SIKAP RISK AVERSION INVESTOR INDONESIA: Studi Penerapan Difference Model

Abstract

This paper explores the dynamic relations of the unexpected consumption growth, unexpected inflation, term structure of interest rate variation on the behavior of risk aversion investors using vector autoregressive process (VAR), generalized conditional heteroscedasticity (GARCH), generalized least square process (GLS). Empirical evidence shows that coefficient of risk aversion are significant only when investor chose middle term portfolio of middle term bonds or combination between short term and middle term bonds. It also shows the pattern of increasing relative risk aversion during the period of January to March and decreasing relative risk aversion during the period of March to December.