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"Penelitian ini meneliti hubungan dinamis pada volatilitas antar sektor industri di pasar saham Indonesia dengan melihat tren dan pola kausalitas pada industri tersebut. Observasi dilakukan pada 10 klasifikasi sektor industri dengan kurun waktu Mei 2003 - April 2014. Data yang digunakan merupakan data time series yang bersumber dari EIKON Thomson Reuters. Dengan menggunakan model estimasi Ordinary Least Square, didapatkan hasil bahwa terdapat tren negatif pada volatilitas di 7 sektor industri. Dengan menggunakan metode granger - causality ditemukan pula bahwa jika dilihat dari pola kausalitasnya, volatilitas sektor keuangan (JKFINA) merupakan sektor yang memiliki pengaruh paling luas terhadap volatilitas sektor industri lainnya.

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This research examines the dynamic linkage between industry - specific volatility in Indonesia’s capital market by observing the trend and causality pattern of each industry. 10 industry classification are observed within period of May 2003 - April 2014. By using time series data provided by EIKON Thomson Reuters and by using Ordinary Least Square estimation model, research finds that there is a negative trend in 7 out of 10 industry volatilities. By using granger - causality method, research also finds that volatility in financial sector (JKFINA) has the most influence to volatility in another sector."

"ABSTRAK Saham merupakan salah satu bentuk unit penyertaan yang umum digunakansebagai aset investasi yang mengandung risiko. Atas risiko tersebut, makadibutuhkan aset lainnya yang dapat berperan sebagai hedge dan safe haven ketikakondisi pasar saham mengalami keterpurukan. Aset yang diujikan yaitu logammulia yang terdiri atas emas, perak, dan platina serta indeks volatilitas atau VIX.Atas periode 1997 hingga 2014, peneliti membaginya menjadi lima sub-periodeyang didalamnya termasuk dua krisis yang melanda wilayah emerging Asia.Pengujian dilakukan dengan menggunakan tiga buah metode yaitu OLS, GARCH(1,1), dan TGARCH atau model GJR. Hasil pengujian menyatakan bahwa modelTGARCH memberikan estimasi yang paling baik karena dapat menangkap efekleverage yang terdapat pada model. Secara umum, logam mulia ditemukan tidakdapat berperan dengan baik sebagai hedge dan safe haven atas keseluruhanperiode waktu tetapi VIX memberikan performa yang baik sebagai hedge dan safehaven yang kuat terutama saat periode krisis melanda. Analisis kemudiandilanjutkan dengan melakukan pengujian portofolio pasca guncangan selama 20hari atas logam mulia dan indeks volatilitas (VIX) secara individual terhadapindeks pasar saham negara, ditemukan VIX dapat memberikan kecepatanpemulihan atas kerugian terbaik sedangkan perak dapat meminimalisir kerugianpaling baik dalam jangka waktu 20 hari.

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ABSTRACT Stock is one of commonly used as investment assets containing risks. As riskscome by, there is a need of other assets which can have a role as hedge or safehaven when capital market is bearish. Those are gold, silver, platinum, and alsovolatility index (VIX) which are tested in this research. From 1997-2014 periods,we divided into five subperiods including two crisises which hit emerging Asiaregion. The model is tested using three models which are OLS, GARCH (1,1),and TGARCH or GJR model. The results show that TGARCH model gave thebest estimation because the ability of capture the leverage effect in the model. Ingeneral, precious metals found tend not to be hedge and safe haven for all periodbut VIX does an outstanding performance as hedge and safe haven especiallywhen during the crisis period. The research will be continued to analyze portfolioperformance 20 days after negative shocks of gold, silver, platinum, and VIXindividually against countries’ capital market index. VIX is found as a goodchoice to be hold for recovering investors’ loss in very short period but silver isfound can do the best performance after 20 days of the shocks."

"Penelitian ini bertujuan untuk menganalisis hubungan antara volatilitas pasar saham, Foreign Portfolio Investment, suku bunga, nilai tukar, dan Indeks Produksi Industri pada saham syariah sektor energi di Indonesia tahun 2011-2023. Penelitian ini menggunakan data dengan frekuensi bulanan sejak tahun 2011. Penelitian ini menggunakan Autoregressive Distributed Lag (ARDL) dengan melibatkan fenomena structural breaks yang terjadi pada September 2013 dan fenomena tersebut digunakan sebagai variabel dummy. Hasil penelitian menunjukkan adanya kointegrasi atau hubungan jangka panjang pada setiap variabel yang diuji sebagai variabel dependen. Hasil uji jangka panjang menunjukkan bahwa volatilitas pada saham syariah sektor energi dipengaruhi secara positif oleh aktivitas Foreign Portfolio Investment. Selain itu, nilai tukar secara positif mempengaruhi Indeks Produksi Industri. Sedangkan dalam jangka pendek, aktivitas Foreign Portfolio Investment dipengaruhi secara negatif oleh nilai Foreign Portfolio Investment periode sebelumnya. Di sisi lain, volatilitas pasar saham secara positif mempengaruhi Foreign Portfolio Investment. Selain itu, Indeks Produksi Industri dipengaruhi secara positif oleh nilai Indeks Produksi Industri selama 3 bulan sebelumnya, nilai tukar, aktivitas Foreign Portfolio Investment, serta volatilitas pasar saham hingga 1 bulan sebelumnya.

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This research aims to analyze the relationship between stock market volatility, Foreign Portfolio Investment, interest rates, exchange rates, and the Industrial Production Index on sharia stocks in the energy sector in Indonesia in 2011-2023. This research uses data with a monthly frequency since 2011 as the initial year when the Indeks Saham Syariah Indonesia (ISSI) was launched. This research uses Autoregressive Distributed Lag (ARDL) involving the structural breaks phenomenon that occurred in September 2013 and this phenomenon is used as a dummy variable. The research results show that there is cointegration or long-term relationship in each variable tested as the dependent variable. Long-term test results show that volatility in sharia stock in the energy sector is positively influenced by Foreign Portfolio Investment activity. In addition, exchange rate positively influences the Industrial Production Index. Meanwhile, in the short term, Foreign Portfolio Investment activity is negatively influenced by the value of Foreign Portfolio Investment in the previous period. On the other hand, stock market volatility positively affects Foreign Portfolio Investment. In addition, the Industrial Production Index is positively influenced by the value of the Industrial Production Index for the previous 3 months, exchange rates, Foreign Portfolio Investment activity, and stock market volatility for the previous 1 month."

"ABSTRAKPenelitian ini dilakukan untuk mengetahui hubungan dinamis antara nilai tukar Rupiah terhadap dolar AS , suku bunga dan pasar saham Indonesia dari Desember 2008 hingga Mei 2017. Kami mengestimasi adanya long memory dan volatilitas asimetris dalam hubungan dinamis antara variabel-variabel ini menggunakan metode VAR, FIAPARCH dan DCC. Secara endogen mendeteksi tanggal pergeseran volatilitas dan meneliti hubungan korelasi dinamis. Hasilnya menunjukkan bahwa ada bukti kuat dari asimetris dan long memory pada semua volatilitas dari return series. Volatilitas asimetris untuk berita yang tidak terduga pada pasar saham menunjukkan hasil positif, volatilitas lebih dipengaruhi oleh guncangan negatif dibandingkan dengan guncangan positif untuk pasar saham. Sedangkan hasil negatif untuk forex dan pasar obligasi. Guncangan positif bagi foreign exchange dan pasar obligasi akan memicu sentimen negatif. Selain itu, hubungan dinamis antara pasar obligasi dan pasar saham selalu ditemukan dalam korelasi negative, sedangkan hasil yang positif pada obligasi dan nilai tukar dimana merupakan temuan yang sama seperti di negara-negara berkembang lainnya. Volatility shift dalam stock return diestimasi menggunakan multiple breakpoint. Periode volatilitas yang relatif tinggi dan rendah terlepas pada apakah periode tersebut terjadi saat krisis keuangan yang merupakan penyebab sebenarnya. Sumber pergeseran volatilitas kearah atas secara eksternal bukan disebabkan oleh kondisi keuangan politik-ekonomi global Indonesia.Salah satu penemuan dari analisa model adalah guncangan pada volatilitas menimbulkan abrupt changes pada hubungan dinamis, akan tetapi efeknya hanya pada jangka pendek. Untuk para pembuat kebijakan dan investor tidak perlu bereaksi terhadap guncangan pada volatilitas guna mencegah transmisi jangka panjang diantara ketiga pasar keuangan. Investor dengan posis pada cross hedge pada pasar dapat mempertahankan alokasinya

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ABSTRACTThis paper investigates the dynamic relationship between exchange rate IDR against US dollar , interest rate and stock market of Indonesia from December 2008 to May 2017. We estimate long memory and asymmetric volatility in dynamic correlations between these variables using the VAR, FIAPARCH and DCC approach. We endogenously detect the volatility shift dates and investigate the relation between the dynamic correlations. Result reveal that there is a strong evidence of asymmetric and long memory in all volatility return series. Asymmetric volatility for unexpected news on the stock market shows a positive result, volatility is affected by negative shocks compared to positive shocks for the stock market. And negative results for the forex and bond markets. Positive shock for the forex market and bond market will lead to negative sentiment. In addition, the dynamic correlation between bonds and the stock market is always found in negative and positive correlation between bond and exchange rate shows the same result as in other developing countries. Volatility shifts in these market returns by estimate the multiple breakpoint in daily data. Periods of relatively high and low volatility are defined regardless of whether a financial crisis is the true cause. The source of the upwards volatility shifts from external, not caused by Indonesia rsquo s global politic economic financial conditions.One of the main findings of the model analysis is volatility shock creates abrupt changes in dynamic correlation, but the effect only in short term. For policy makers and investor do not need to react to volatility shocks to prevent long term transmission between these markets. Investors with cross hedge positions in this market can maintain their allocations because the sudden change in correlation is expected to restore their regular rate in the medium term. It has revealed a negative relationship between exchange rate and stock market yield. "

"[ABSTRAKPenelitian ini menyelidiki pengaruh kinerja dan risiko bank terhadap perubahanjumlah pinjaman antar bank, tingkat suku bunga pinjaman antar bank, serta imbalhasil saham bank.Sampel penelitian meliputi 6 bank anggota indeks LQ45 padaperiode per-kuartal 2010-2014.Metode regresi memakai regresi panel denganrandom effect dan pooled least squares. Hasil penelitian menunjukkan bahwakinerja dan risiko bank mempengaruhi tingkat suku bunga pinjaman antar bank,dan faktor biaya mempengaruhi tingkat imbal hasil saham bank.ABSTRACTThis research aims to investigate the impact of bank risk and performance on therate of change in interbank borrowing, interbank borrowing interest rate, andstock return. Research sample includes 6 banksfrom LQ45 indexfor the quarterlyperiod of 2010-2014. This paper employes panel regression techniquewithrandom effect modeland pooled least squares model. Research?s finding suggeststhatbank risk and performance influenced interbank borrowing interest rate andoverhead cost affects bank?s stock return.;This research aims to investigate the impact of bank risk and performance on therate of change in interbank borrowing, interbank borrowing interest rate, andstock return. Research sample includes 6 banksfrom LQ45 indexfor the quarterlyperiod of 2010-2014. This paper employes panel regression techniquewithrandom effect modeland pooled least squares model. Research?s finding suggeststhatbank risk and performance influenced interbank borrowing interest rate andoverhead cost affects bank?s stock return.;This research aims to investigate the impact of bank risk and performance on therate of change in interbank borrowing, interbank borrowing interest rate, andstock return. Research sample includes 6 banksfrom LQ45 indexfor the quarterlyperiod of 2010-2014. This paper employes panel regression techniquewithrandom effect modeland pooled least squares model. Research?s finding suggeststhatbank risk and performance influenced interbank borrowing interest rate andoverhead cost affects bank?s stock return.;This research aims to investigate the impact of bank risk and performance on therate of change in interbank borrowing, interbank borrowing interest rate, andstock return. Research sample includes 6 banksfrom LQ45 indexfor the quarterlyperiod of 2010-2014. This paper employes panel regression techniquewithrandom effect modeland pooled least squares model. Research?s finding suggeststhatbank risk and performance influenced interbank borrowing interest rate andoverhead cost affects bank?s stock return.;This research aims to investigate the impact of bank risk and performance on therate of change in interbank borrowing, interbank borrowing interest rate, andstock return. Research sample includes 6 banksfrom LQ45 indexfor the quarterlyperiod of 2010-2014. This paper employes panel regression techniquewithrandom effect modeland pooled least squares model. Research?s finding suggeststhatbank risk and performance influenced interbank borrowing interest rate andoverhead cost affects bank?s stock return., This research aims to investigate the impact of bank risk and performance on therate of change in interbank borrowing, interbank borrowing interest rate, andstock return. Research sample includes 6 banksfrom LQ45 indexfor the quarterlyperiod of 2010-2014. This paper employes panel regression techniquewithrandom effect modeland pooled least squares model. Research’s finding suggeststhatbank risk and performance influenced interbank borrowing interest rate andoverhead cost affects bank’s stock return.]"

"Penelitian ini menggunakan data dari lima negara ASEAN untuk menganalisis hubungan nilai tukar dan indeks harga saham. Menurut teori Goods Market Approach dan Portfolio Balance Effect, hubungan antara nilai tukar dan indeks harga saham seharusnya negatif. Untuk mengobservasi hubungan nilai tukar dan indeks saham dalam penelitian ini menggunakan model Vector Autoregressive dengan Granger Causality Test untuk melihat hubungan kausalitas antara nilai tukar dan indeks harga saham. Hasil dari penelitian ini mengindikasikan adanya berbagai hubungan nilai tukar dan indeks harga saham, meskipun tidak pada semua negara ASEAN-5.

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This research uses the data of five ASEAN countries to estimate the relationship between exchange rate and stock price index. According to Goods Market Approach and Portfolio Balance Approach, the relationship should be negative. To observe the relationship between exchange rate and stock price index, this research uses Vector Autoregressive Model with Granger Causality Test to observer causality relationship between exchange rate and stock price index. The result show various relationship between exchange rate and stock index price, even not all of The ASEAN-5 countries."

"Penelitian ini bertujuan untuk mengukur persistensi guncangan volatilitas saham di Bursa Efek Indonesia, yaitu Indeks Harga Saham Gabungan (Indeks Pasar) dan sembilan Indeks Sektoral pada saat pengumuman masuknya COVID-19 ke Indonesia yang diproksi dengan penduduk domestik yang terinfeksi. Peningkatan guncangan volatilitas IHSG dan Indeks Sektoral merupakah reaksi dari investor terhadap pembatasan pergerakan manusia dalam rangka pencegahan penyebaran COVID-19 (Kusumahadi & Permana, 2021). Penelitian ini mengukur estimasi conditional variance (volatilitas) dengan menggunakan model GARCH (1,1) dengan periode observasi data secara time series dari bulan Januari 2016 sampai dengan 30 April 2021 pada masa kemunculan domestik COVID-19 di Indonesia. Hasil regresi menunjukkan adanya peningkatan kemampuan indeks pasar dalam menyerap guncangan volatilitas pada periode setelah diumumkan kasus positif COVID-19 pertama kali di Indonesia yang menunjukkan kemampuan pasar cukup baik dalam merespon krisis. Adapun indeks sektor Industri Barang Konsumsi yang merupakan kelompok industri makanan dan minuman, produsen tembakau, farmasi, kosmetik dan rumah tangga, peralatan rumah tangga, dan lainnya, berdasarkan hasil penelitian mempunyai kemampuan yang paling cepat dalam menyerap guncangan volatilitas. Bukti ini dapat menjadi informasi yang penting bagi investor, akademisi maupun pengusaha dalam memahami persistensi guncangan volatilitas dari indeks pasar maupun sektoral karena terkait dengan potensi imbal hasil dan risiko yang ditimbulkan.

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This study aims to measure the persistence of stock volatility shocks on the Indonesia Stock Exchange, namely the Composite Stock Price Index (Market Index) and nine sectoral indices, at the time of the announcement of the entry of COVID-19 into Indonesia, which were proxied by infected domestic residents. The increased volatilities of the JCI and the sectoral indices were reactions from investors to the restrictions on human movement to prevent the spread of COVID-19 (Kusumahadi & Permana, 2021). This study estimates the conditional variance (volatility) by using the GARCH (1,1) model with a time series data observation period from January 2016 to April 30, 2021, before and after the domestic emergence of COVID-19 in Indonesia. It was found that there was an increase in the ability of the market index to absorb volatility shocks in the period after the announcement of the first positive case of COVID-19 in Indonesia, which shows the market's ability to respond to the crisis is quite good. The Consumer Goods industry sector index, which is a group of food and beverage industries, producers of tobacco, pharmaceuticals, cosmetics, household appliances, and others, can absorb volatility shocks at the shortest period. The results of this study provide important information for investors, academics, and entrepreneurs in understanding the persistence of volatility shocks from the market and sectoral indices because they are related to potential returns and the risks involved."

"[ABSTRAKPenelitian ini mengujiintegrasi pasar modal Indonesia dengan pasar modal negara negara yang tergabung dalam kerjasama ekonomi G 20 selama periode Januari 2003 sampai dengan Desember 2013 Pendekatan dengan metode Multivariate GARCH Dynamic Conditional Correlation digunakan untuk menguji sejauh mana sebuah pasar modal berkorelasi dengan pasar modal lainnya Dengan menggunakan data harian hasil penelitian ini menunjukkan bahwa terdapat korelasi dinamis untuk sebagian besar sampel dalam penelitian ini Selain itu korelasi pasar modal Indonesia dengan pasar modal negara negara G20 menunjukkan tren peningkatan dari waktu ke waktu Hal ini berimplikasi pada sejauh mana investor daat melakukan manajemen risiko dan strategi diversifikasi portofolio internasional.

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ABSTRACT

This study examined the Indonesian capital market integration with the capital markets around G20 countries during the period January 2003 to December 2013 A DCC ndash MGARCH Approach was used to test the extent to which a capital market is correlated integrated with other capital markets By using daily data the results of this study indicate that there is a dynamic correlation for most of the samples in this study In addition the Indonesian capital market correlation with the stock market G20 countries showed an increasing trend over the observation period This study has implications for investors to manage the risk and conduct international portfolio diversification strategy , This study examined the Indonesian capital market integration with the capital markets around G20 countries during the period January 2003 to December 2013 A DCC ndash MGARCH Approach was used to test the extent to which a capital market is correlated integrated with other capital markets By using daily data the results of this study indicate that there is a dynamic correlation for most of the samples in this study In addition the Indonesian capital market correlation with the stock market G20 countries showed an increasing trend over the observation period This study has implications for investors to manage the risk and conduct international portfolio diversification strategy ]"