Sofa, Rulia (2015) Analisis Potensi Contagion Effect Antar Indeks Pasar Modal di Kawasan Asia. Sarjana thesis, Universitas Brawijaya.
Abstract
Penelitian ini bertujuan untuk: (1) mengetahui bagaimana hubungan antar indeks Nikkei 225, SSEC, STI, KLSE dan IHSG, dan (2) mengetahui pergerakan indeks pasar modal yang memiliki pengaruh dominan. Penelitian ini menggunakan variabel indeks Nikkei 225, SSEC, STI, KLSE, dan IHSG yang diambil setiap akhir bulan dari bulan Juli 2008-September 2014. Penelitian ini menggunakan metode analisis Vector Error Correction Mechanism, Impulse Response Function, dan Variance Decomposition. Hasil penelitian menunjukkan bahwa (1) Semua indeks pasar modal Asia dalam jangka pendek tidak berpotensi menular (contagion effect) ke indeks Jepang, namun dalam jangka panjang hanya indeks Shanghai, Singapura, dan Indonesia yang berpotensi menular (contagion effect) ke indeks Jepang sedangkan indeks Malaysia tidak berpotensi menular (contagion effect) ke indeks Jepang. (2) Semua indeks pasar modal Asia dalam jangka pendek tidak berpotensi menular (contagion effect) ke indeks Shanghai, namun dalam jangka panjang hanya indeks Jepang dan Indonesia yang berpotensi menular (contagion effect) ke indeks Shanghai sedangkan indeks Singapura dan Malaysia tidak berpotensi menular (contagion effect) ke indeks Shanghai. (3) Terdapat potensi penularan (contagion effect) dalam jangka pendek ke pasar modal Singapura yaitu dari pasar modal Malaysia dan Shanghai, sementara dalam jangka panjang hanya indeks Jepang, Shanghai dan Indonesia yang berpotensi menular (contagion effect) ke indeks Singapura, sedangkan indeks Malaysia tidak berpotensi menular (contagion effect) ke indeks Singapura. (4) Semua indeks pasar modal Asia dalam jangka pendek tidak berpotensi menular (contagion effect) ke Indeks Malaysia, namun dalam jangka panjang semua indeks pasar modal Asia tersebut berpotensi menular (contagion effect) ke Indeks Malaysia. (5) Terdapat potensi penularan (contagion effect) dalam jangka pendek ke pasar modal Indonesia, yaitu dari pasar modal Jepang dan Shanghai, namun dalam jangka panjang pasar modal Jepang, Shanghai, dan Singapura saja yang berpotensi menular (contagion effect) ke Indonesia, sementara Malaysia tidak berpotensi menular (contagion effect) ke Indonesia. (6) Indeks pasar modal Asia yang paling dominan untuk mempengaruhi indeks lain yaitu indeks Jepang (Nikkei 225).
English Abstract
This research has purposes to: (1) know the relationship between Nikkei 225 index , SSEC, STI, KLSE and the Composite index (IHSG), and (2) know the movement of the capital market index had a dominant effect. This research used variables, Nikkei 225 index, SSEC index, STI index, KLSE index, and IHSG index and taken every end of the month of July 2008- 2014. This research used analysis method Vector Error Correction Mechanism, Impulse Response Function and Variance Decomposition. This research result showed that: (1) All Asian capital market index in the short term not that potentially contagious to Japan index, but in the long term only the Shanghai index, Singapore index, and Indonesia index has the potentially contagious to Japan index, while the Malaysia index not that potentially contagious to Japan index. (2) All capital market index in the short term not potentially contagious to Shanghai index, but in the long term only the Japan index and Indonesia index has the potentially contagious to Shanghai index, while the Singapore index and Malaysia index not potentially contagious to Shanghai index. (3) There is the potential contagion in the short term to the Singapore capital markets, that is from the Malaysia and Shanghai capital market, while in the long term only Japan index, Shanghai index and Indonesia index has the potentially contagious to Singapore index, while the Malaysia index not potentially contagious to Singapore index. (4) All Asian capital market index in the short term not potentially contagious to Malaysia Index, but in the long term all Asian capital market index has the potentially contagious to Malaysia Index. (5) There is potential contagion in the short term to the Indonesian capital market, that is from the Japan and Shanghai capital markets, but in the long term only the Japan capital markets, the Shanghai capital markets, and the Singapore capital markets has the potentially contagious to Indonesia, while the Malaysia not potentially contagious to Indonesia. (6) Asian capital market index are the most dominant effect on another index that is index of Japan (Nikkei 225).
| Item Type: | Thesis (Sarjana) |
|---|---|
| Identification Number: | SKR/FE/2015/327/051504022 |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Fakultas Ekonomi dan Bisnis > Ilmu Ekonomi |
| Depositing User: | Endang Susworini |
| Date Deposited: | 02 Jul 2015 09:31 |
| Last Modified: | 01 Nov 2021 02:51 |
| URI: | http://repository.ub.ac.id/id/eprint/107915 |
Preview |
Text
5._RIWAYAT_HIDUP.pdf Download (1MB) | Preview |
Preview |
Text
6._UCAPAN_TERIMA_KASIH.pdf Download (1MB) | Preview |
Preview |
Text
7._MOTTO.pdf Download (1MB) | Preview |
Preview |
Text
8._KATA_PENGANTAR.pdf Download (1MB) | Preview |
Preview |
Text
9._DAFTAR_ISI.pdf Download (1MB) | Preview |
Preview |
Text
1._Cover_-_Rulia_Sofa_(115020401111006).pdf Download (1MB) | Preview |
Preview |
Text
9.1._DAFTAR_GAMBAR.pdf Download (1MB) | Preview |
Preview |
Text
9.2._DAFTAR_TABEL.pdf Download (1MB) | Preview |
Preview |
Text
10._DAFTAR_LAMPIRAN.pdf Download (1MB) | Preview |
Preview |
Text
12._BAB_1-5.pdf Download (3MB) | Preview |
Preview |
Text
11._ABSTRAKSI.pdf Download (1MB) | Preview |
Preview |
Text
13._DAFTAR_PUSTAKA.pdf Download (1MB) | Preview |
Actions (login required)
 |
View Item |