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All Journal JURNAL MEDIA INFORMATIKA BUDIDARMA Al-Infaq : Jurnal Ekonomi Islam Jurnal Manajemen Indonesian Capital Market Review
Siti Saadah
Fakultas Ekonomi, Unika Atma Jaya
Computer Science & IT Control & Systems Engineering Economics, Econometrics & Finance Electrical & Electronics Engineering

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ANALISIS PROSES PELAKSANAAN AKAD RAHN PADA PT. BPRS AMANAH UMMAH Saadah, Siti
AL-INFAQ Vol 4, No 1 (2013)
Publisher : Ibn Khaldun University, Bogor

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (454.019 KB)

Abstract

Volatility Spillover In Stock And Commodity Futures Market: Empirical Analysis In Indonesia’s Financial Market Saadah, Siti
Jurnal Manajemen Vol 22, No 2 (2018): June 2018
Publisher : Fakultas Ekonomi dan Bisnis, Universitas Tarumanagara

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (517.799 KB) | DOI: 10.24912/jm.v22i2.363

Abstract

Volatility spillover between stock markets causes insignificancy of diversification. Therefore, other investment alternatives is required to build an optimal portfolio, one of them being commodity futures. The low correlation between commodity futures and stocks indicates the advantage of diversification in investment portfolio containing both assets. In order to prove the advantage of diversification, author tested the existence of volatility spillover during September 16, 2010 - September 30, 2015. Estimation result using GARCH method indicates the presence of significant volatility spillover from stock exchange to commodity futures exchange. An important implication of this finding is that if the sectoral stock index and commodity futures are incorporated into an investment portfolio, the investor will not have optimal diversification advantage. This is because there is a correlation between performance of both markets as a result of both markets having the same characteristics in response to the shock that is coming.
Prediction of Basic Material Prices on Major Holidays Using Multi-Layer Perceptron Ihsan, Rivan Nur; Saadah, Siti; Wulandari, Gia Septiana
JURNAL MEDIA INFORMATIKA BUDIDARMA Vol 6, No 1 (2022): Januari 2022
Publisher : STMIK Budi Darma

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30865/mib.v6i1.3508

Abstract

The prediction of the price of basic necessities on major holidays in Indonesia, such as Eid al-Fitr, Christmas, New Year, Chinese New Year, and Eid al-Adha, is something that needs to be observed, because there are often movements in the prices of basic commodities that increase or decrease very drastically. One of the main ingredients experiencing this is eggs, which often experience a significant increase, so it is necessary to make observations in the form of predictions to keep control of fluctuations, especially before and after the big day occurs. In this study, predictions were made on the price of basic commodities on the big day. With the prediction of the cost of goods on the big day, it is hoped that related parties can be assisted in monitoring and stabilizing the movement of basic commodity prices on the market. In this study, a prediction system for the price of basic commodities was produced using the Multi-Layer Perceptron (MLP) method. This MLP method can predict time-series data that experiences a lot of fluctuation. In this prediction, MLP can make predictions on ten prices of basic commodities on major holidays every day. The results of this study were divided into three groups, namely Worst, Average, and Best. The division of these three groups separates which staple ingredients have the closest predictions to their actual values. The Worst group is the group whose prediction results are still quite far from the actual, the Average group which is close to the actual value, and the Best group which has the best results because it is very close to the actual value. With prediction results measured using MSE, the Worst group consisted of cooking oil (MSE 0.00197), beef (0.00186), rice (0.00118), and sugar (0.00100). Then the Average group consisted of eggs (0.00096), red chili (0.00085), chicken (0.00074), garlic (0.00062), and cayenne pepper (0.00056). Finally, the Best group only consisted of Shallots with an MSE of 0.00040.
Response Asymmetry in Spillover Volatility: An Empirical Study in the Indonesia and Singapore Stock Market Saadah, Siti
The Indonesian Capital Market Review Vol. 5, No. 2
Publisher : UI Scholars Hub

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Abstract

Following the blueprint of the ASEAN integration 2015, the integration of the financial markets in this region will increase. This study investigates the existence of a volatility spillover from the Singaporean stock market into Indonesia, including its transmission pattern. Singapore, as an advanced country in the ASEAN region, has played an important role as the information leader in the market of this region, so that it is very possible that the shocks in the Singapore’s stock market will be transmitted to another stock market in this region. Using TGARCH (1,1) model specification regarding the data of the daily return of the Indonesia market index (IHSG) for the period of January 2008 – August 2012, it is observed that the shock that took place in the Singapore stock market is immediately transmitted to the Indonesia stock market with two important asymmetric patterns. The transmission of the shock from the Singapore stock exchange becomes stronger when this market (1) experiences a negative return, and (2) is in the bearish phase.
Co-Authors ABADI Gia Septiana Wulandari Ihsan, Rivan Nur