In Search of Stock Market Proxy to Calculate Systematic Risk (Beta) of Stocks in Indonesia Stock Exchange

2020 ◽  
Vol 29 (2) ◽  
pp. 80-88
Author(s):  
Mochammad Chabachib
Keyword(s):  
Stock Market ◽  
Real World ◽  
Stock Price ◽  
Price Index ◽  
Stock Exchange ◽  
The Other ◽  
Stock Index ◽  
Market Return ◽  
Stock Market Return ◽  
Stock Index Returns

The calculation of beta stock in Indonesia is still debatable to this day. Though many researchers who have used sophisticated methods mathematically, the assumptions applied in developing the methods are impossible to happen in the real world, such as the ability of stock market return the day after (lead) affects the market return today. This study was conducted to assess the stock price index in Indonesia Stock Exchange that can be used as a proxy of stock market in Indonesia. The results of this study showed that there was a gap between beta stocks counted with JCI return as a market proxy with beta stocks counted with index returns of LQ-45, SRI-KEHATI, PEFINDO-25, BISNIS-27, IDX-30 and KOMPAS-100. This study has also found that the beta counted by using KOMPAS-100 return produced the smallest standard error of the estimate (SEE) that it was more applicable compared to the other stock index returns.

scholarly journals Analisa Korelasi Return Indeks – Indeks Saham terhadap Indeks Harga Saham Gabungan pada Bursa Efek Indonesia

2015 ◽  
Vol 6 (2) ◽  
pp. 330 ◽  
Author(s):  
Mulyono Mulyono
Keyword(s):  
Stock Market ◽  
Stock Price ◽  
Price Index ◽  
Stock Exchange ◽  
Composite Index ◽  
Stock Index ◽  
Stock Trading ◽  
Close Relationship ◽  
Coefficient Corrélation ◽  
Stock Price Index

Stock market generally has the stock price index that measures the performance of stock trading, the Indonesia Stock Exchange has a stock price index that is widely known as Jakarta Composite Index (IHSG). During its development, the Indonesia Stock Exchange has many alternative indexes that measure the performance of stock trading. Research that is to be conducted on the correlation between return of the stock index listed in Indonesia Stock Exchange and return of Jakarta Composite Index. Return stock index listed on the Indonesia Stock Exchange, namely, LQ45 Index, Jakarta Islamic Index (JII), KOMPAS100 Index, BISNIS-27 Index, PEFINDO25 Index and SRI-KEHATI Index, has a close relationship with the return Jakarta Composite,Index which is a reflection of the movement of all existing stock in the market. Return of stocks index that have the highest coefficient correlation is KOMPAS100 In dex, which have return index coefficient correlation is 0.949, thus KOMPAS100 Index that consisting of 100 stocks, based on the results of the study can be used as an alternative investment to get a return that is at least equal or close to the yield given by Jakarta Composite Index(IHSG) that consists of 445 stocks

scholarly journals Analisis Pengaruh Indeks Bursa Global Dan Regional Terhadap Indeks Harga Saham Gabungan ( pada Bursa Efek Indonesia

2018 ◽  
Author(s):  
Afriyeni
Keyword(s):  
Stock Market ◽  
Stock Price ◽  
Price Index ◽  
Regression Coefficient ◽  
Stock Exchange ◽  
The United States ◽  
Global Market ◽  
Stock Index ◽  
Stock Price Index ◽  
Global Stock

This research is aimed to examine the influence of global and regional indexes for the stock price index in Indonesian Stock Exchange and to determine the influence of global market stock price indices simultaneously or partially represented by three global stock markets to index IDX. As for the third global stock market Hang Seng is representing Hongkong stock exchange, Nasdaq composite representing the United States Stock Market and the Exchange FTSE representing Malaysia. This research is a statistical study with data population composite stock price index (CSPI) each - one index per - end of month from September 2005 to August 2012. Simple sampling method used to collect data during the 84 months from September 2005 to August 2012. Processing of data obtained from the following regression equation: Y = - 1696.585-.207 IXIC - 0.058 + 4.689 HSI. From the regression model constant value of - 1,696.585 states if there is no movement of the three independent variables, then the index will be decreased by 1696.585%. IXIC regression coefficient of - 0.207 states that every 1% decrease IXIC index will result in an increase of 0.207% assuming constant HSI and FTSE. HSI regression coefficient of - 0.058 states that every 1% decrease in HSI index will result in an increase of 0.058% assuming HSI and FTSE konstan.Koefisien regression of 4.689 states that every 1% increase in FTSE index will result in an increase of 4.689% assuming IXIC and HSI constant. The results showed that the influence of these three global stock index jointly significant influence but individually only Hang Seng stock index and HSI are affecting the BEI index. Data processing results obtained R Square of 0.934, which means 93.4% movement in the Indonesia Stock Exchange Composite Index is affected by movements in global and regional indices.

scholarly journals Did the Stock Market Regime Change after the Inauguration of the New Cabinet in Japan?

2014 ◽  
Vol 2 (1) ◽  
pp. 98
Author(s):  
Chikashi Tsuji
Keyword(s):  
Stock Market ◽  
Stock Price ◽  
Price Index ◽  
Stock Exchange ◽  
Markov Switching ◽  
Sample Period ◽  
Full Sample ◽  
Markov Switching Models ◽  
Switching Models ◽  
Market Regime

This paper explored whether the Japanese stock market regime changed after the inauguration of the new Abe cabinet in Japan. Our application of Markov switching models to the Japanese stock price index returns and examinations of the price spreads in terms of the Japanese stock price indices derive the following evidence. First, (1) after the Abe cabinet started, regime of the Japanese stock markets changed. Second, (2) the regimes as to the JASDAQ Index and Tokyo Stock Exchange (TSE) Mothers Index more strongly and earlier changed than that of TOPIX. Third, (3) in our full sample period from January 4, 2011 to March 20, 2014, average positive price spreads over TOPIX were observed as to the JASDAQ, TSE Mothers, TOPIX Small, and TSE Second Section Index.

scholarly journals Does Monetary Policy Affect Stock Market Return? Recent Evidence from the Nigerian Stock Exchange (1986-2018)

2019 ◽  
pp. 1-8
Author(s):  
Chinedu Maurice Umezurike ◽  
Felix Nwaolisa Echekoba ◽  
Amalachukwu Chijindu Ananwude
Keyword(s):  
Monetary Policy ◽  
Stock Market ◽  
Central Bank ◽  
Stock Exchange ◽  
Cash Flows ◽  
Reasonable Doubt ◽  
Single Digit ◽  
High Interest Rate ◽  
Market Return ◽  
Stock Market Return

The nexus between monetary policy and stock market return has remained a topic of debate in the literature. We determined whether stock market return in Nigerian Stock Exchange (NSE) is affected by monetary policy or not. To this end, we employed the Autoregressive Distribute Lag (ARDL) model using data from 1986 to 2018 bearing in mind that our conclusion in this subject matter may be used to make assertion by other researchers who have interest in this area of study in finance. We are convinced beyond reasonable doubt based on the data we employed that the stock market return in Nigeria is not significantly affected by adjustments in monetary policy instruments of the Central Bank of Nigeria (CBN): The apex regulator of the financial system in Nigeria. This paper wholeheartedly reflects the opinion that the Central Bank of Nigeria should consider reducing the current double digit monetary policy rate to a single digit say 9% at most to attract investments in the stock market. This would reduce the prime lending rate because, high interest rate reduces cash flows of firms quoted in the exchange, and thus contraction in values of securities traded on the market.

scholarly journals Macroeconomic Variables and Stock Market Returns in Sri Lanka

2017 ◽  
Vol 9 (2) ◽  
pp. 206
Author(s):  
Saseela Balagobei
Keyword(s):  
Exchange Rate ◽  
Sri Lanka ◽  
Stock Market ◽  
Inflation Rate ◽  
Stock Exchange ◽  
Market Returns ◽  
Stock Market Returns ◽  
Macroeconomic Variables ◽  
Market Return ◽  
Stock Market Return

The stock market is one of the most energetic sectors that play an important role in contributing to the wealth of the economy. It plays a crucial role in the economic growth and development of an economy which would benefit industries, trade and commerce as a whole. The aim of this study is to investigate the impact of macroeconomic variables on stock market returns in Sri Lanka. Dependent variable of this study is stock market return measured by All Share Price Index (ASPI) and All Share Total Return Index (ASTRI) and independent variables are macroeconomic variables, such as Interest Rate (IR), Inflation Rate (INF), Exchange Rate (ER), Factory Industry Production Index (FIPI) and money supply (MS).  The study targets all the companies listed and active in Colombo Stock Exchange (CSE) from 2006 to 2015. For analysis, secondary data was collected from annual reports of Central bank of Sri Lanka, Colombo Stock Exchange, Securities and Exchange Commission and Department of Census and Statistics. The results of the study reveal that the stock market returns is influenced by macroeconomic variables except money supply in Sri Lanka. Interest rate and factory industry production have negative influence on stock market return in Colombo Stock exchange while inflation rate and exchange rate have positive influence on stock market return. The findings of the study may be useful to public and economy especially stock market investors to focus the macroeconomic variables for making their effective decisions in order to enhance their stock market returns.

scholarly journals Analysis of Global Stock Exchange Index, Foreign Exchange Rate, Interest Rate and Inflation Rate Influences CSPI in Indonesia Stock Exchange (Period of January 2014 – 2015)

2019 ◽  
Vol 4 (6) ◽  
Author(s):  
Dahlia Br. Pinem
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Interest Rates ◽  
Stock Price ◽  
Price Index ◽  
Stock Exchange ◽  
Developed Countries ◽  
Stock Index ◽  
Stock Price Index ◽  
Global Stock

The economics of one country with other countries are interconnected because of the business relationship, especially since the developed countries greatly affect the economics of developing countries, so that the stock market in developed countries such as Dow Jones (DJIA) index, Footsie London Index (FTSE), Singapore Index (STI), Tokyo Nikkei Index (N225), Korea KOSPI Index (KS11), Hang Seng Hongkong Index (HSI) affect the Composite Stock Price Index (CSPI). The purpose of this study is to determine the influence of global stock indices on the Composite Stock Price Index (CSPI). In addition to the global macroeconomics index of Indonesia's Stock Index like the US Dollar against the rupiah, interest rates greatly affect the Composite Stock Price Index. The method of the sample research was conducted by judgment sampling. Hypothesis testing in this research is conducted by Multiple Regression. The results obtained simultaneously (F test) variables (FTSE, Dow Jones index, STI, KS 11, Hangseng, Nikkei 225, Dollar/USD exchange rate, interest rate, Inflation) have a significant effect on CSPI. Yet, only partially variable interest rate is not significant, while the other partially affects the CSPI.

scholarly journals INTEREST RATE ADJUSTMENT AND STOCK MARKET – THE CASE STUDY OF CHINA

2021 ◽  
Author(s):  
Ning Zeng ◽  
◽  
Xixi Li ◽  
Keyword(s):  
Interest Rate ◽  
Stock Market ◽  
Stock Price ◽  
Price Index ◽  
Stock Index ◽  
Rate Adjustment ◽  
Stock Price Index ◽  
The Interest Rate ◽  
The Impact

This paper examines the impact of interest rate adjustment on the stock market in China. We collect the interest rate adjustment periods from April 21, 1991 to October 24, 2015 since the estab¬lishment of the stock market. Through an Error Correction model together with Granger causality, we investigate responses of the stock index to interest rate adjustment. Our findings suggest that there is existing a long-term reverse relationship between interest rate adjustment and stock index. The impact of interest rate adjustment on stock index returns could not be long-term disequilibria, which will be corrected in short-time. Also, the interest rate is the granger cause of the stock price index, while the stock price index is not the granger cause of interest rate.

scholarly journals PENGARUH RETURN INDEKS NASDAQ, INDEKS S&P DAN HARGA KUOTASI DOLAR TERHADAP TINGKAT RETURN SAHAM TELKOM

2021 ◽  
Vol 8 (1) ◽  
pp. 48
Author(s):  
Arif Surahman
Keyword(s):  
Significant Influence ◽  
Stock Price ◽  
Price Index ◽  
Stock Exchange ◽  
Composite Index ◽  
Stock Index ◽  
Accurate Analysis ◽  
Advanced Country ◽  
Dow Jones Industrial Average ◽  
Stock Price Index

ABSTRAK Investasi pada instrumen saham memerlukan analisa yang akurat untuk terhindar dari kerugian. Asmara dan Suarjaya (2018) berhasil menemukan bahwa indikator-indikator makro berpengaruh signifikan terhadap fluktuasi harga IHSG. Pergerakan indeks harga saham sebuah negara terpengaruh oleh kondisi makro perekonomian dari negara tersebut (Deitiana, Stella, 2009). Kondisi perekonomian  makro dari suatu negara saling pengaruh-mempengaruhi antara satu negara dengan negara lainnya, terutama apabila negara tersebut sudah sangat maju dan memiliki ekonomi yang kuat. Oleh karena itu, bisa diasumsikan bahwa Indeks Harga Saham Gabungan dari negara-negara yang sudah maju dapat turut mempengaruhi fluktuasi dari IHSG. Hal ini sebagaimana dibuktikan oleh hasil penelitian Tamara (2012) yang menemukan bahwa terdapat pengaruh yang signifikan antara Dow Jones Industrial Average, Shanghai Stock Exchange Composite Index dan Straits Times Index terhadap fluktuasi Indeks Harga Saham Gabungan. Penelitian sebelumnya yang dilakukan tahun 2019 oleh Deitiana dan Stella dengan menggunakan data harga penutupan mingguan dari Indeks Dow Jones, Nikkei 225, Kospi danShanghai Composite Index juga berhasil menemukan hubungan pengaruh yang signifikan baik secara simultan maupun parsial terhadap pergerakan IHSG.Penelitian ini menggunakan regresi linier sederhana untuk menyelidiki pengaruh indeks Nasdaq, S&P dan harga dari quotasi dolar terhadap Return saham Telkom. Hasil dari penelitian ini menemukan bahwa Indeks Nasdaq dan harga quotasi Dolar terhadap Rupiah dapat mempengaruhi tingkat imbal hasil saham Telkom secara signifikan dengan nilai signifikansi berada dibawah 5%. Kata Kunci: Return, Saham, Telkom, Nasdaq, S&P, Dolar.  ABSTRACT Investment in stocks recquire accurate analysis to avoid loss. Asmara and Suarjaya (2018) found that macro economic indicators of a country has a significant influence towards the fluctuations of IHSG prices. Deitana & Stella (2019) also found the same thing. The Macro Economic conditions of a country has a reciprocal influnces between a country and others. Because of that, it can be assumed that stock indexes from an advanced country can also influenced  the fluctuations of Indonesia's Stock Price Index. This assumption has been proven by the research which has been conducted by Tamara (2012)  which found that there is a significant influence between Dow Jones Industrial Average, Shanghai Stock Exchange Composite Index and Straits Times Index towards the fluctuations of Indonesia Stock Price Index (IHSG). Previous research that were conducted in 2019 by Deitiana and Stella by using weekly closing price of  Dow Jones Index, Nikkei 225, Kospi and Shanghai Composite Index also has found a significant connections either simultaneously nor partially to the movement of indonesia stock index prices. This research are conducted by using linier regression to investigate the influence of the return of  Nasdaq, S&P and Dollar to Rupiah quotations towards the Return of Telkom stock price. The results of this research concluded that Nasdaq Indices and Dolar price quotations towards Rupiah's can significantly influenced the return of telkom stock price with a confidence level that are below 5%. Keyword : Return, Stock, Telkom, Nasdaq, S&P, Dolar

Sign in / Sign up

Export Citation Format

Share Document