Prosiding Working Papers Series In Management
Vol 10, No 1 (2018): Prosiding Working Papers Series In Management

ANALISIS PENGARUH NILAI TUKAR TERHADAP HARGA SAHAM LQ45 DENGAN METODE EGARCH (2012-2015)

Natalia Annastasia (Universitas Katolik Indonesia Atma Jaya)
Yudith Dyah Hapsari (Universitas Katolik Indonesia Atma Jaya)

Article Info

Publish Date
01 May 2018

Abstract

This study aims to investigate the effect of exchange rate and previous period index price of LQ45 towards LQ45 index. This study is done by utilizing ARCH/GARCH model with the specification EGARCH using the daily historical data during the 2010-2015 periods. The result of this study shows indicates that exchange rate and the index price of previous period significantly affect LQ45 index. Furthermore, there is only one company listed in LQ45, PT. Jasa Marga which transactions and financing did not using any foreign currency.Keywords: EGARCH, Exchange Rate, LQ45.

Copyrights © 2018




Citation Download
RIS
EndNote, Reference Manager, ProCite
BibTex
Latex, Jabref
Full PDF
433.575 KB
Original Source
Download Original
Google Scholar
Check in Google Scholar
Journal Info
Prosiding Working Papers Series In Management
Website

Abbrev

Publisher

Universitas Katolik Indonesia Atma Jaya

Subject

Decision Sciences, Operations Research & Management

Description

...