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Abstrak :
Penelitian ini bertujuan untuk menganalisis bagaimana pengaruh macroeconomic uncertainty dan financial uncertainty dari Amerika Serikat terhadap pasar modal saham konvensional dan saham syariah di emerging markets, Amerika Serikat dan ASEAN 5 yaitu Indonesia, Malaysia, Singapura, Thailand dan Filipina. Data yang digunakan dari tahun 2002 sampai dengan 2017. Ada 4 metode asset pricing yang digunakan yaitu Fama-French 3 Factor Model, Carhart 4 Factor Model, Fama-French 5 Factor Model, dan Bali, Brown and Tang model. Dalam penelitian ini, digunakan 3 jenis metode olah data. Pertama menggunakan ordinary least square untuk melihat bagaimana pengaruh uncertainty Amerika Serikat. Yang kedua dan ketiga yang dilakukan adalah robustness check yaitu mengolah data dengan ARCH/GARCH dan mengurangkan indeks pasar modal dengan treasury bills rate. Hasil penelitian ini, yang pertama menyatakan bahwa macroeconomic uncertainty dari Amerika Serikat secara signifikan memengaruhi pasar modal saham konvensional emerging markets, Indonesia, Singapura, Malaysia, Thailand dan Filipina. Yang kedua, financial uncertainty dari Amerika Serikat secara signifikan memengaruhi pasar modal saham konvensional emerging markets dan Singapura jika mengunakan metode French 5 Factor Model dan Bali, Brown and Tang model. Yang ketiga, macroeconomic uncertainty dari Amerika Serikat secara signifikan memengaruhi pasar modal saham syariah emerging markets, Singapura dan Malaysia. Yang keempat, financial uncertainty dari Amerika Serikat secara signifikan memengaruhi pasar modal saham syariah Singapura jika menggunakan model French 5 Factor Model dan Bali, Brown and Tang model. ......This study analyzes the impact of macroeconomic uncertainty and financial uncertainty from the United States on conventional stock market and Islamic stocks in emerging markets, the United States and ASEAN 5, namely Indonesia, Malaysia, Singapore, Thailand and the Philippines. The data was used from 2002 to 2017. There were 4 asset pricing methods used, namely Fama-French 3 Factor Model, Carhart 4 Factor Model, Fama-French 5 Factor Model, and Bali, Brown and Tang model. In this study, 3 types of data processing methods were used. The first one used was ordinary least square to see how the United States uncertainty affects. The second and third conducted is robustness check, namely processing data with ARCH/GARCH and subtracting stock market index with treasury bills rate. The results of this study, the first stated that macroeconomic uncertainty from the United States significantly affected the conventional stock market of emerging markets, Indonesia, Singapore, Malaysia, Thailand and the Philippines. Secondly, financial uncertainty from the United States significantly affected the conventional stock market of emerging markets and Singapore if using the French 5 Factor Model and Bali, Brown and Tang models. Third, macroeconomic uncertainty from the United States significantly affected the Islamic stock market in emerging markets, Singapore and Malaysia. Fourth, financial uncertainty from the United States significantly affected the Islamic capital markets of Singapore if using the French 5 Factor Model and Bali, Brown and Tang models.

Abstrak :
Penelitian ini bertujuan untuk menganalisa tentang momen imbal hasil pasar di Indonesia yaitu volatilitas, kecondongan dan keruncingan (volatility, skewness dan kurtosis) dan meneliti mana di antara mereka yang mampu menangkap eksposur risiko. Dengan bantuan cross section dari tingkat imbal hasil, penulis ingin melihat momen pasar mana yang bisa menangkap eksposur risiko. Ada dua pendekatan yang digunakan dalam penelitian ini. Pertama, dengan melihat pergerakan imbal hasil portofolio yang telah disusun berdasarkan koefisien delta volatilitas, delta kecondongan dan delta keruncingan yang didapat dari rumus univariate dan multivariate dan pendekatan yang kedua adalah dengan melihat pergerakan Jensen's alpha yang telah dihitung menggunakan Fama-French Three Factor Model. Ada empat periode yang digunakan penulis dalam penelitian ini yaitu periode 2002-2012, periode sebelum krisis, periode krisis dan periode setelah krisis. Hasil penelitian di Indonesia menyatakan bahwa keruncingan dari imbal hasil pasar perbulan yang menggunakan rumus univariate mampu menangkap eksposur risiko, baik itu average return maupun Jensen?s alpha.

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This study analyzes moments of market return in Indonesia, they are volatility, skewness and kurtosis and analyzes which one of them is able to capture exposure of risk. With the help of cross-section of stock return, authors want to see which one from three moments of market return can capture risk. There are two approaches in this study. The first one is by looking at the movement of the portolio return that had been prepared based on the coefficient of delta volatility, delta skewness and delta kurtosis obtained from univariate and multivariate formula and the second one is by looking at the movement of Jensen's alpha that had been calculated using Fama-French Three Factor Model. There are four period used in this study, those are 2002-2012, before crisis period, crisis period, and after crisis period. The results in Indonesia stated that the kurtosis of monthly market returns using univariate formula is able to capture the exposure of risk, both average returns and Jensen's alpha.