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NASIONAL AKUNTANSI PADANG 9 SIMPOSIUM

ANALISA HUBUNGAN INDEX HARGA SAHAM GABUNGAN (rHSG)JAKARTA (JSX),LONDON (FTSB),TOKYO (NrKKEr) DAN (SSD SINGAPURA

Pendekatun Model Ekonometri - Autocoruelation Condition Heteroscedasticity (ARCH) / GenerulizedAutocorrelation Condition Heteroscedssticity(GARCH) Dan VectorAutoregression (VAR) - Suatu studi empiris taltun 2000 - 2005

LUDOVICUS WONDABIO SENSI

ProgramDoctoral- ProgramIlmu akuntansi FakultasEkonomi Universitas Indonesia

ABSTRACT: The objective of this research is to analyze the relationship between Jakarta's Stock Price Index (JSX) and London Stock Price Index FTSD, Tolqto Stock Price Index NIKKE, and SingaporeStockPrice Index (SSI)usingEconometric Model of Autocorrelation Condition Heteroscedasticity (ARCH) / Generalized Autocorrelation Condition Heteroscedasticity(GARCH) and VectorAutoregression (VAR)for the years 2001 - 2005. Basedon the result of this research,thepattern of relotionship benueenJSX and FTSE, NIKKEI and SSI has a dffirence pattern and unique characteristics. FTSE and NIKKEI have a significant impact to JSX but JSX did not have impact to FTSE and NIKKEI. This condition has approved that the developed countries has a significant impact to the economyof developingcountry. The relationship betweenJSX and SSIhas a negative impact to JSX Key words: StockPrice Index, Capital Market, ARCH/GARCH and VAR Data availability: Data usedin thts researchare derivedfrom publicly available.

Padang,23-26Agustus 2006

K-AKPM 07

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