Jurnal Ekobis : Ekonomi Bisnis & Manajemen
Vol 8, No 2 (2018): Jurnal Ekobis: Ekonomi Bisnis dan Manajemen

ANALISIS VOLATILITAS IMBAL HASIL REKSADANA SAHAM (STUDI KASUS PADA REKSADANA SCHRODER DANA PRESTASI PLUS)

Ari Yulianto (Universitas Mercu Buana, Jakarta)
Heri Ispriyahadi (STIEMuhammadiyah Jakarta)

Article Info

Publish Date
05 Mar 2020

Abstract

This research aims to analyze the empirical evidence of the volatility of stock mutual fund returns. The data used is the daily yield data of Schroder Dana Prestasi Plus mutual funds. The analytical methods used in this study are GARCH (Generalized Auto Regression Heteroscedasticity) and EGARCH (Exponential Generalized Auto Regitional Heteroscedasticity). The results showed that the yield of Schroder Dana Prestasi Plus stock mutual funds proved significantly that there was a time varying volatility phenomenon. Then the volatility in the yield of Schroder Dana Prestasi Plus stock mutual funds was proven to be significantly unaffected by the asymmetric behavior therein. And the level of persistence in the volatility is quite low.

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Journal Info
Jurnal Ekobis : Ekonomi Bisnis & Manajemen
Website

Abbrev

ekobis

Publisher

Sekolah Tinggi Ilmu Ekonomi Muhammadiyah Jakarta

Subject

Economics, Econometrics & Finance Social Sciences

Description

Jurnal Ekobis: Ekonomi Bisnis & Manajemen menerima artikel ilmiah dengan ruang lingkup ekonomi bisnis dan manajemen dengan area penelitian pada: Manajemen Pemasaran, Manajemen Sumber Daya Manusia, Manajemen Produksi, Manajemen Strategi. Manajemen Keuangan Manajemen Akuntansi Sistem Informasi ...