PENGARUH COVID-19 TERHADAP TRANSMISI RISIKO ANTARA GOOGLING INVESTOR’S SENTIMENT, PASAR SAHAM, PASAR OBLIGASI DAN INDEKS SEKTOR SAHAM INDONESIA (Studi pada Pasar Keuangan Indonesia berupa Pasar Obligasi, Pasar Saham dan Indeks Sektor Saham Tahun 2020)

PRATIWI, ELIZABETH INGE (2021) PENGARUH COVID-19 TERHADAP TRANSMISI RISIKO ANTARA GOOGLING INVESTOR’S SENTIMENT, PASAR SAHAM, PASAR OBLIGASI DAN INDEKS SEKTOR SAHAM INDONESIA (Studi pada Pasar Keuangan Indonesia berupa Pasar Obligasi, Pasar Saham dan Indeks Sektor Saham Tahun 2020). Skripsi thesis, Universitas Tarumanagara.

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Abstract

This study objective is to examine the risk transmission between the Indonesian financial markets during the Covid-19 pandemic, which is during 2020. This study assumes that the risk transmission between financial markets happens with the help of investors as financial agents, so this research also tests the causality relationship between investor sentiment and the Indonesian financial market. There are two different tests in this study. The test used to examine the risk transmission between financial markets is Diebold-Yilmaz's Spillover Index. Furthermore, to find out the causal relationship between investor sentiment and the Indonesian financial markets, a combination of quantile tests is used to see the effect of investor sentiment on optimistic (pessimistic) conditions, and Granger's causality test is used to detect causal relationships between variables. All data processing in this study was carried out with the help of the EViews 10 application. This study found that in risk transmission between different asset classes, the stock market acts as a net transmitter or crisis sender, while investor sentiment and the bond market act as net receivers or crisis recipients. While in risk transmissions that happened in the same financial asset class, the property sector and infrastructure sector act as net transmitters, while investor sentiment; basic industrial sector; consumer goods sector; financial sector; trade and services sector act as a net receiver. The results also found a one-way causality between investor sentiment and the Indonesian stock market where the stock market affects investor sentiment while in the bond market, a causal relationship can't be found. Keywords: Risk Transmission, Causality Relationship, Investor Sentiment, Indonesian Financial Markets

Item Type:	Thesis (Skripsi)
Subjects:	Skripsi/Tugas Akhir Skripsi/Tugas Akhir > Fakultas Ekonomi
Divisions:	Fakultas Ekonomi > Akuntansi
Depositing User:	FE Perpus
Date Deposited:	13 May 2022 01:55
Last Modified:	01 Aug 2023 07:18
URI:	http://repository.untar.ac.id/id/eprint/35190

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