AVE, ARROZAQ (2020) KAUSALITAS SAHAM DUAL LISTING DI NYSE DAN BEI (CASE STUDY : PT TELKOM INDONESIA). S2 thesis, Universitas Mercu Buana Jakarta-Menteng.
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Abstract
This objectives of this research is to create model of the correlation between Telkom stock that listed in IDX (Indonesia Stock Excange) and NYSE (New York Stock Exchange). Telkom is one of the Owned-State Enteprise that become a role model of Indonesian company that has been listed in two different countries. Listing in abroad countries is supported fully by Indonesian authority since they can exhibit credibility of Indonesia company to the world and introduce them as well. Analytical methodology that has been used in this thesis is the approachment of VAR modelling to show the correlation between Telkom’s stock in NYSE and BEI. Research data have been gained with purposive in 10 years periode between 2008 to 2018 that listed in NYSE with TLK code and IDX with TLKM code. After a series of test and the data is proceed to Granger analysis and VAR modelling using e-Views. Results gained is the equation model of Telkom stock return in NYSE and BEI. Furthermore, it has been known that TLK influence TLKM but not vice versa so that so called by direct causality. Keywords : Stock Return, Telkom, NYSE, BEI, Granger, VAR / VECM Penelitian ini bertujuan memodelkan hubungan saham Telkom yang listing di BEI (Bursa Efek Indonesia) dan NYSE (New York Stock Exchange). PT Telkom yang merupakan salah satu BUMN (Badan Usaha Milik Negara) di Indonesia merupakan contoh dari perusahaan Indonesia yang listing saham di dua negara. Saat ini, listing di luar negeri didorong dan didukung penuh dari otoritas Indonesia guna menunjukkan kredibilitas perusahaan Indonesia di mata dunia serta turut memperkenalkan perusahaan tersebut di kancah global. Dalam analisis, metode yang digunakan pada thesis ini adalah menggunakan pendekatan pemodelan VAR untuk menggambarkan keterkaitan saham telkom di NYSE dan BEI. Data penelitian diambil dengan metode purposive sampling dalam kurun 10 tahun dari 2008 sampai 2018 baik yang melantai di NYSE dengan kode TLK dan di BEI dengan kode TLKM. Setelah melalui serangkaian uji, dilakukan analisis Granger dan pemodelan menggunakan VAR dengan software e-Views. Hasil yang didapat adalah model persamaan Return Saham Telkom di NYSE dan di BEI. Selain itu juga diketahui bahwa TLK memengaruhi TLKM tetapi tidak sebaliknya sehingga disebut sebagai hubungan kausalitas searah. Kata Kunci : Return Saham, Telkom, NYSE, BEI, Granger, VAR/VECM
| Item Type: | Thesis (S2) |
|---|---|
| Call Number CD: | CDT-551-20-030 |
| Call Number: | T-51-MKU-20-003 |
| NIM/NIDN Creators: | 55117110043 |
| Uncontrolled Keywords: | stock return, telkom, NYSE, BEI, granger, VAR/VECM, return saham |
| Subjects: | 600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 658 General Management/Manajemen Umum |
| Divisions: | Pascasarjana > Magister Manajemen |
| Depositing User: | MELATI CAHYA FITRIANI |
| Date Deposited: | 16 Feb 2022 04:07 |
| Last Modified: | 18 Jun 2022 03:59 |
| URI: | http://repository.mercubuana.ac.id/id/eprint/56175 |
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