scholarly journals THE EFFECT OF MACROECONOMIC VARIABLES IN PREDICTING INDONESIAN SHARIA STOCK INDEX

2019 ◽  
Vol 5 (2) ◽  
pp. 223
Author(s):  
Angga Khoerul Umam ◽  
Ririn Tri Ratnasari ◽  
Sri Herianingrum
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Industrial Production ◽  
Stock Index ◽  
Macroeconomic Variables ◽  
Production Index ◽  
Industrial Production Index ◽  
The Exchange Rate ◽  
The Impact

ABSTRACTThis study examines the impact of macroeconomic variables, namely the exchange rate, interest rates, industrial production index, SBIS and inflation on the Indonesian Islamic stock index. This study uses monthly data from May 2011 to December 2018. This research is a quantitative study that applies the Johansen Cointegration Test and Vector Error Correction Model to see the long-term impact and shock response on certain variables. The findings indicate the existence of short-term and long-term causality between macroeconomic variables and the Indonesian Islamic stock index. Especially in the long run, industrial production index and inflation have a significant effect on ISSI, while the exchange rate, interest rates and SBIS have no significant effect on ISSI. IRF results show that the response of each variable and stable at different times. The ISSI response experienced a positive shock that occurred in the industrial production index and inflation. On the other hand, the exchange rate, the Bungan rate and SBIS were responded negatively by ISSI.

scholarly journals Analisis Dinamis Hubungan Antara Harga Saham dan Variabel Makroekonomi

2021 ◽  
Vol 4 (1) ◽  
pp. 77-90
Author(s):  
Paulina Harun
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Industrial Production ◽  
Stock Prices ◽  
Trade Balance ◽  
Short Term ◽  
Ardl Model ◽  
Production Index ◽  
Industrial Production Index

Previous research has proven the influence between interest rates, inflation, exchange rate, trade balance, industrial production index on stock prices. By using the Autoregressive Distributed Lag (ARDL) model approach and the 13 companies listed on the IDX, in this study, we will look deeper into the dynamics of long-term and short-term relationships for the aforementioned variables. The research period starts from January 2015 to December 2019, during which time there were many global upheavals that had a considerable impact on the Indonesian economy, through the ARDL model of interest rates, inflation, exchange rate, trade balance, industrial production index, and stock prices are proven to have long-term cointegration or move together in the long term. But not only in the long run, but these seven variables also have a dynamic short-term relationship that has a sufficient speed of adjustment towards equilibrium per month.

The impact of news on the exchange rate of the lira and long-term interest rates

2002 ◽  
Vol 19 (4) ◽  
pp. 611-639 ◽  
Author(s):  
Fabio Fornari ◽  
Carlo Monticelli ◽  
Marcello Pericoli ◽  
Massimo Tivegna
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
The Exchange Rate ◽  
The Impact

scholarly journals PENGARUH VARIABEL MAKROEKONOMI TERHADAP JAKARTA ISLAMIC INDEX PERIODE 2011-2018

2020 ◽  
Vol 6 (9) ◽  
pp. 1894
Author(s):  
Syafrina Hidayati ◽  
Puji Sucia Sukmaningrum
Keyword(s):  
Exchange Rates ◽  
Significant Influence ◽  
Industrial Production ◽  
Oil Price ◽  
Stock Index ◽  
Energy Information Administration ◽  
Production Index ◽  
Industrial Production Index ◽  
Analysis Technique

This research aims to determine the effect of Macroekonomic Variables against the sharia stock index, Jakarta Islamic Index . the approach used is quantitative by using the Vector Error Correction Model (VECM) analysis technique with the STATA program.While the Inflation, Exchange Rates,Bank Indonesia Sharia Certificate, Industrial Production Index and Oil Price as dependent variables and Jakarta Islamic Index (JII) as the independent variable.Secondary data are used in this research from the official website Badan Pusat Statistik, Bank Indonesia, U.S Energy Information Administration(EIA) and yahoofinance. The result of the research shows that in the short term, Inflation, Exchange Rates,Bank Indonesia Sharia Certificate, Industrial Production Index and Oil Price have no significant influence against Jakarta Islamic Index. While in the long term, Inflation, Exchange Rates,Bank Indonesia Sharia Certificate, Industrial Production Index have signicant influence against Jakarta Islamic Index. Oil price in the long term has no significant influence against Jakarta Islamic Index

The influence of inflation targeting on the pass-through effect of the exchange rate

2018 ◽  
pp. 70-84
Author(s):  
Ph. S. Kartaev ◽  
Yu. I. Yakimova
Keyword(s):  
Developing Countries ◽  
Monetary Policy ◽  
Exchange Rate ◽  
Inflation Targeting ◽  
Policy Regime ◽  
Short And Long Term ◽  
The Exchange Rate ◽  
Pass Through ◽  
The Impact

The paper studies the impact of the transition to the inflation targeting regime on the magnitude of the pass-through effect of the exchange rate to prices. We analyze cross-country panel data on developed and developing countries. It is shown that the transition to this regime of monetary policy contributes to a significant reduction in both the short- and long-term pass-through effects. This decline is stronger in developing countries. We identify the main channels that ensure the influence of the monetary policy regime on the pass-through effect, and examine their performance. In addition, we analyze the data of time series for Russia. It was concluded that even there the transition to inflation targeting led to a decrease in the dependence of the level of inflation on fluctuations in the ruble exchange rate.

scholarly journals The Impact of International Sanctions on Russian Financial Markets

Economies ◽  
2020 ◽  
Vol 8 (4) ◽  
pp. 107
Author(s):  
Mirzosaid Sultonov
Keyword(s):  
Exchange Rate ◽  
Stock Price ◽  
Price Index ◽  
The United States ◽  
The European Union ◽  
Stock Price Index ◽  
The Exchange Rate ◽  
Long Term Impact ◽  
The Impact

Russia’s international comportment and geostrategic moves, particularly the invasion of Ukraine and the annexation of Crimea in 2014, caused a substantial change in its international economic and political relations. In response to Russia’s invasion, the United States of America, the European Union, and their allies imposed a series of sanctions. In this study, by applying an exponential generalized autoregressive conditional heteroscedasticity model to daily logarithmic returns of the ruble exchange rate and the closing price index of the Russian Trading System, we analyze how the returns and volatility of the exchange rate and the stock price index responded to the sanctions and oil price changes. The estimation results show that the sanctions have a significant positive short-term impact on exchange rate returns. Economic sanctions have a significant negative long-term impact on the returns and variance of the exchange rate and a significant positive long-term impact on the returns of the stock price index. Financial sanctions have a positive/negative long-term impact on the returns of the exchange rate/stock price index and a positive long-term impact on the variance of the exchange rate and the stock price index. Corporate sanctions have a positive long-term impact on exchange rate returns.

scholarly journals ANALISIS PENGARUH FAKTOR VARIABEL MAKROEKONOMI TERHADAP JAKARTA ISLAMIC INDEX (JII) PERIODE 2010 – 2013

2014 ◽  
Vol 3 (2) ◽  
Author(s):  
Herni Ali
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Regression Models ◽  
Secondary Data ◽  
Macroeconomic Variables ◽  
Multiple Regression Models ◽  
Negative Effect ◽  
The Exchange Rate ◽  
The Relationship ◽  
Positive Effect

The aim of this study is examining the relationship between cointergration and causality levels of Exchange Rate, GDP, BI interest rates and inflation on Islamic Capital Markets. The data used in this study is a quantitative secondary data in the form of time series of the period January 2010 to December 2013. The test were conducted with the approach of multiple regression models with variable index research JII (Y), the exchange rate (X1), GDP (X2) , BI rate (X3) and inflation (X4) as for hypothesis testing performed using SPSS statistical software. From the results obtained by testing the hypothesis that: a positive effect on the exchange rate, positive effect on GDP, interest harga sewa rates BI negative effect and inflation positive effect on JII. Simultanious testing into four macroeconomic variables affect the JII.DOI: 10.15408/sjie.v3i2.2061   

scholarly journals Kondisi makroekonomi dan kinerja perbankan di Indonesia

2021 ◽  
Vol 16 (1) ◽  
pp. 11-28
Author(s):  
Irma Febriana Mk ◽  
Nurbetty Herlina Sitorus ◽  
Rizka Malia
Keyword(s):  
Error Correction ◽  
Industrial Production ◽  
Negative Relationship ◽  
Short Term ◽  
Vector Error Correction ◽  
Production Index ◽  
Vector Error ◽  
Industrial Production Index ◽  
Significant Negative Relationship

The purpose of this study was to see how the long-term and short-term relationship between banking performance and macroeconomic variables. The analysis method used is the vector error correction model (VECM) with the variables ROA, BOPO, LDR, industrial production index, CPI, and BI rate. The results of this study indicate that there is a significant positive relationship between ROA and industrial production index in the long run and a significant negative relationship between ROA and CPI in the long and short term. There is a significant negative relationship between BOPO and the industrial production index in the long and short term. LDR has a significant negative relationship with all macro variables in the long term whereas, in the short term, LDR has a significant negative relationship with the CPI.  Keywords: Banking performance, Macroeconomic, Vector error correction models

scholarly journals The Impact of Macroeconomic Variables on Stock Prices: An Empirical Analysis of Islamabad Stock Exchange

2014 ◽  
Vol 10 (2) ◽  
pp. 73-93
Author(s):  
Nosheen Rasool ◽  
Muhammad Mubashir Hussain
Keyword(s):  
Exchange Rate ◽  
Significant Relationship ◽  
Stock Prices ◽  
Price Index ◽  
Stock Exchange ◽  
Foreign Exchange Reserves ◽  
Macroeconomic Variables ◽  
Production Index ◽  
Long Run ◽  
The Impact

The purpose of this study was to analyze long-run causal relationship between ISE (Islamabad Stock Exchange) and macroeconomic variables in Pakistan and also find out the direction of causality. The impact of macroeconomic variables on stock prices of ISE has not been previously discussed by the researchers. The monthly data from January 2001 to December 2010 was used in this study. The set of macroeconomic variables include Exchange Rate (ER), Foreign Exchange Reserves (FER), Industrial Production Index (IPI), Interest Rate (IR), Imports (M), Money Supply (MS), Wholesale Price Index (WPI) and Exports (X). Descriptive statistics and Unit root test, Johansen Co-integration Technique and Granger Causality Technique were employed to analyze the long-run and causal relationship between the macroeconomic variables and stock prices.  The results revealed that M showed positive and significant relationship but Foreign Exchange Reserves (FER) and Industrial Production Index (IPI) indicated positive and insignificant relationship with the stock prices. Exchange rate(ER), Money supply (MS) and  Whole sale price index(WPI) showed negative but significant relationship while Interest  rate (IR) and Export( X )indicated a negative and insignificant relationship with the stock prices. The findings of Granger Causality revealed that only exports showed a unidirectional causal relationship. 

scholarly journals The impact of some macroeconomic indicators on exchange rate fluctuations in Sudan in the period (1990- 2016): أثر بعض مؤشرات الاقتصاد الكلي على تقلبات أسعار الصرف في السودان في الفترة (1990- 2016)

2020 ◽  
Vol 4 (10) ◽  
Author(s):  
Abdelsamie Eltaeb Tayfor
Keyword(s):  
Exchange Rate ◽  
Time Series Regression ◽  
Econometric Methods ◽  
Exchange Rate Fluctuations ◽  
Data Collection And Analysis ◽  
Macroeconomic Indicators ◽  
Increase Productivity ◽  
The Exchange Rate ◽  
The Impact

The study aimed to identify the determinants and economic variables that affect the exchange rate in Sudan during the period (1990- 2016). The study used the descriptive analytical approach in data collection and analysis as well as the use of econometric methods in the construction of economic models and analysis of time series regression models to verify the existence of a long- term integrative relationship between independent variables and dependent variable. The results of the study showed a positive correlation between GDP, degree of economic openness, inflation and exchange rate during the study years, and an inverse relationship between money supply and exchange rate. The study recommended the need to move away from administrative decisions in determining the exchange rate, while achieving greater flexibility in the exchange rate, and increased interest in bank financing of projects that lead to increase productivity and improve GDP and thus improve the exchange rate by encouraging domestic exports.

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