Utilize este identificador para referenciar este registo:
http://hdl.handle.net/10071/12774
Autoria: | Al Hussien, Bima |
Orientação: | Curto, José Dias |
Data: | 25-Jan-2016 |
Título próprio: | Impact of fossil-fuel subsidy removal to the Indonesia stock market |
Referência bibliográfica: | 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>. |
Palavras-chave: | Subsidy removal JKSE Regression Garch GJR EGARCH AIC SBC Finanças Indústria petrolífera Mercado de ações Política de preços Modelos GARCH |
Resumo: | 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. |
Designação do grau: | Mestrado em Finanças |
Arbitragem científica: | yes |
Acesso: | Acesso Aberto |
Aparece nas coleções: | T&D-DM - Dissertações de mestrado |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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DISSERTATION_MScInFINANCE_BIMA AL HUSSIEN.pdf | 1,47 MB | Adobe PDF | Ver/Abrir |
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