(Pendekatan Model Ekonometri – Autocorrelation Condition Heteroscedasticity (ARCH) / Generalized Autocorrelation Condition Heteroscedasticity (GARCH) Dan Vector Autoregression (VAR) – Suatu studi empiris tahun 2000 – 2005)
LUDOVICUS SENSI WONDABIO
Program Doctoral – Program Ilmu akuntansi
Fakultas Ekonomi Universitas Indonesia
The objective of this research is to analyze the relationship between Jakarta’s Stock Price Index (JSX) and London Stock Price Index (FTSE), Tokyo Stock Price Index (NIKKEI) and Singapore Stock Price Index (SSI) using Econometric Model of Autocorrelation Condition Heteroscedasticity (ARCH) / Generalized Autocorrelation Condition Heteroscedasticity (GARCH) and Vector Autoregression (VAR) for the years 2001 – 2005. Based on the result of this research, the pattern of relationship between JSX and FTSE, NIKKEI and SSI has a difference pattern and unique characteristics. FTSE and NIKKEI have a significant impact to JSX but JSX did not have impact to FTSE and NIKKEI. This condition has approved that the developed countries has a significant impact to the economy of developing country. The relationship between JSX and SSI has a negative impact to JSX.
Key words: Stock Price Index, Capital Market, ARCH/GARCH and VAR