ABSTRAK

Penelitian ini bertujuan untuk menganalisa pengaruh volatilitas variabel

makroekonomi terhadap volatilitas Imbal Hasil Saham di Asia. Penelitian ini

juga ingin menangkap apakah terdapat efek asimetris di dalam model.

Penelitian ini menggunakan metode analisis TGARCH. Pengujian yang

dilakukan adalah uji normalitas data, uji ARCH effect, estimasi GARCH

univariate dan estimasi TGARCH mulitvariate dalam conditional variance.

Uji normalitas data menunjukkan adanya time varying volatility dalam

data. Dalam uji ARCH effect menunjukkan bahwa terdapat ARCH dalam

data. Estimasi dari TGACRH menghasilkan: (1) Terdapat volatilitas spillover

dihampir seluruh variabel makroekonomi (tingkat inflasi, nilai tukar, jumlah

uang beredar, tingkat suku bunga dan harga minyak dunia) terhadap Imbal

Hasil Saham di Singapura, Thailand, Korea, Malaysia dan Indonesia. Tetapi

tidak terdapat volatilitas spillover variabel nilai tukar dan harga minyak dunia

terhadap Imbal Hasil Saham di Korea. (2) Terdapat efek asimetris pada

volatilitas Imbal Hasil Saham di Singapura, Korea dan Malaysia. Tetapi tidak

terdapat efek asimetris pada volatilitas Imbal Hasil Saham di Thailand,

Philippina dan Indonesia.

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 ABSTRACT

This study aims to analyze the impact of macroeconomic variables

volatility to Stock Return in Asia. The study also want to capture whether

there are asymmetric effects in the model. This study used TGARCH

analysis. Tests performed were normality test, ARCH effects, the estimated

GARCH univariate and estimated TGARCH multivariate in conditional

variance.
Normality test indicated the presence of time varying volatility in the

data. In the ARCH test indicated that there were ARCH effects in the data.

The estimation of TGARCH resulted: (1) There was volatility spillover in

almost all macroeconomic variables (inflation rate, exchange rate, money

supply, interest rates and world oil prices) on Stock Returns in Singapore,

Thailand, Korea, Malaysia and Indonesia. But there was no volatility spillover

in exchange rates and world oil prices variable on Stock Return in Korea. (2)

There was asymmetric effect on Stock Return volatility in Singapore, Korea

and Malaysia. There was no asymmetric effect on Stock Return volatility in

Thailand, Philippines dan Indonesia.

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