Andriani, Selvia and Prof. Dr. Moeljadi,, SE., SU., M.Sc., CFP., and Dr. Siti Aisjah, SE., MS, CSRS., CFP.,, SE., MS, CSRS., CFP., (2023) Integrasi Indeks Saham dan Pengaruh Moderasi dari Persepsi Risiko Investor dan Price-Earnings Ratio Pasar Pada Saat Pandemi Covid-19 (Studi Pada Jakarta Islamic Index dan Dow Jones Islamic Market Index). Magister thesis, Universitas Brawijaya.
Abstract
Liberalisasi pasar modal memberikan peluang diversifikasi internasional bagi investor di pasar modal. Akan tetapi perkembangan dalam bidang teknologi informasi yang menyebabkan kecepatan penyebaran informasi mendorong terjadinya integrasi pasar modal, di mana pasar modal suatu negara akan berhubungan dengan pasar modal negara lain akibat ketergantungan antar negara dalam sektor politik maupun ekonomi. Penelitian ini bertujuan untuk mengidentifikasi hubungan integrasi antara indeks saham di Indonesia dengan indeks saham global pada saat pandemi Covid-19 serta kemampuan dari persepsi risiko investor dan price-earnings ratio (PER) pasar dalam memperkuat atau memperlemah hubungan integrasi tersebut. Penelitian ini menggunakan pendekatan kuantitatif dan menetapkan Dow Jones Islamic Market Index (DJIMI) sebagai variabel bebas dan Jakarta Islamic Index (JII) sebagai variabel terikat dengan periode pengamatan selama lima tahun, yaitu dari 2018-2022. Pengujian integrasi menggunakan metode Generalized Autoregressive Conditional Heterokedasticity (GARCH) untuk menguji hubungan integrasi dari kedua indeks saham dan kemudian menggunakan DCC-GARCH untuk menguji kemampuan persepsi risiko investor dan PER dalam memoderasi integrasi indeks saham. Hasil penelitian menunjukkan bahwa indeks saham syariah di Indonesia terintegrasi dengan indeks saham syariah global. Hubungan integrasi indeks semakin kuat pada saat terjadi pandemic Covid-19. Persepsi risiko investor dan PER pasar mampu memoderasi hubungan integrasi indeks saham, di mana hubungannya positif dan signifikan. Saat persepsi risiko investor meningkat maka hubungan integrasi indeks akan semakin kuat, begitu juga saat nilai PER pasar meningkat maka hubungan integrasi indeks juga semakin kuat.
English Abstract
opportunities for investors. However, developments in information technology that trigger information propagation acceleration have caused capital market integration in that the capital markets of a country are connected those in other countries owing to inter-country dependencies in both politics and economy. The objectives of this research are to identify the relationship between the integration of Indonesia’s stock indices with global stock indices during the Covid-19 pandemic and the ability of investor’s perceived risk and market’s price-earnings ratio (PER) to strengthen or weaken the said integration relationship. This quantitative research uses Dow Jones Islamic Market Index (DJIMI) as the independent variable and Jakarta Islamic Index (JII) as the dependent variable; they were observed for five years, from 2018- to 2022. The integration was assessed using Generalized Autoregressive Conditional Heteroscedasticity (GARCH) to examine the integration relationship between the two stock indices, followed by DCCGARCH to test the ability of investor’s perceived risk and market’s price-earnings ratio to moderate the integration of those stock indices. This study finds that Islamic stock index in Indonesia is integrated with global Islamic stock index. The integration of the stock indices got stronger during the Covid- 19 pandemic. Investor’s perceived risk and market’s price-earnings ratio were able to moderate the integration relationship of the stock indices, and the relationship is positive and significant. If investor’s perceived risk increases, the integration of the stock indices will become stronger, and if the market’s price-earnings ratio increases, the integration of the stock indices will also become stronger.
Item Type: | Thesis (Magister) |
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Identification Number: | 0423020107 |
Uncontrolled Keywords: | Integrasi pasar modal, faktor pendorong integrasi pasar modal, persepsi risiko investor, PER pasar. |
Divisions: | Fakultas Ekonomi dan Bisnis > Manajemen |
Depositing User: | Unnamed user with username nova |
Date Deposited: | 16 Jan 2024 02:46 |
Last Modified: | 16 Jan 2024 02:46 |
URI: | http://repository.ub.ac.id/id/eprint/208330 |
Text (DALAM MASA EMBARGO)
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