Hasil Pencarian  ::  Simpan CSV :: Kembali

Abstrak :
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. ......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.

Abstrak :
The goal of this paper is to address the relationship between crude oil-price changes on some selected African Islamic indices, using daily data from May 4, 2011, to January 25, 2018. We employed three main techniques: MODWT, CWT, and multivariate-GARCH-DCC, to analyze whether these markets have any diversification opportunities. Our findings reveal that, first, the results of MODWT shows Egyptian Islamic index leading all indices. Second, CWT results show that investors would gain diversification benefits in almost all markets (except South Africa) and enjoy the benefit that comes with long-term investments. Third, we observed low correlations between the Egyptian and Tunisian Islamic indices, with oil-price returns suggesting diversification benefits in these markets. Of all the Islamic stock markets, Tunisia's has the lowest volatility with the crude oil index. Investors holding a portfolio of these stocks can afford to have exposure in crude oil–related assets and achieve maximum diversification benefits.