Risk Volatility Measurement: Evidence from Indonesian Stock Market

• 발행기관: 한국유통과학회
• 저자명: Mustika Rahmi Nurul Azma Aminullah Achmad Muttaqin Thuba Jazil Mahfuzur Rahman
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 3 No.3, 57~65쪽, 전체 9쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2016.08.31

영문 초록

The purpose of this paper is to investigate the volatility of both Islamic and conventional stock market in Indonesia with the aim of identifying the most appropriate model for risk management practice. The study considers GARCH as a genre of model to measure the volatility of stock market movement. The results support the view that each model shows specific volatility from both Islamic and conventional stock market in Indonesia. In Islamic stock market, volatility is affected by exchange rate and money supply (M1) but not interest rate as interest is prohibited in Islam. However, interest rate is found as a principal factor that affects volatility of conventional stock market. The outcomes of this paper are of particular significance to policy makers, as it provides guidelines to maintain economic health. Furthermore, the findings may assist practitioners to understand the consequences of macroeconomic factors such as exchange rate, money supply and interest rate, which are very crucial for the market stability of Indonesian stock market. The paper enhances the understanding of stock market volatility and proposes guidelines risk management practices.

목차

1. Introduction

2. Literature Review

3. Methodology

4. Findings and Discussions

5. Conclusion

References

키워드

Volatility Money Supply Stock Market Exchange Rate Interest Rate Indonesia Islamic