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Hasil Pencarian

Ditemukan 3 dokumen yang sesuai dengan query
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Ossi Ferli
Analisa Dynamic Conditional Correlation Pasar Ekuitas Asia Pasifik dan Amerika Latin: Interdependence dan Contagion = Dynamic Conditional Correlation Analysis Asia Pasific and Latin Amerika Equity Market: Interdependence and Contagion
" Tesis ini menganalisa mengenai korelasi dinamis pada data harga saham harian pasar ekuitas tiga belas negara Asia Pasifik dan lima negara Amerika Latin selama periode 2003 sampai 2012. Kami mengidentifikasi dua periode krisis selama periode penelitian. Yang pertama adalah krisis keuangan global dengan Amerika Serikat sebagai sumber krisis dan kedua krisis eropa dengan Eropa sebagai sumber krisis. Penelitian empiris dengan menggunakan Dynamic Conditional Correlation sebagai metode multivariate GARCH menunjukkan adanya rata-rata korelasi dinamis yang tinggi ... "
Depok: Fakultas Ekonomi dan Bisnis Universitas Indonesia, 2013
T-pdf
UI - Tesis Membership  Universitas Indonesia Library
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Emenike O. Kalu
Dynamic correlation between stock market returns and crude oil prices: evidence from a developing economy
" Modeling the correlation of assets returns volatilities across different markets or segments of a market has practical value for portfolio selection and diversification, market regulation, and risk management. This paper therefore evaluates the nature of time-varying correlation between volatilities of stock market and crude oil returns in Nigeria using Dynamic Conditional Correlation-Generalised Autoregressive Conditional Heteroscedasticity (DCC-GARCH) model. Results from DCCGARCH (1,1) model show evidence of volatility clustering and persistence in Nigeria stock market and crude oil returns. The results also show ... "
Rhema University Nigeria, Department of Banking and Finance, 2015
J-Pdf
Artikel Jurnal  Universitas Indonesia Library
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Fatima M. Abdulkarim
The nexus between oil price and islamic stock markets in Africa: A wavelet and multivariate-garch approach
" The goal of this paper is to address the relationship between crude oil-price changes on some selected African Islamic indices, using daily data from May 4, 2011, to January 25, 2018. We employed three main techniques: MODWT, CWT, and multivariate-GARCH-DCC, to analyze whether these markets have any diversification opportunities. Our findings reveal that, first, the results of MODWT shows Egyptian Islamic index leading all indices. Second, CWT results show that investors would gain diversification benefits ... "
Amsterdam: Elsevier, 2020
658.15 BIR 20:2 (2020)
Artikel Jurnal  Universitas Indonesia Library