scholarly journals Exchange Rate, Exchange Rate Volatility and Stock Prices: An Analysis of the Symmetric and Asymmetric Effect Using ARDL and NARDL Models

2021 ◽  
Vol 15 (4) ◽  
pp. 179-190
Author(s):  
La Ode Saidi ◽  
Abd Azis Muthalib ◽  
Pasrun Adam ◽  
Wali Aya Rumbia ◽  
La Ode Arsad Sani
Keyword(s):  
Exchange Rate ◽  
Stock Prices ◽  
Stock Price ◽  
Time Series Data ◽  
Exchange Rate Volatility ◽  
Series Data ◽  
Asymmetric Effect ◽  
Short Term ◽  
Symmetry Effect

This article examined the symmetric and asymmetric effects of the IDR/USD exchange rate and its volatility on stock prices using the monthly time series data of the IDR/USD exchange rate and the Indonesian composite stock price index from January 2006 to July 2019. The data were analyzed using ARDL and NARDL models. The results showed that in the short term, the IDR/USD exchange rate has a symmetry effect on stock prices, while volatility lacks such a symmetric influence. However, these two variables asymmetrically affect stock prices, Furthermore, in the long term both the exchange rate and the volatility lack symmetric and asymmetric influence on stock prices.

The Effect of Covid-19, Rupiah Exchange Rate, and Inflation on the Indonesia Sharia Stock Index during the Covid-19 Pandemic

2021 ◽  
Vol 4 (1) ◽  
pp. 313-336
Author(s):  
Achmad Agus Priyono ◽  
Ari Kartiko
Keyword(s):  
Exchange Rate ◽  
Time Series Data ◽  
Negative Impact ◽  
Stock Index ◽  
Series Data ◽  
Stock Market Index ◽  
Short Term ◽  
The Us ◽  
Us Dollar

Purpose of this study is to clarify the effect of the number of daily cases reported to have contracted the Covid-19 virus, the exchange rate of the rupiah against the US dollar and inflation on the movement of the Indonesian Sharia stock index (ISSI) during the Pandemic Covid 19 in the short term and long term. Data analysis methods that used is analysis Error Correction Mechanism (ECM) using Eviews software 10. The data collected is daily time series data starting from March 2, 2020 to May 31, 2021 so that the number of samples collected obtained as many as 283 samples . The results of the study stated that the addition of the daily number of reported cases of contracting the Covid-19 virus has a negative impact on The Indonesian Sharia Stock Market Index (ISSI) during the Covid-19 pandemic, so that encourage the weakening of the Stock Index both in the long and long term short. Likewise, the weakening of the rupiah against the US dollar will caused the fall of the sharia index during the Covid 19 pandemic, both in the long term and long and short term. However, the study found no effect inflation on the Indonesian Sharia Stock Index (ISSI) during the Covid19 pandemic, good long term and short term

scholarly journals Pengaruh Variabel Makroekonomi Terhadap Jumlah Penghimpunan Zakat di Indonesia

2020 ◽  
Vol 25 (2) ◽  
pp. 199
Author(s):  
Sheema Haseena Armina
Keyword(s):  
Exchange Rate ◽  
Time Series Data ◽  
Series Data ◽  
Short Term ◽  
Correction Model ◽  
Dollar Exchange Rate ◽  
Vector Error Correction ◽  
Vector Error ◽  
Analysis Technique

Purpose this study analyzes the effect of the industrial production index, the dollar exchange rate, inflation and the BI 7DRR on the amount of zakat collection from January 2015 to December 2018to identify the potential of zakat to support alleviation in Indonesia. Methodology/Approach: this study uses a quantitative approach with a Vector Error Correction Model (VECM) data analysis technique with time series data from Januari 2015 t0 December 2018. Findings: The results show that in short term causality, there is an effect between long-term and short-term between zakat as the dependent variable with inflation and the dollar exchange rate. However, there is no short-term causality effect between BI 7-DRR and IPI to the amount of zakat while the long-term causality effect, all independent variables have a significant effect to the dependent variable namely zakat. Implications: The integration of Islamic philanthropic institutions has the potential to channel aid and support to alleviate poverty. This study adds the IPI variable to interpret the GDP variable in analyzing its effect on zakat.

scholarly journals Implementation of Long Short-Term Memory and Gated Recurrent Units on Grouped Time-Series Data to Predict Stock Prices Accurately

2021 ◽  
Author(s):  
Armin Lawi ◽  
Hendra Mesra ◽  
Supri Amir
Keyword(s):  
Time Series ◽  
Stock Prices ◽  
Stock Price ◽  
Time Series Data ◽  
Short Term Memory ◽  
Series Data ◽  
Percentage Error ◽  
Short Term ◽  
Term Memory ◽  
Long Short Term Memory

Abstract Stocks are an attractive investment option since they can generate large profits compared to other businesses. The movement of stock price patterns on the stock market is very dynamic; thus it requires accurate data modeling to forecast stock prices with a low error rate. Forecasting models using Deep Learning are believed to be able to accurately predict stock price movements using time-series data, especially the Long Short-Term Memory (LSTM) and Gated Recurrent Unit (GRU) algorithms. However, several previous implementation studies have not been able to obtain convincing accuracy results. This paper proposes the implementation of the forecasting method by classifying the movement of time-series data on company stock prices into three groups using LSTM and GRU. The accuracy of the built model is evaluated using loss functions of Rooted Mean Squared Error (RMSE) and Mean Absolute Percentage Error (MAPE). The results showed that the performance evaluation of both architectures is accurate in which GRU is always superior to LSTM. The highest validation for GRU was 98.73% (RMSE) and 98.54% (MAPE), while the LSTM validation was 98.26% (RMSE) and 97.71% (MAPE).

scholarly journals Relationship between Foreign Exchange Rate and Stock Price of Commercial Joint Stock Banks: Evidence from Vietnam

2016 ◽  
Vol 8 (7) ◽  
pp. 193 ◽  
Author(s):  
Tran Mong Uyen Ngan
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Stock Prices ◽  
Stock Price ◽  
Time Series Data ◽  
Foreign Exchange Rate ◽  
Series Data ◽  
Causality Test ◽  
Using Data ◽  
The Relationship

The relationship between foreign exchange rate and stock price is one popular topic that is interested by not only board managers of banks but also stock investors. By using data about foreign exchange rate between Vietnam Dong (VND) and United State Dollar (USD), stock prices data of nine commercial joint stock banks in Vietnam from the first day of 2013 to the last day of 2015, this paper try to answer the question “Does foreign exchange rate impact on stock price and vice verse?”. Applying Dickey Fuller test and Var Granger Causality test for the time series data, the results show that there is an impact of foreign exchange rate on stock price. Although the fluctuation in foreign exchange rate VND/USD causes the change in stock prices of commercial joint stock banks in Vietnam, however, the vector of this impact is not clearly. On the opposite way, the change in stock price does not cause the change in foreign exchange rate, this relation is one-way relation.

scholarly journals ANALISIS PENGARUH VARIABEL MAKRO EKONOMI TERHADAP INVESTASI ASING LANGSUNG (STUDY KASUS CHINA-INDONESIA).

2017 ◽  
Vol 6 (2) ◽  
pp. 103
Author(s):  
Ririn Martini Rezki ◽  
Yeniwati Yeniwati ◽  
Mike Triani
Keyword(s):  
Economic Growth ◽  
Foreign Direct Investment ◽  
Exchange Rate ◽  
Interest Rates ◽  
Direct Investment ◽  
Time Series Data ◽  
Least Square ◽  
Series Data ◽  
Short Term

This research to analyze the influence of macro economic variables impact on Chinese Foreign Direct Investment in Indonesia. The influence of China’s economic growth, Indonesia’s economic growth, interest rates, inflation and exchange rates against Foreign Direct Investment (FDI) China in Indonesia in the long term and short term. Type of this research is descriptive research, the secondary data use form time series data, from 2001Q1 – 2016Q4, taken  from agencies and related institution, the analysis using the Ordinary Least Square (OLS) and Error Correction Model (ECM) to see the influence in a long term and impact in the short term. This research show that Indonesia’s economic growth of China’s economic growth and inflation is have a significant effect in the long term Chinas’s FDI in Indonesia. Variable economic growth of Indonesia’s, interest rates, inflation, exchange rate in the short term influence China’s Foreign Direct Investment in Indonesia. How ever in the long term interest rates and exchange rate do not influence significantly, to China’s FDI in Indonesia.

scholarly journals Analysis of Effect of Capital Inflow Volatility and Macroeconomic Variables on Rupiah Exchange Rate

2018 ◽  
Vol 6 (1) ◽  
pp. 1-7
Author(s):  
Adnan Muhammad Feisal ◽  
Lesta Karolina Br. Sebayang
Keyword(s):  
Exchange Rate ◽  
Time Series Data ◽  
Capital Inflow ◽  
Series Data ◽  
Short Term ◽  
Macroeconomic Variable ◽  
Macroeconomic Variables ◽  
Foreign Reserve ◽  
Negative Effect

The purpose of this research is to measure the effect of the capital inflow volatility on the rupiah exchange rate, to measure the effect of macroeconomic variables on the rupiah exchange rate, and to measure the response of capital inflow shocks and macroeconomic variables on the rupiah exchange rate. The data used is in the form of quarterly time series data from 2002:4-2014:4, which is derived from the data of Bank Indonesia. The model used in this research is the Vector Error Correction Model (VECM). The results show that: (1) In the short-term capital inflow has the positive and significant effect on the rupiah exchange rate, while in the long-term it does not have the significant effect on the rupiah exchange rate. (2) Macroeconomic variable that has the positive and significant effect on the rupiah exchange rate in the short-term is the capital inflow variable. In the long-term the macroeconomic variable that has the positive and significant effect on the rupiah exchange rate is the foreign exchange reserves variable. (3) Results of IRF, the response of the rupiah exchange rate of the capital inflow shocks indicates that an increase in capital inflow has effect on the strengthening of the rupiah exchange rate. The shocks on the foreign reserve variable have the positive effect on the rupiah exchange rate, and the shocks on the inflation variable have the negative effect on the rupiah exchange rate.

scholarly journals Causal Correlation between Exchange Rate and Stock Index: Evidence from VN-Index

2016 ◽  
Vol 12 (8) ◽  
pp. 43
Author(s):  
Tri Dinh Nguyen ◽  
Quang Hung Bui ◽  
Tan Thanh Nguyen
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Stock Prices ◽  
Stock Price ◽  
Time Series Data ◽  
Stock Index ◽  
Series Data ◽  
Sample Period ◽  
Integration Test ◽  
Adf Test

This paper will examine the causal correlation of exchange rates and stock prices in Vietnam. The data is collected daily from March 1<sup>st </sup>2007 to March 1<sup>st</sup> 2014. The whole sample period is divided into two sub-groups as before the stock market bottom, after stock market bottom and full sample period. Unit root tests are employed for checking the stationary of time series data such as ADF test, PP test and KPSS test. This paper employs the co-integration test and Granger causality test to identify the causal correlation between two variables. The results of paper prove that there is no causal correlation between exchange rate and stock price. It means that the stock price has no effect on exchange rate and vice versa. However, after stock market bottom from February 25<sup>th </sup>2009 to March 1<sup>st </sup>2014, this research finds that it has a long-run co-movement between these variables by applying the Johansen test.

scholarly journals REAKSI HARGA SAHAM PERUSAHAAN AGRIBISNIS INDEKS LQ-45 TERHADAP PERUBAHAN VARIABEL MAKROEKONOMI

2019 ◽  
Vol 7 (2) ◽  
pp. 129-140
Author(s):  
Alghif Aruni Nur Rukman ◽  
Harianto Harianto ◽  
Suprehatin Suprehatin
Keyword(s):  
Exchange Rates ◽  
Interest Rates ◽  
Stock Prices ◽  
Stock Price ◽  
Time Series Data ◽  
Series Data ◽  
Macroeconomic Variables ◽  
Negative Effect ◽  
Stock Price Reaction

This study aims to analyze the effect of changes in macroeconomic variables, namely exchange rates, interest rates, and inflation on stock prices of agribusiness companies on the LQ-45 index. This study used monthly time series data from 2008-2018 and analyzed by the VECM method. The results showed that the stock price reaction of eight agribusiness companies in the LQ-45 index varies with changes in macroeconomic variables both in the short and long term. In the short term, changes in exchange rates had a positive and significant effect on one company stock prices, while changes in inflation and interest rates had a negative and significant effect on four companies and one company respectively. In the long term, the results showed that changes in exchange rates had a positive and significant effect on two companies’ stock prices, while it had a negative and significant effect on five companies. The result also showed that changes in inflation had a positive and negative effect on one company and six companies respectively in the long term. Also besides changes in interest rates had a positive and negative effect on two companies’ stock prices respectively.

scholarly journals Analisis ekspor kopi Indonesia

2017 ◽  
Vol 12 (1) ◽  
pp. 1-10
Author(s):  
Rexsi Nopriyandi ◽  
Haryadi Haryadi
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Exchange Rates ◽  
Time Series Data ◽  
Series Data ◽  
Government Agencies ◽  
Short Term ◽  
Correction Model ◽  
Coffee Price

This study aims to analyze the factors that influence Indonesian coffee exports. The data in this study is time series data, which were obtained from various government agencies. The Error Correction Model (ECM) method is used to analyze the effect of coffee prices, GDP and the exchange rate on the volume of Indonesian coffee exports. The estimation results find that coffee prices, Indonesian GDP and exchange rates have a short-term relationship and a long-term balance of the volume of coffee exports. Based on the long-term estimation of the coffee price variable, GDP and exchange rates do not significantly affect the volume of coffee exports, while in the short term these three variables influence the volume of coffee exports

scholarly journals Analisis cadangan devisa Indonesia dan faktor-faktor yang mempengaruhinya

2017 ◽  
Vol 12 (1) ◽  
pp. 25-30
Author(s):  
Pundy Sayoga ◽  
Syamsurijal Tan
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Exchange Rates ◽  
Time Series Data ◽  
Series Data ◽  
Government Agencies ◽  
Short Term ◽  
Correction Model ◽  
Coffee Price

This study aims to analyze the factors that influence Indonesian coffee exports. The data in this study is time series data, which were obtained from various government agencies. The Error Correction Model (ECM) method is used to analyze the effect of coffee prices, GDP and the exchange rate on the volume of Indonesian coffee exports. The estimation results find that coffee prices, Indonesian GDP and exchange rates have a short-term relationship and a long-term balance of the volume of coffee exports. Based on the long-term estimation of the coffee price variable, GDP and exchange rates do not significantly affect the volume of coffee exports, while in the short term these three variables influence the volume of coffee exports.

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