UI - Tesis (Open) :: Kembali

UI - Tesis (Open) :: Kembali

Analisis volatilitas imbal hasil Jakarta Islamic Index (JII) , pada periode sebelum dan saat krisis bursa aham tahun 2008. = The analysis of return volatility of Jakarta Islamic Index (JII) before and during stock market crisis in the year 2008.

Rianti Pratiwi; A. Hanief Saha Ghafur, examiner; Ikhwan Abidin Basri, supervisor; Ranti Wiliasih, examiner; Else Fernanda, examiner (, 2010)
 Abstrak
[ABSTRAK

Krisis bursa saham yang terjadi di Amerika pada tahun 2008 berdampak
negatif terhadap kinerja saham secara Tujuan penelitian ini adalah untuk melihat pengaruh krisis terhadap Jakarta Islamic Index dengan cara melihat volatilitas imbal hasilnya pada periode sebelum dan saat krisis, serta menelaah
faktor-faktor ekonomi yang mempengaruhi volatilitas imbal hasil tersebut pada periode sebelum dan saat krisis. Faktor makroekonomi dalam penelitian ini adalah
Dow Jones Industrial Average (DJIA), harga minyak mentah dunia, Sertifikat bank Indonesia (SBI), Sertifikan Bank Indonesia Syariah (SBIS), nilai tukar Rupiah terhadap Dollar AS dan tingkat inflasi (INF). Analisis tingkat volatilitas
imhal hasil festimasi dengan model Generalized Autoregressive Conditional
Heteroscedasticity (GARCH)- rnenggunakan uji perbedaan dan analisis pengaruh faktor makroekonomi terhadap volatilitas imbal hasil JII menggunakan regresi berganda dengan dummy variabel.
Hasil penelitian ini menunjukkan tingkat volatilitas imbal hasil JII pada periode krisis secara signiiikan lcbih tinggi dibandingkan dengan periode sebelmn
krisis. diikuti oleh imbal hasil yang tidak berbanding lurus mengindikasikan telah te1jadi pergerakan volatilitas yang belebih. Penemuan lainnya, volatifitas imbal
hasil J H tidak dipengaruhi SBI secara siginifikan pada periode sebelmn krisis dan tidak dipengaruhi faktor inflasi secara signifnkan pada saat krisis. Hasil akhir penelitian menunjukkan tekanan krisis bursa global terhadap volatilitas imbal
hasil JII relatif singkat.


ABSTRACT

Stock market crises in the United State of America at 2008, negatively
affected the performance of stocks in general. The purpose of this study was to see the impact of the crisis on the Jakarta Islamic Index (JII) by looking at the return
volatility in the periods before and during the crisis,_ and examines economic factors that affect the return volatility in the periods before and during the crisis.
Macroeconomic factors in this study is the Dow Jones Industrial Average (DJIA), the world crude oil prices, Ceitiicates of Bank Indonesia (SBI), Certiticates of
Bank Indonesia Sharia (SBIS), the Rupiah against the U.S. dollar exchange rate and the inflation rate (INF). Analysis of the level of return volatility -estimated by Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model-using different test and analysis of the influence of macroeconomic factors on the
return volatility of JII using multiple regression with dmnmy variables. The results of this study indicate the level of return volatility of J II in crisis
period is signincantly higher compared with the period before the crisis. followed by return that are not directly proportional _to the return volatility indicates there
has been excessive. Another discovery, the return volatility was not iniluenced significantly by SBI in the period pre-crisis and was not influenced significantly by the inflation in time of crisis. The final results showed the pressure of global
stock market crisis to return volatility of III was relatively short.;Stock market crises in the United State of America at 2008, negatively
affected the performance of stocks in general. The purpose of this study was to see the impact of the crisis on the Jakarta Islamic Index (JII) by looking at the return
volatility in the periods before and during the crisis,_ and examines economic factors that affect the return volatility in the periods before and during the crisis.
Macroeconomic factors in this study is the Dow Jones Industrial Average (DJIA), the world crude oil prices, Ceitiicates of Bank Indonesia (SBI), Certiticates of
Bank Indonesia Sharia (SBIS), the Rupiah against the U.S. dollar exchange rate and the inflation rate (INF). Analysis of the level of return volatility -estimated by Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model-using different test and analysis of the influence of macroeconomic factors on the
return volatility of JII using multiple regression with dmnmy variables. The results of this study indicate the level of return volatility of J II in crisis
period is signincantly higher compared with the period before the crisis. followed by return that are not directly proportional _to the return volatility indicates there
has been excessive. Another discovery, the return volatility was not iniluenced significantly by SBI in the period pre-crisis and was not influenced significantly by the inflation in time of crisis. The final results showed the pressure of global
stock market crisis to return volatility of III was relatively short., Stock market crises in the United State of America at 2008, negatively
affected the performance of stocks in general. The purpose of this study was to see the impact of the crisis on the Jakarta Islamic Index (JII) by looking at the return
volatility in the periods before and during the crisis,_ and examines economic factors that affect the return volatility in the periods before and during the crisis.
Macroeconomic factors in this study is the Dow Jones Industrial Average (DJIA), the world crude oil prices, Ceitiicates of Bank Indonesia (SBI), Certiticates of
Bank Indonesia Sharia (SBIS), the Rupiah against the U.S. dollar exchange rate and the inflation rate (INF). Analysis of the level of return volatility -estimated by Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model-using different test and analysis of the influence of macroeconomic factors on the
return volatility of JII using multiple regression with dmnmy variables. The results of this study indicate the level of return volatility of J II in crisis
period is signincantly higher compared with the period before the crisis. followed by return that are not directly proportional _to the return volatility indicates there
has been excessive. Another discovery, the return volatility was not iniluenced significantly by SBI in the period pre-crisis and was not influenced significantly by the inflation in time of crisis. The final results showed the pressure of global
stock market crisis to return volatility of III was relatively short.]
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 Metadata
No. Panggil : T33449
Pengarang :
Pengarang/kontributor lain :
Penerbitan : [Place of publication not identified]: [Publisher not identified], 2010
Program Studi :
Sumber Pengatalogan : LibUI ind rda
Tipe Konten : text
Tipe Media : unmediated ; computer
Tipe Carrier : volume ; online resource
Deskripsi Fisik : xiii, 96 pages : illustration ; 30 cm. + Appendix
Catatan Bibliografi : pages 94-96
Naskah Ringkas :
Lembaga Pemilik : Universitas Indonesia
Lokasi : Perpustakaan UI, Lantai 3
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No. Panggil No. Barkod Ketersediaan
T33449 15-19-197746013 TERSEDIA
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