THE MACROECONOMIC SURPRISE EFFECTS ON LQ45 STOCK RETURN VOLATILITY

THE MACROECONOMIC SURPRISE EFFECTS ON LQ45 STOCK RETURN VOLATILITY

Surprise macroeconomic news causes high volatility in stock market return to the stock market becomes riskier. This study aims to analyze the effects of surprise from the announcement of the United States (US) and domestic macroeconomic news on the LQ45 stock returns volatility. There are 25 stocks...

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Bibliographic Details
Main Authors: Tommy Andika, Idqan Fahmi, Trias Andati
Format: Article
Language:English
Published: University of Brawijaya 2019-06-01
Series:Jurnal Aplikasi Manajemen
Subjects:
Macroeconomic surprise
volatility
GARCH
LQ45 stocks
Online Access:https://jurnaljam.ub.ac.id/index.php/jam/article/view/1459

Internet

https://jurnaljam.ub.ac.id/index.php/jam/article/view/1459

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