Sari, Prita Tunjung (2013) INFORMATION TRANSMISSION BETWEEN ISLAMIC STOCK INDEX IN JAKARTA ISLAMIC INDEX (JII) AND DOW JONES ISLAMIC MARKET WORLD INDEX (DJIMID). S1 thesis, UAJY.
|
Text (Title Page)
0EMI16798.pdf Download (600kB) | Preview |
|
|
Text (Chapter I)
1EMI16798.pdf Download (203kB) | Preview |
|
|
Text (Chapter II)
2EMI16798.pdf Download (244kB) | Preview |
|
![[img]](http://e-journal.uajy.ac.id/style/images/fileicons/text.png) |
Text (Chapter III)
3EMI16798.pdf Restricted to Registered users only Download (250kB) |
|
|
Text (Chapter IV)
4EMI16798.pdf Restricted to Registered users only Download (257kB) |
|
|
Text (Chapter V)
5EMI16798.pdf Download (242kB) | Preview |
Abstract
This research is to examine the transmission of information (at return and volatility level) as well as the correlation between Jakarta Islamic Index and Dow Jones Islamic Market World Index. Data used in this research is secondary data comes from Yahoo Finance, which is the daily return from November 30th, 2007 until May 16th, 2012. The tools to analyze the significance between those two market indices are bivariate VAR GJR-GARCH model. The results indicate significant unidirectional return and volatility transmissions from Dow Jones Islamic Market World Index and Jakarta Islamic Index. There is no evidence of asymmetric effects in volatility in both markets. However volatility is highly persistent and mean-reverting in each market. The findings also revealed that there is low correlation between the two Islamic stock markets investigated.
| Item Type: | Thesis (S1) |
|---|---|
| Uncontrolled Keywords: | , Financial markets, Stock exchanges, Information transfer |
| Subjects: | Business Management > International Financial Management |
| Divisions: | Fakultas Ekonomi > Manajemen Internasional |
| Depositing User: | Editor UAJY |
| Date Deposited: | 06 May 2013 08:29 |
| Last Modified: | 06 May 2013 08:29 |
| URI: | http://e-journal.uajy.ac.id/id/eprint/1256 |
Actions (login required)
 |
View Item |
