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HUBUNGAN JANGKA PANJANG DAN PENDEK ANTARA FAKTOR-FAKTOR EKONOMI MAKRO DAN PASAR MODAL BERKEMBANG TERHADAP PASAR MODAL INDONESIA

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Relation http://repository.ubaya.ac.id/396/
 
Title HUBUNGAN JANGKA PANJANG DAN PENDEK ANTARA FAKTOR-FAKTOR EKONOMI MAKRO DAN PASAR MODAL BERKEMBANG TERHADAP PASAR MODAL INDONESIA
 
Creator Marciano, Deddy
 
Subject HG Finance
 
Description This paper attempts to find short run and long run relationship between Indonesian macroeconomic variables (first model) and developed international capital markets (second model) with the Indonesian Capital market using Engle-Granger Error Correction Model (EG-ECM) in pre crisis period 1997 and crisis period. We also conducted nested and non nested tests to find the best model. Our hypothesis is that in pre crisis period 1997, Indonesian macroeconomic model can explain the movement of Indonesian capital market better than developed international capital market does. In contrary, in crisis period 1997, developed international capital market can explain the behavior of Indonesian capital market better than Indonesian macroeconomic model does. Our main result shows that there is no superior or better model between the macroeconomic model and the international capital market model which can explain the Indonesian capital market movement does. Furthermore, the best way to predict the Indonesian capital market movement is by combining between them.
 
Date 2009-08
 
Type Conference or Workshop Item
PeerReviewed
 
Format application/pdf
application/pdf
application/pdf
 
Language en
en
en
 
Identifier /396/1/Marciano_Hubungan%20Jangka%20Panjang_Abstract_2009.pdf
/396/2/Marciano_Hubungan%20Jangka%20Panjang_2009.pdf
/396/3/Marciano_Hubungan%20Jangka%20Panjang_References_2009.pdf
Marciano, Deddy (2009) HUBUNGAN JANGKA PANJANG DAN PENDEK ANTARA FAKTOR-FAKTOR EKONOMI MAKRO DAN PASAR MODAL BERKEMBANG TERHADAP PASAR MODAL INDONESIA. In: Proceeding Konferensi Nasional I : Dampak Country Risk Terhadap Perusahaan Ditinjau dari Aspek Manajemen & Akuntansi, 8 Agustus 2009, Yogyakarta.