YULIANTO, ARI (2017) ANALISIS VOLATILITAS IMBAL HASIL REKSADANA SAHAM (Studi Kasus Pada Reksadana Schroder Dana Prestasi Plus). S2 thesis, Universitas Mercu Buana Jakarta.
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Abstract
Investing in the capital market requires the ability to analyze the risk of each asset, one of the benchmarks is the volatility of an asset's yield and its effect on market movements. This study aims to test empirically the existence of the phenomenon of time varying volatility and behavior of asymmetry in the volatility of mutual fund shares. The data used are daily return of Schroder Dana Performance Plus fund for observation period (January 1, 2010 until November 28, 2016). The analysis method used in this research is GARCH (Generalized Auto Reggresion Conditional Heteroscedasticity) and EGARCH (Exponential Generalized Auto Reggresion Conditional Heteroscedasticity). The results showed that the return of mutual fund shares Schroder Dana Prestasi Plus proved significantly there is a phenomenon of time varying volatility. Then the volatility in Schroder Dana Performance Plus's mutual fund yields is proven to be significantly not influenced by its asymmetry behavior. The persistence level on volatility is quite low. Investasi di pasar modal membutuhkan kemampuan untuk menganalisa risiko dari setiap aset, salah satu tolak ukurnya adalah volatilitas dari imbal hasil sebuah aset dan pengaruhnya terhadap pergerakan pasar. Penelitian ini bertujuan untuk menguji secara empiris keberadaan fenomena time varying volatility dan perilaku asimetri dalam pergerakan imbal hasil reksadana saham Schroder Dana Prestasi Plus. Data yang digunakan merupakan data imbal hasil harian reksadana Schroder Dana Prestasi Plus untuk periode observasi (1 Januari 2010 sampai dengan 28 Nopember 2016). Metode analisis yang digunakan dalam penelitian ini adalah GARCH (Generalized Auto Reggresion Conditional Heteroscedasticity) dan EGARCH (Exponential Generalized Auto Reggresion Conditional Heteroscedasticity). Hasil penelitian menunjukkan bahwa pada imbal hasil reksadana saham Schroder Dana Prestasi Plus terbukti secara signifikan terdapat fenomena time varying volatility. Kemudian volatilitas pada imbal hasil reksadana saham Schroder Dana Prestasi Plus terbukti secara signifikan tidak pengaruhi oleh adanya perilaku asimetri didalamya. Serta level persistensi pada volatilitasnya cukup rendah.
| Item Type: | Thesis (S2) |
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| Call Number CD: | CD/551. 17 163 |
| NIM/NIDN Creators: | 55114110076 |
| Uncontrolled Keywords: | imbal hasil reksadana, volatilitas, perilaku asimetri, persistensi |
| Subjects: | 100 Philosophy and Psychology/Filsafat dan Psikologi > 150 Psychology/Psikologi > 154 Subconscious and Altered States and Process/Psikologi Bawah Sadar > 154.6 Sleep Phenomena/Fenomena Tidur > 154.63 Dreams/Mimpi > 154.634 Analysis/Analisis 300 Social Science/Ilmu-ilmu Sosial > 330 Economics/Ilmu Ekonomi |
| Divisions: | Pascasarjana > Magister Manajemen |
| Depositing User: | ANANDA NADIRA PUTRI |
| Date Deposited: | 01 Jul 2024 01:45 |
| Last Modified: | 30 Jul 2024 03:44 |
| URI: | http://repository.mercubuana.ac.id/id/eprint/89302 |
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