Santoso, Alvinnata (2014) HUBUNGAN JANGKA PANJANG (KOINTEGRASI) ANTARA INDEKS HARGA SAHAM DI ASIA TERHADAP INDEKS HARGA SAHAM GABUNGAN. Skripsi thesis, UNIVERSITAS TARUMANAGARA.
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Abstract
This study attempts to examine the significant long-run relationship
among the stock price indices of capital market in Asia comprising NIKKEI 225,
KOSPI, HANG SENG, STI, and KLCI to IHSG during the observed periods from
1999 to 2013. The testing method used to analyze are Johansen co-integration test,
VECM estimation and equipped with IRF analysis. This study finds the evidence of
significant co-integration relationship among stock indices in Asia to IHSG during
the observed periods. Furthermore, it also proves that there is significant
simultaneous short-run relationship among stock price indices in Asia to IHSG
during the observed period. However, the partial short-run relationship testing
reveals that only HANG SENG and STI which have significant relationship to
IHSG during the observation period, while NIKKEI 225, KOSPI, and KLCI are
failed to reveals the significant short-run relationships to IHSG.
Keywords: stock indices, co-integration, VECM, IRF
| Item Type: | Thesis (Skripsi) |
|---|---|
| Subjects: | Skripsi/Tugas Akhir Skripsi/Tugas Akhir > Fakultas Ekonomi |
| Divisions: | Fakultas Ekonomi > Manajemen |
| Depositing User: | FE Perpus |
| Date Deposited: | 25 May 2023 07:52 |
| Last Modified: | 25 May 2023 07:52 |
| URI: | https://repotest.untar.ac.id/id/eprint/40189 |
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