ANALISIS HUBUNGAN ANTARA PERILAKU PEMBERIAN KREDIT OLEH PERBANKAN DAN PERGERAKAN HARGA SAHAM Studi Empiris di Indonesia 2005:7 � 2013:1
This research is an empirical study about the relationship between credit behavior by banking and fluctuation of stock price. If we take a look to global financial crisis in 2008, there was a phenomenon in US where the payment failure of financial instrument subprime mortgage affected Dow Jones Indu...
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| Main Authors: | , |
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| Format: | Theses and Dissertations NonPeerReviewed |
| Published: |
[Yogyakarta] : Universitas Gadjah Mada
2014
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| Subjects: | |
| Online Access: | https://repository.ugm.ac.id/129757/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=70154 |
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| Institution: | Universitas Gadjah Mada |
| Summary: | This research is an empirical study about the relationship between credit
behavior by banking and fluctuation of stock price. If we take a look to global
financial crisis in 2008, there was a phenomenon in US where the payment failure
of financial instrument subprime mortgage affected Dow Jones Industrial Average
index by 53 percent in 1,5 years. Based on prior studies, there was different result
found in several countries. Research in Japan 1994 and Malaysia 2006 concluded
that there is one-direction positive causality relationship form stock price to credit
behavior. While research in Malaysia 2012 found out that there is no relationship
between the two matters.
This research will be focused on credit behavior given by the bank proxied by
the toal amount of credit given by the banks in Indonesia. Besides, the fluctuation
of stock price will be proxied by IHSG because it included all stock prices in
Indonesia. The relationship between these variables will be measured by VAR
model and Granger Causality. The result proves that there is no causality
relationship, both directions. One of the main reason is that the intervention given
by the Indonesian monetary authorities who decrease BI rate in order to keep up
with the low inflation number.
The IRF result showed the response of negative credit variable to the stock
price on 1st period and positive on 2nd period. EFDV result showed the
contribution of stock price variance on 1st period and sourced from its own. The
variance�s contribution on 1st period is the credit itself and on 2nd period is BI rate. |
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