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http://hdl.handle.net/10071/12774
acessibilidade
Title: Impact of fossil-fuel subsidy removal to the Indonesia stock market
Authors: Al Hussien, Bima
Orientador: Curto, José Dias
Keywords: Subsidy removal
JKSE
Regression
Garch
GJR
EGARCH
AIC
SBC
Finanças
Indústria petrolífera
Mercado de ações
Política de preços
Modelos GARCH
Issue Date: 25-Jan-2016
Citation: AL HUSSIEN, Bima - Impact of fossil-fuel subsidy removal to the Indonesia stock market [Em linha]. Lisboa: ISCTE-IUL, 2016. Dissertação de mestrado. [Consult. Dia Mês Ano] Disponível em www:<http://hdl.handle.net/10071/12774>.
Abstract: In 2015, government of Indonesia introduced new policy which remove the fossil fuel subsidy applying since the freedom of Indonesia. The Premium gasoline is now unsubsidized, and the Solar diesel is remove. Some previous studies found that there is positively relationship of oil price change to the stock market. However, as the literatures we have, there has not been study regarding to the effect of fossil-fuel price change caused by subsidy removal. Therefore, this new policy attracts us to find whether there is impact of new subsidy policy applied to Indonesia Stock Market, represented by using the data of Jakarta Composite Index (JKSE), since the fossil-fuel price changes dramatically Because there is heteroskedasticity in the residual error in the natural regression model that we compute, we consider the GARCH model in order to deal with the problem. Besides, we also proceed the GJR and EGARCH to explain the asymmetry effect. We conclude that the subsidy removal do affect the Jakarta Composite Index (JKSE), yet the oil price return do not. Additionally, the subsidy removal (bad news for market participants) give more negative shock to conditional variance than subsidy existence (positive news). Then, taking into account the model selection using Akaike Information Criterion (AIC) and Schwarz’s Bayesian Criterion (SBC), we found that, in this study, the GJR can explain better than GARCH and EGARCH.
Peer reviewed: yes
URI: http://hdl.handle.net/10071/12774
Thesis identifier: 201023903
Designation: Mestrado em Finanças
Appears in Collections:T&D-DM - Dissertações de mestrado

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