This study aims to investigate the effect of exchange rate and previous period index price of LQ45 towards LQ45 index. This study is done by utilizing ARCH/GARCH model with the specification EGARCH using the daily historical data during the 2010-2015 periods. The result of this study shows indicates that exchange rate and the index price of previous period significantly affect LQ45 index. Furthermore, there is only one company listed in LQ45, PT. Jasa Marga which transactions and financing did not using any foreign currency.Keywords: EGARCH, Exchange Rate, LQ45.
| Published by | Universitas Katolik Indonesia Atma Jaya |
| Journal Name | Prosiding Working Papers Series In Management |
| Contact Phone | - |
| Contact Name | - |
| Contact Email | - |
| Location | Kota adm. jakarta selatan, Dki jakarta INDONESIA |
| Website | | http://ojs.atmajaya.ac.id/index.php/WPM| |
| ISSN | ISSN : -, EISSN : -, DOI : -, |
| Core Subject | Science, |
| Meta Subject | Decision Sciences, Operations Research & Management , |
| Meta Desc | |
| Penulis | Annastasia, Natalia , Hapsari, Yudith Dyah |
| Publisher Article | Prosiding Working Papers Series In Management |
| Subtitle Article | Prosiding Working Papers Series In Management Vol 10, No 1 (2018): Prosiding Working Papers Series In Management |
| Scholar Google | http://scholar.google.com/scholar?q=%2Bintitle%3A&… |
| View Article | http://ojs.atmajaya.ac.id/inde… |
| DOI | http://download.garuda.ristekdikti.… |
| DOI Number | Full PDF (433.575 KB) |
| Download Article [1] | http://ojs.atmajaya.ac.id/index.php/WPM/… |
| Download Article [2] | http://download.garuda.ristekdikti.go.id… |
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