Risk Volatility Measurement: Evidence from Indonesian Stock Market
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서지정보
ㆍ발행기관 : 한국유통과학회
ㆍ수록지정보 : The Journal of Asian Finance, Economics and Business / 3권 / 3호
ㆍ저자명 : Mustika Rahmi, Nurul Azma, Aminullah Achmad Muttaqin, Thuba Jazil, Mahfuzur Rahman
ㆍ저자명 : Mustika Rahmi, Nurul Azma, Aminullah Achmad Muttaqin, Thuba Jazil, Mahfuzur Rahman
목차
1. Introduction12. Literature Review
2.1. Volatility Forecasting
2.2. Volatility Measurement (Modeling)
2.3. Volatility and Macroeconomics
2.4. Volatility in Islamic Market
2.5. Volatility in Indonesia Stock Market
3. Methodology
3.1 Data
3.2 Instrumental Variables
3.3. Volatility Measure
3.4. GARCH Model
3.5. Regression Analysis
4. Findings and Discussions
5. Conclusion
References
영어 초록
The purpose of this paper is to investigate the volatility of both Islamic and conventional stock market in Indonesia with the aim of identifying the most appropriate model for risk management practice. The study considers GARCH as a genre of model to measure the volatility of stock market movement. The results support the view that each model shows specific volatility from both Islamic and conventional stock market in Indonesia. In Islamic stock market, volatility is affected by exchange rate and money supply (M1) but not interest rate as interest is prohibited in Islam. However, interest rate is found as a principal factor that affects volatility of conventional stock market. The outcomes of this paper are of particular significance to policy makers, as it provides guidelines to maintain economic health. Furthermore, the findings may assist practitioners to understand the consequences of macroeconomic factors such as exchange rate, money supply and interest rate, which are very crucial for the market stability of Indonesian stock market. The paper enhances the understanding of stock market volatility and proposes guidelines risk management practices.참고 자료
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