global and local risks are priced in Indonesian StockMarket employing International Capital Asset Pricing Model. The model isestimated by using Multivariate GARCH of De Santis & Gerard (1997) and J.Antell & M. Vaihekoski (2004). This thesis shows that the global and local risksare important factors in Indonesian asset pricing and in a relatively stablecondition, only local risk that gives contribution to price discovery processmeanwhile the global risk doesn?t. Indonesian Market is partially integrated,accordingly the return of Indonesian Stock Market includes global and local riskin the pricing with the composition that global information has bigger impact toIndonesia than the local information., We study on how global and local risks are priced in Indonesian StockMarket employing International Capital Asset Pricing Model. The model isestimated by using Multivariate GARCH of De Santis & Gerard (1997) and J.Antell & M. Vaihekoski (2004). This thesis shows that the global and local risksare important factors in Indonesian asset pricing and in a relatively stablecondition, only local risk that gives contribution to price discovery processmeanwhile the global risk doesn’t. Indonesian Market is partially integrated,accordingly the return of Indonesian Stock Market includes global and local riskin the pricing with the composition that global information has bigger impact toIndonesia than the local information.] |
 T-Gema Ramadhan Adrian.pdf :: Unduh
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| No. Panggil : | T-Pdf |
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| Entri tambahan-Nama orang : | |
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| Penerbitan : | [Place of publication not identified]: [Publisher not identified], 2015 |
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| Bahasa : | ind |
| Sumber Pengatalogan : | LibUI ind rda |
| Tipe Konten : | text |
| Tipe Media : | computer |
| Tipe Carrier : | online resource |
| Deskripsi Fisik : | xiii, 118 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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| T-Pdf | 15-17-622086250 | TERSEDIA |
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| Tidak ada ulasan pada koleksi ini: 20415952 |
