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Interdependensi Pasar Saham Indonesia Dan Pasar Saham Beberapa Negara Uni Eropa

Suryanto, (2015) Interdependensi Pasar Saham Indonesia Dan Pasar Saham Beberapa Negara Uni Eropa. Abstrak.

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Abstract

ABSTRAK. Penelitian ini bertujuan menganalisis interdependensi pasar saham Indonesia dengan pasar saham beberapa negara Uni Eropa saat terjadinya krisis utang di negara Uni Eropa. Adapun pasar saham beberapa negara Uni Eropa itu adalah Yunani, Irlandia, Portugal, dan Perancis. Penelitian ini menggunakan data indeks harian pasar saham Indonesia, Yunani, Irlandia, Portugal, dan Perancis selama 2 tahun. Penelitian akan dilakukan dengan menggunakan uji kausalitas granger, vector autoregression, uji kointegrasi, impulse response function dan variance decomposition. Berdasarkan hasil penelitian, hanya pasar saham Indonesia dan Portugal yang memiliki hubungan dua arah atau bilateral, sedangkan pasar saham Indonesia, Perancis dan Irlandia hanya memiliki hubungan satu arah atau unidirectional. Selain itu, pasar saham Yunani dan Irlandia juga hanya memiliki hubungan satu arah atau hubungan unidirectional. Tidak terdapat hubungan jangka panjang diantara pasar saham Indonesia, Yunani, Irlandia, Portugal, dan Perancis. Rata-rata pasar saham setelah bulan ke-2 indeks pasar saham tersebut tidak saling berpengaruh secara signifikan. Kemudian diantara kelima pasar saham, pasar saham Indonesia merupakan pasar saham yang paling tidak direspon oleh pasar saham lain yang menjadi objek penelitian. ABSTRACT. This study aims to analyze the interdependence of the Indonesian stock market with a market share several EU countries when the debt crisis in the European Union. As for the stock market several EU countries it is Greece, Ireland, Portugal, and France. This study uses data daily stock market indices Indonesia, Greece, Ireland, Portugal, and France for 2 years. Research will be conducted by using granger causality test, vector auto regression, co integration test, impulse response function and variance decomposition. Based on the results of the study, only the stock market of Indonesia and Portugal which has a two-way or bilateral, whereas the Indonesian stock market, France and Ireland only has a one-way or unidirectional. In addition, stock markets Greece and Ireland also only has a one-way or unidirectional relationship. There is a long-term relationship between the Indonesian stock market, Greece, Ireland, Portugal, and France. The average stock market after the 2nd month of the stock market index is not significantly influence each other. Then among the five stock market, stock market Indonesia is a stock market responded by most other stock market which is the object of research.

Item Type: Article
Uncontrolled Keywords: Granger Causality, Interdependensi Pasar Saham, Kausalitas Granger, Kointegrasi, Stock Market Interdependence, co integration
Subjects: UNPAD's Collections > Abstrak
Divisions: UPT Perpustakaan
Depositing User: Administrator
Date Deposited: 05 Oct 2016 14:06
Last Modified: 05 Oct 2016 14:06
URI: http://repository.unpad.ac.id/id/eprint/20745

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