STUDI SPILLOVER EFEK EXCHANGE-TRADED FUNDS (ETFs) DI ASEAN

JURNAL RISET MANAJEMEN DAN BISNIS (JRMB) FE-UNIAT

View Publication Info
 
 
Field Value
 
Title STUDI SPILLOVER EFEK EXCHANGE-TRADED FUNDS (ETFs) DI ASEAN
 
Creator Juliana, Ahmad
Mutoharo, Apriliani
 
Description The volatility of financial security make an investor difficult and inaccurate to predict the value of targeted investation. The failure for predicting the value of financial asset will mitigate for either succeed or not an investation. That condition will not happen if an investor has knowledge for predicting the volatility financial asset. There for, we need study for forecasting the spillover effect of financial asset using ARCH-GARCH model. The novelty of this study is, we compare the three of ASEAN ETFs that still rarely investigate, are:  Indonesia, Malaysia and Singapore using 5 samples of ETFs. We applied Autoregressive Conditional Heteroskedasticity (ARCH) and Generalized Autoregressive Conditional Heteroskedasticity (GARCH) for predicting the spillover efect. The result of unit root test shown that the data not stationer at level, however stationer at first difference. The result of GARCH for JK-LQ45, EWS and EIDO are not significant and it mean there is not ARCH effect. In contract the result are significant for ETF EWM and FXSG. We also found the best AIC are from ETF EWS and ETF FXSG.
 
Publisher Economic Faculty, Attahiriyah Islamic University
 
Date 2019-06-19
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://jrmb.ejournal-feuniat.net/index.php/JRMB/article/view/262
10.36226/jrmb.v4i2.262
 
Source Jurnal Riset Manajemen dan Bisnis (JRMB) Fakultas Ekonomi UNIAT; Vol 4 No 2 (2019); 245 - 256
2581-2165
2527-7502
 
Language eng
 
Relation http://jrmb.ejournal-feuniat.net/index.php/JRMB/article/view/262/139
 
Rights Copyright (c) 2019 Ahmad Juliana
http://creativecommons.org/licenses/by-nc-sa/4.0
 

Contact Us

The PKP Index is an initiative of the Public Knowledge Project.

For PKP Publishing Services please use the PKP|PS contact form.

For support with PKP software we encourage users to consult our wiki for documentation and search our support forums.

For any other correspondence feel free to contact us using the PKP contact form.

Find Us

Twitter

Copyright © 2015-2018 Simon Fraser University Library