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All Journal JDM Jurnal Keuangan dan Perbankan Managament Insight: Jurnal Ilmiah Manajemen Jurnal Akuntansi Multiparadigma EKOMBIS REVIEW: Jurnal Ilmiah Ekonomi dan Bisnis JBMP (Jurnal Bisnis, Manajemen dan Perbankan) Syntax Literate: Jurnal Ilmiah Indonesia JURNAL MANAJEMEN ISOQUANT : Jurnal Ekonomi, Manajemen dan Akuntansi Journal of Humanities and Social Studies Dinasti International Journal of Education Management and Social Science International Journal of Economics Development Research (IJEDR) Quantitative Economics and Management Studies Jurnal Ilmiah MEA (Manajemen, Ekonomi, dan Akuntansi) Jurnal Pendidikan Indonesia (Japendi)
Hanggraeni, Dewi
Department Of Management, Faculty Of Economics & Business, University Of Indonesia
Arts Humanities Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Energy Environmental Science Languange, Linguistic, Communication & Media Law, Crime, Criminology & Criminal Justice Mathematics Social Sciences Other

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Journal : Quantitative Economics and Management Studies

 1 
Measurement of Expected Shortfall, Correlation and Simulation of Stock Return in The Transportation Sector in Asia's Emerging Stock Exchanges Before and After The Covid-19 Pandemic Eko Nurmaryadi; Dewi Hanggraeni
Quantitative Economics and Management Studies Vol. 4 No. 5 (2023)
Publisher : PT Mattawang Mediatama Solution

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.35877/454RI.qems1901

Abstract

The objective of this research is to analyze the market risks encountered by transportation sector companies listed in emerging Asian market countries, as well as the correlation of risks among these companies. Additionally, the study aims to provide a forecasting simulation for the stock prices over the next 100 days. Historical data on daily stock price changes prior to and following the Covid-19 pandemic are utilized. The research methodology employs a normal GARCH model to assess stock volatility, while market risk is determined using the expected shortfall (ES) approach. The Pearson method is employed to calculate the correlation of risks between companies. The forecasting simulation is conducted using the GARCH(1,1) approach for specification and fitting. The findings of this study reveal that transportation sector issuers have exhibited varied responses to the Covid-19 pandemic based on their specific sub-sectors. The correlation between issuers generally demonstrates low values; however, the stock markets of China and Taiwan display a strong positive correlation within the same sub-sector. Future stock price movements over the next 100 days are anticipated to align with the trend observed during the latter part of 2022.
Comparison of ESG Rating Methods with AHP Methods (A Study in A State-Owned Electricity Company in Indonesia) Jonatan Halomoan; Dewi Hanggraeni
Quantitative Economics and Management Studies Vol. 5 No. 3 (2024)
Publisher : PT Mattawang Mediatama Solution

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.35877/454RI.qems2570

Abstract

The ESG Rating measurement method from Sustainalytic & S&P is the method that is considered the most suitable for analyzing ESG risks in State-owned electricity companies. This research analyzes the ESG Rating measurement method issued by 4 ESG rating agencies, namely S&P, MSCI, Sustainalytics, and Refinitiv using the method AHP, the results of which will determine which method is most suitable for analyzing ESG risks in state-owned electricity companies. From the results of data collection, it was found that the ESG rating measurement method from Sustainalytic had the highest priority value, namely 38.9%, which was not much different from the method from S&P with a value of 34.0%. Meanwhile, the methods of the other 2 ESG rating agencies have a lower weight, namely MSCI with 14.2% and Refinitiv with 12.9%. Research provides the view that the level of correlation between rating agencies is still low, requiring companies to first analyze the rating agency. The ones they choose will determine the company's strategy in managing their ESG risks.
Co-Authors ., Anasthacia Achmad Zulfikar Adinur, Reyhan Satria Agung Yoso Ahad, Sasi Waliyul Anastasia Rasia Andreas Krisvian Andreina Fara Hapsari Angelita Buulolo Anugrah Kesuma Ardila Galuh Savitri Arya Kandrasyah Bagus Nugroho Biko Kharunia Christo, Nathasya Christopher . Cipto Hartono Cita Pelangi Dessen Setiawan Dianita Fitriani Pogram Drastya Amalia Dwi, Maharmabi Dyah Ambar Eka Rathmanty Merry Hartini Eko Nurmaryadi Erfan Rizki Prabowo Ervina Kwintana Famadhika Aby Pratama Fatwa Aulia Fauzi, Achmad Zulfikar Ferry Fredrick Kaban Firly Armanda Gandung Troy Sulistyantoro Girindra Chandra Alam Graciala Denita Harahap, Muhammad Farhan Hakim Hotmauly Media Rika Ibrahim, Syaipul Malik Iqbal Mustofa Jalil Mujib Tan Ismail Jane Naomi Jodi Surya Gustanto Jonatan Halomoan Jonatan Halomoan Jordan Ahmad Yasir Kresna Nurdianto Kurniawan, Ferdian_Ari Laras Shintya Putri Leandra Anisah Lintang Putri Enggaringtyas Lolita Akbar Lusiana Indra Mahardika Dwi Jayanti Mandala, Eka Muhammad Fikry Alfisyahrin Muhammad Rifqi Abrar Musa Fresno Ni Luh Putu Sipta Dewi Anindita Paras Dita Purnomo, Gabriel Putri, Arisma Solicha Rachim Chan Rachmi Syamsi Rhenty Puspita Roufan Hirqoni Araniri Rudi Asrudin Safira Ayu Sinathrya Al Kautsar1 Steven Steven Sulung, Liyu Adhi KAsari Tarikh Luthfi Simanjuntak Taufan Prasojo Wicaksono Setiadi Teddy Maulana Putra Teuku Sadri Tommy Novianto Uliyatun Nikmah Umar Rivaldy Umar Rivaldy Pulukadang Vera Anita Widiani, Chaerunnisa Yanur Akhmadi Yusuf Kresna Zaskia Ayunda Lukietta