Menguji Teka-Teki Fama Baru di Pasar Keuangan Negara ASEAN Terpilih
Abstract
Teori The New Fama Puzzle perlu diuji kembali, terutama dengan adanya anomali pada volatilitas nilai tukar akibat perubahan rezim kebijakan dan fenomena krisis ekonomi. Pengujian validitas menjadi penting ketika teori The New Fama Puzzle menunjukkan korelasi positif antara perbedaan suku bunga terhadap perubahan nilai tukar setelah Krisis Keuangan Global, yang menimbulkan pertanyaan baru pada studi keuangan internasional. Studi ini berfokus pada Indonesia, Thailand, dan Filipina menggunakan data sekunder dengan periode 2000Q1 hingga 2021Q1 dengan analisis deskriptif dan Generalized Method of Moment (GMM). Hasil analisis deskriptif menggambarkan pergerakan besaran pasar keuangan cenderung naik, akan tetapi landai pada kondisi perekonomian normal, sedangkan saat krisis terjadi ketidakstabilan pasar keuangan yang direpresentasikan dengan gejolak yang tinggi. Hasil estimasi GMM menemukan korelasi positif antara perbedaan suku bunga dengan perubahan nilai tukar, yang sejalan dengan teori The New Fama Puzzle.
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