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"Tesis ini menganalisa mengenai korelasi dinamis pada data harga saham harian pasar ekuitas tiga belas negara Asia Pasifik dan lima negara Amerika Latin selama periode 2003 sampai 2012. Kami mengidentifikasi dua periode krisis selama periode penelitian. Yang pertama adalah krisis keuangan global dengan Amerika Serikat sebagai sumber krisis dan kedua krisis eropa dengan Eropa sebagai sumber krisis. Penelitian empiris dengan menggunakan Dynamic Conditional Correlation sebagai metode multivariate GARCH menunjukkan adanya rata-rata korelasi dinamis yang tinggi terutama pada internal regional Asia Pasifik dan Amerika Latin serta adanya efek interdependence dan contagion pada beberapa negara objek penelitian. Hasil penelitian juga menunjukkan adanya efek pembauran antara kedua periode krisis tersebut.

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This thesis analyzed dynamic correlation in daily equity price data on thirteen Asia Pacific countries and five Latin America countries for period of 2003 to 2012. We identified two crisis period in our research period. The first is global financial crisis with United States as the source of crisis and the second is europe crisis with Europe as the source of crisis. Empirical research using Dynamic Conditional Correlation as a multivariate GARCH method find there is a high average correlation dynamic especially in internal region of Asia Pacific and Latin America also there are interdependence and contagion effect in several research object countries. Result of our research also find there are comfounding effect between the two crisis period."

"Tesis ini bertujuan menganalisis korelasi dinamis lintas pasar negara-negara Frontier Markets. Dengan menerapkan model corrected Dynamic Conditional Correlation Multivariate GARCH, return indeks saham harian dua belas negara Frontier Markets dan Amerika dari Januari 2003 sampai Desember 2013 digunakan untuk membandingkan struktur interaksi hubungan dan kemungkinan efek contagion. Hasil temuan menunjukkan belum terintegrasinya pasar saham negara-negara yang dikategorikan sebagai Frontier Markets. Lebih lanjut, efek contagion dari krisis yang terjadi di Amerika nyatanya hanya memberikan dampak kecil terhadap negara-negara Frontier Markets. Dengan demikian, negara-negara Frontier Markets merupakan daerah potensial yang dapat dijadikan sebagai alternatif kesempatan berinvestasi.

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This thesis aims to analyse the dynamic correlation across markets of Frontier Markets countries. Applying the corrected Dynamic Conditional Correlation Multivariate GARCH model, the daily stock returns of twelve Frontier Markets indices and America from January 2003 to December 2013 are used to compare the interaction structure of relationships and possible contagion effects. The findings show that the stock market of Frontier countries has not been integrated. Furthermore, the contagion effect of the crisis in America in fact has little impact on the Frontier Markets countries. Thus, Frontier Markets countries are potential areas that can serve as an alternative investment opportunity."

"Tesis ini bertujuan menganalisis korelasi dinamis lintas pasar negara-negara Frontier Markets. Dengan menerapkan model corrected Dynamic Conditional Correlation Multivariate GARCH, return indeks saham harian dua belas negara Frontier Markets dan Amerika dari Januari 2003 sampai Desember 2013 digunakan untuk membandingkan struktur interaksi hubungan dan kemungkinan efek contagion. Hasil temuan menunjukkan belum terintegrasinya pasar saham negara-negara yang dikategorikan sebagai Frontier Markets. Lebih lanjut, efek contagion dari krisis yang terjadi di Amerika nyatanya hanya memberikan dampak kecil terhadap negara-negara Frontier Markets. Dengan demikian, negara-negara Frontier Markets merupakan daerah potensial yang dapat dijadikan sebagai alternatif kesempatan berinvestasi.

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This thesis aims to analyse the dynamic correlation across markets of Frontier Markets countries. Applying the corrected Dynamic Conditional Correlation Multivariate GARCH model, the daily stock returns of twelve Frontier Markets indices and America from January 2003 to December 2013 are used to compare the interaction structure of relationships and possible contagion effects. The findings show that the stock market of Frontier countries has not been integrated. Furthermore, the contagion effect of the crisis in America in fact has little impact on the Frontier Markets countries. Thus, Frontier Markets countries are potential areas that can serve as an alternative investment opportunity. "

"ABSTRAKSkripsi ini membahas mengenai hubungan antara kebijakan moneter dengan pasar saham periode penelitian 1996-2015. Kebijakan moneter direpresentasikan oleh suku bunga jangka pendek dan nilai tukar. Sedangkan pasar saham direpresentasikan oleh return saham. Jenis penelitian ini adalah kuantitatif dengan metode regresi OLS, SUR dan Regresi Panel. Hasil penelitian ini menyarankan bahwa kebijakan moneter mampu mempengaruhi Perkembangan Pasar Saham. Pengaruh tersebut berbeda di tiap-tiap negara. Melalui metode OLS dan SUR, suku bunga jangka pendek memiliki pengaruh negatif terhadap return saham, dan nilai tukar memiliki pengaruh positif pada return saham. Sedangkan melalui data panel, pengaruh suku bunga jangka pendek terlihat di negara G7 dan Emerging Market. Sedangkan Nilai Tukar memiliki pengaruh di negara Emerging, tidak signifikan di negara G7. Hasil SUR memberikan informasi penting bahwa ada common factors yang membuat return negara observasi bergerak bersama. Kebijakan moneter menjadi tidak efektif diterapkan dalam mempengaruhi pasar saham jangka panjang karena keberadaan common factor

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ABSTRACTResearcher explain correlation between Monetary Policy and Development of Stock Market in period 1996-2015. Monetary policy were represented by short term interest rate and exchange rate to US Dollar. Stock Market is represented by stock return. It is quantitative research which used OLS Regression, SUR, and Panel Regression Method. The result suggest that monetary policy could affects development of stock market. It is different for each country. Using OLS and SUR, short term interets have negative correlation to return, and exchange rate have positive correlation to return. While using Panel, short term interest have significant correlation in G7 member and Emerging Market. But exchange rate only significant in Emerging Market. The most important is, SUR provide information that there are common factors which affect the global return so that returns moves together. Monetary policy is not effective influence stock market because there are common factor inside."

"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."

"Dalam beberapa dekade belakangan ini, krisis dunia finansial sering terjadi dan banyak investor dan mengalami kerugian karena ketdakmampuan estimasi risiko pasar. Dalam karya ini, model risiko Value at Risk (VaR) di hitung dengan mengaplikasikan extreme value theory untuk menghasilkan estimasi yang dinamis dengan memodelkan residuals dan membandingkan performanya dengan pendekatan standard normal distribution yang konvensional. Lebih dari itu, estimasi dari Expected Shortfall (ES) yang dinamis juga dianalisa. Hasil menunjukan bahwa EVT-based VaR & ES valid dan dapat diandalkan untuk mengestimasi kuantil yang lebih tinggi, terutama amat baik dalam estimasi negative returns. Terlebih lagi, ada indikasi bahwa ada pola/hubungan tingkat kegagalan estimasi risiko pasar dengan kondisi ekonomi tahun tertentu. Namun hubungan ini berkurang seiring meningkatnya kuantil yang digunakan untuk estimasi.

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In the recent decades, financial crisis happened quite often and many investors incurred high losses due to unforeseen market risk estimation. In this work, a well-known Value at Risk (VaR) is generated by applying extreme value theory to create dynamic estimation by modeling the residual and comparing its performance with the ubiquitous standard normal distribution approach. In addition, an estimation of dynamic Expected Shortfall (ES) is also analyzed. The results indicate that EVT-based VaR & ES are reliable in estimating higher quantile, especially in estimating negative returns. Moreover, there is an indication of correlation between the failure rate of market risk estimation and economic environment in certain year but this correlation diminishes as the quantile estimation gets higher."

"Penelitian ini membahas tentang pengaruh variabel makroekonomi terhadap tingkat pengembalian pasar saham negara-negara maju dan berkembang. Variabel makroekonomi yang digunakan adalah produksi industri dan tingkat suku bunga. Tujuan dari penelitian ini adalah untuk mengetahui pengaruh dari dua variabel makroekonomi tersebut terhadap tingkat pengembalian pasar saham. Hasil penelitian ini menunjukkan bahwa tingkat produksi industri berpengaruh positif signifikan terhadap tingkat pengembalian pasar saham baik pada negara-negara maju maupun berkembang. Sementara tingkat suku bunga berpengaruh negatif signifikan terhadap tingkat pengembalian pasar saham baik pada negara-negara maju maupun berkembang.

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This study discusses the impacts of macroeconomic variables on the stock market returns in developed and emerging countries. The macroeconomic variables used are industrial production and interest rates. The purpose of this study is to determine the impacts of the two macroeconomic variables on stock market returns. The results of this study indicate that industrial production has a significant positive effect on stock market returns in both developed and developing countries. While interest rates have a significant negative effect on stock market returns in developed and developing countries."

"Asas persamaan dan kesetaraan (taswiyah) merupakan salah satu asas yang harus diterapkan dalam akad ju’alah pada transaksi saham di Pasar Modal Syariah Indonesia. Dimana, para pihak yang melakukan akad harus mempunyai kedudukan yang sama/setara untuk menentukan hak dan kewajiban secara seimbang. Asas ini penting untuk diterapkan dalam setiap tahapan akad, baik pada tahap pra kontraktual, kontraktual maupun pasca kontraktual. Sehingga, daya kerja asas kesetaraan dapat diuji dari faktor perbuatan para pihak, isi dari akad dan pelaksanaan akad. Metode penelitian yuridis empiris digunakan untuk meneliti akad ju’alah dalam transaksi saham syariah melalui aplikasi IPOT dari Indo Premier. Kemudian, akad ju’alah pada Indo Premier tersebut dianalisis berdasarkan ketentuan tentang penerapan asas kesetaraan dan akad ju’alah dalam hukum Islam. Hasil penelitian menunjukan bahwa Indo Premier pempunyai kedudukan yang lebih tinggi dibandingkan Nasabahnya, untuk menentukan hak dan kewajiban dalam akad serta menentukan imbalan ju’alah dalam pelaksanaan akad tersebut. Dengan demikian, akad ju’alah pada Indo Premier belum sepenuhnya menerapkan asas kesetaraan dan bertentangan dengan ketentuan akad ju’alah dalam hukum Islam, dimana imbalan ju’alah ditentukan oleh Nasabah.

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The principle of equality and equality (taswiyah) is one of the principles that must be applied in the ju'alah in stock transactions in the Indonesian Islamic Capital Market. Where, the parties who make the contract must have the same/equal position to determine the rights and obligations in a balanced way. This principle is important to be applied in every stage of the contract, both at the pre-contractual, contractual and post-contractual stages. Thus, the working power of the principle of equality can be tested from the factors of the actions of the parties, the content of the contract and the implementation of the contract. The empirical juridical research method is used to examine ju'alah in sharia stock transactions through the IPOT application from Indo Premier. Then, ju'alah at Indo Premier is analyzed based on the provisions regarding the application of the principle of equality and ju'alah in Islamic law. The results show that Indo Premier has a higher position than its customers, to determine the rights and obligations in the contract and determine ju'alah in the implementation of the contract. Thus, ju'alah at Indo Premier has not fully implemented the principle of equality and is contrary to the provisions of the ju'alah in Islamic law, where the ju'alah is determined by the Customer."

"[ABSTRAKTingginya porsi kepemilikan asing pada Obligasi Negara (ON) domestikdapat meningkatkan likuiditas dan mengurangi biaya pinjaman pemerintah.Namun demikian, hal ini juga menyimpan risiko dalam hal sudden reversal.Penelitian ini mengamati perilaku investor asing di pasar ON domestik denganmempergunakan model vektor auto regresi (VAR). Dua faktor yangmempengaruhi perilaku asing di pasar ON domestik yaitu pull factor atau faktorinternal dan push factor atau faktor eksternal. Hasil temuan dari estimasi VARmenunjukkan bahwa harga minyak, sebagai faktor eksternal, secara positifmenggerakkan arus dana asing.Analisa dari hasil estimasi Impulse Response Function (IRF) menunjukkanbahwa gejolak dari arus dana asing secara negatif saling mempengaruhi yield ON,leading indicator, dan volatilitas nilai tukar, tetapi berpengaruh positif terhadaptingkat suku bunga. Berdasarkan analisa diatas, penelitian ini memiliki implikasikebijakan antara lain perlunya intervensi pemerintah di pasar sekunder melaluibuyback dan debt switch, pemberlakuan minimum holding period, memperkuatfungsi pengawasan dan supervisi, menembangkan kerangka Bond StabilizationFund (BSF), dan mempromosikan obligasi pembiayaan proyek.

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ABSTRACTHigh foreign ownership of domestic government bonds (GB) could generateliquidity and reduce governments? cost of borrowing. However, they also containrisk in the case of sudden reversal. This study investigates the behavior of theforeign investors in the domestic Indonesian GB market by applying the vectorauto regression (VAR) model. There are two factors that could determine foreignbehavior in the domestic GB market, namely pull (or internal) factors and push (orexternal) factors. The finding from the VAR estimation provides evidence that oilprice, as a push factor, positively drives foreign capital flows.Dynamic analysis from the Impulse Response Function (IRF) shows that theshock of foreign capital flows negatively respond to GB yield, leading indicator,and exchange rate volatility, and vice versa. However, it has a positive impact oninterest rates and vice versa. Based on its results, this study has important policyimplications, such as government intervention in the secondary market throughbuyback and debt switch, application of a minimum holding period, strengtheningthe control and supervision body, construction of a Bond Stabilization Fundframework, and promotion of project-financing bonds.;High foreign ownership of domestic government bonds (GB) could generateliquidity and reduce governments? cost of borrowing. However, they also containrisk in the case of sudden reversal. This study investigates the behavior of theforeign investors in the domestic Indonesian GB market by applying the vectorauto regression (VAR) model. There are two factors that could determine foreignbehavior in the domestic GB market, namely pull (or internal) factors and push (orexternal) factors. The finding from the VAR estimation provides evidence that oilprice, as a push factor, positively drives foreign capital flows.Dynamic analysis from the Impulse Response Function (IRF) shows that theshock of foreign capital flows negatively respond to GB yield, leading indicator,and exchange rate volatility, and vice versa. However, it has a positive impact oninterest rates and vice versa. Based on its results, this study has important policyimplications, such as government intervention in the secondary market throughbuyback and debt switch, application of a minimum holding period, strengtheningthe control and supervision body, construction of a Bond Stabilization Fundframework, and promotion of project-financing bonds.;High foreign ownership of domestic government bonds (GB) could generateliquidity and reduce governments? cost of borrowing. However, they also containrisk in the case of sudden reversal. This study investigates the behavior of theforeign investors in the domestic Indonesian GB market by applying the vectorauto regression (VAR) model. There are two factors that could determine foreignbehavior in the domestic GB market, namely pull (or internal) factors and push (orexternal) factors. The finding from the VAR estimation provides evidence that oilprice, as a push factor, positively drives foreign capital flows.Dynamic analysis from the Impulse Response Function (IRF) shows that theshock of foreign capital flows negatively respond to GB yield, leading indicator,and exchange rate volatility, and vice versa. However, it has a positive impact oninterest rates and vice versa. Based on its results, this study has important policyimplications, such as government intervention in the secondary market throughbuyback and debt switch, application of a minimum holding period, strengtheningthe control and supervision body, construction of a Bond Stabilization Fundframework, and promotion of project-financing bonds.;High foreign ownership of domestic government bonds (GB) could generateliquidity and reduce governments? cost of borrowing. However, they also containrisk in the case of sudden reversal. This study investigates the behavior of theforeign investors in the domestic Indonesian GB market by applying the vectorauto regression (VAR) model. There are two factors that could determine foreignbehavior in the domestic GB market, namely pull (or internal) factors and push (orexternal) factors. The finding from the VAR estimation provides evidence that oilprice, as a push factor, positively drives foreign capital flows.Dynamic analysis from the Impulse Response Function (IRF) shows that theshock of foreign capital flows negatively respond to GB yield, leading indicator,and exchange rate volatility, and vice versa. However, it has a positive impact oninterest rates and vice versa. Based on its results, this study has important policyimplications, such as government intervention in the secondary market throughbuyback and debt switch, application of a minimum holding period, strengtheningthe control and supervision body, construction of a Bond Stabilization Fundframework, and promotion of project-financing bonds.;High foreign ownership of domestic government bonds (GB) could generateliquidity and reduce governments? cost of borrowing. However, they also containrisk in the case of sudden reversal. This study investigates the behavior of theforeign investors in the domestic Indonesian GB market by applying the vectorauto regression (VAR) model. There are two factors that could determine foreignbehavior in the domestic GB market, namely pull (or internal) factors and push (orexternal) factors. The finding from the VAR estimation provides evidence that oilprice, as a push factor, positively drives foreign capital flows.Dynamic analysis from the Impulse Response Function (IRF) shows that theshock of foreign capital flows negatively respond to GB yield, leading indicator,and exchange rate volatility, and vice versa. However, it has a positive impact oninterest rates and vice versa. Based on its results, this study has important policyimplications, such as government intervention in the secondary market throughbuyback and debt switch, application of a minimum holding period, strengtheningthe control and supervision body, construction of a Bond Stabilization Fundframework, and promotion of project-financing bonds.;High foreign ownership of domestic government bonds (GB) could generateliquidity and reduce governments? cost of borrowing. However, they also containrisk in the case of sudden reversal. This study investigates the behavior of theforeign investors in the domestic Indonesian GB market by applying the vectorauto regression (VAR) model. There are two factors that could determine foreignbehavior in the domestic GB market, namely pull (or internal) factors and push (orexternal) factors. The finding from the VAR estimation provides evidence that oilprice, as a push factor, positively drives foreign capital flows.Dynamic analysis from the Impulse Response Function (IRF) shows that theshock of foreign capital flows negatively respond to GB yield, leading indicator,and exchange rate volatility, and vice versa. However, it has a positive impact oninterest rates and vice versa. Based on its results, this study has important policyimplications, such as government intervention in the secondary market throughbuyback and debt switch, application of a minimum holding period, strengtheningthe control and supervision body, construction of a Bond Stabilization Fundframework, and promotion of project-financing bonds.;High foreign ownership of domestic government bonds (GB) could generateliquidity and reduce governments? cost of borrowing. However, they also containrisk in the case of sudden reversal. This study investigates the behavior of theforeign investors in the domestic Indonesian GB market by applying the vectorauto regression (VAR) model. There are two factors that could determine foreignbehavior in the domestic GB market, namely pull (or internal) factors and push (orexternal) factors. The finding from the VAR estimation provides evidence that oilprice, as a push factor, positively drives foreign capital flows.Dynamic analysis from the Impulse Response Function (IRF) shows that theshock of foreign capital flows negatively respond to GB yield, leading indicator,and exchange rate volatility, and vice versa. However, it has a positive impact oninterest rates and vice versa. Based on its results, this study has important policyimplications, such as government intervention in the secondary market throughbuyback and debt switch, application of a minimum holding period, strengtheningthe control and supervision body, construction of a Bond Stabilization Fundframework, and promotion of project-financing bonds., High foreign ownership of domestic government bonds (GB) could generateliquidity and reduce governments’ cost of borrowing. However, they also containrisk in the case of sudden reversal. This study investigates the behavior of theforeign investors in the domestic Indonesian GB market by applying the vectorauto regression (VAR) model. There are two factors that could determine foreignbehavior in the domestic GB market, namely pull (or internal) factors and push (orexternal) factors. The finding from the VAR estimation provides evidence that oilprice, as a push factor, positively drives foreign capital flows.Dynamic analysis from the Impulse Response Function (IRF) shows that theshock of foreign capital flows negatively respond to GB yield, leading indicator,and exchange rate volatility, and vice versa. However, it has a positive impact oninterest rates and vice versa. Based on its results, this study has important policyimplications, such as government intervention in the secondary market throughbuyback and debt switch, application of a minimum holding period, strengtheningthe control and supervision body, construction of a Bond Stabilization Fundframework, and promotion of project-financing bonds.]"