scholarly journals Faktor Makro Ekonomi Segi Moneter Terhadap Kinerja Indeks Saham Di Jakarta Islamic Index (JII) (Periode Januari 2010-Agustus 2015)

2017 ◽  
Vol 3 (4) ◽  
pp. 266
Author(s):  
Dian Ayu Wulansari ◽  
Leo Herlambang
Keyword(s):  
Exchange Rate ◽  
Money Supply ◽  
Price Index ◽  
Secondary Data ◽  
Stock Index ◽  
Average Price ◽  
Macroeconomic Factors ◽  
Monthly Data ◽  
Macroeconomic Variables ◽  
Observation Period

Jakarta Islamic Index (JII) is one of Indonesia’s stock index in calculating the average price index of stocks for the type of stocks that meet the criteria of Shariah. One of the factors that influence is macroeconomic factors. This study aims to determine the effect of macroeconomic variables which consist of Inflation, Exchange Rate and M2 on the Jakarta Islamic Index (JII) with the observation period January 2010-August 2015. The data used is secondary data time series in the form of monthly data during the observation period January 2010-August 2015. The results showed that Exchange Rate and Money Supply (M2) have positively significant effect on the Jakarta Islamic Index (JII), whereas other variables such as Inflation is not significantly effect on the Jakarta Islamic Index (JII). While simultaneously the Inflation, Exchange Rate and Money Supply significant effect on the Jakarta Islamic Index (JII).

scholarly journals Analisis Indeks Harga Konsumen di Indonesia Melalui Pendekatan Kointegrasi

2019 ◽  
Vol 4 (2) ◽  
pp. 110-118
Author(s):  
Muhamad Muin ◽  
Keyword(s):  
Exchange Rate ◽  
Empirical Study ◽  
Money Supply ◽  
Price Index ◽  
Consumer Price Index ◽  
Data Series ◽  
Short Term ◽  
Monthly Data ◽  
The Relationship

This study aims to analyze the relationship between the rupiah exchange rate (RER) and the money supply (M1) on the outgrowth of the consumer price index (CPI) in Indonesia. The data used in this study are monthly data series from January 2005 to January 2019. The results of this empirical study shows that there is a relationship between RER and M1 on CPI in the long term and there is a correction in the short term balance (ECM) which is influenced by M1. All of these variables are significant at α = 5% and partly significant at α = 1%.

scholarly journals The relationship between macroeconomic factors and stock market volatility: empirical evidence from the Vietnam stock market

2013 ◽  
Vol 16 (3) ◽  
pp. 86-100
Author(s):  
Kieu Minh Nguyen ◽  
Diep Van Nguyen
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Money Supply ◽  
Stock Price ◽  
Price Index ◽  
Macroeconomic Factors ◽  
Stock Price Index ◽  
The Exchange Rate ◽  
The Relationship

The main target of this study is to measure the relationship of macroeconomic factors to the volatility of the stock market in Vietnam (through stock price VN-index). There are four factors including the consumer price index (measure of inflation), the exchange rate of USD/VND and money supply M2. Research shows that the stock price VN-Index has a positive relationship with the money supply M2 and the domestic gold price in long term. On the contrary, it has a negative relationship with the inflation while it does not have any connection to the exchange rate and stock price index. In short term, the current stock price index has proportional to the stock price index last month and inversely proportional to the exchange rate. The estimated speed of adjustment indicates that the Vietnam stock market converges to the equilibrium about 8 months (adjusted approximately 13.04% per month) to reach equilibrium in the long term.

scholarly journals HE IMPACT OF INFLATION, CERTIFICATE OF BANK INDONESIA, AND EXCHANGE RATE OF IDR/USD ON THE INDONESIA COMPOSITE STOCK PRICE INDEX

2017 ◽  
Vol 1 (1) ◽  
pp. 42
Author(s):  
Margarita Ekadjaja ◽  
Daisy Dianasari
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Stock Price ◽  
Price Index ◽  
Inflation Rate ◽  
Stock Exchange ◽  
Monthly Data ◽  
Macroeconomic Variables ◽  
Research Population ◽  
Stock Price Index

This research is done with the aim to know whether some macroeconomic variables, which are inflation rate, certificate of Bank Indonesia (SBI) rate, and exchange rate of IDR/USD have an impact on the movement of the composite stock price index (IHSG) at the Indonesia stock exchange (BEI) partially and simultaneously in the period of 2006–2014. The research population is inflation rate, SBI rate, and exchange rate of IDR/USD. Data analysis in this research is multiple regression by using time series monthly data of 2006–2014. Research results show that partially inflation rate gives positive significant impact on IHSG, SBI rate has negative significant impact on IHSG, and exchange rate of IDR/USD has positive significant impact on IHSG.  Simultaneously it shows that inflation, SBI rate, and exchange rate of IDR/USD have an impact on IHSG at BEI to the period of year 2006 – 2014.  Those variables affect IHSG by 58,74%, while other variables affect IHSG by 41,26%.  That information can be used by investors to make decision on their investment.Keywords: inflation, SBI, exchange rate, IHSG, BEI.

scholarly journals Determinants of Macroeconomic Variables on Islamic Stock Index: Evidence from Frontier Market

2020 ◽  
Vol 5 (1) ◽  
pp. 23
Author(s):  
Noor Hafizha Muhamad Yusuf ◽  
Natasha Aliana Muhamad Hilmi ◽  
Wan Mohd Yaseer Mohd Abdoh ◽  
Rozihanim Shekh Zain ◽  
Noor Sharida Badri Shah
Keyword(s):  
Exchange Rate ◽  
Gross Domestic Product ◽  
Money Supply ◽  
Significant Relationship ◽  
Emerging Market ◽  
Oil Price ◽  
Stock Index ◽  
Domestic Product ◽  
Fe Model ◽  
Macroeconomic Variables

This paper provides useful insights on the determinants of macroeconomic variables on Islamic stock index evidence from frontier market. The aims of this study is to examine the effect of macroeconomic variables namely gross domestic product (GDP), inflation (consumer price index), exchange rate (USD exchange rate), oil price (crude palm oil) and money supply (M2) on frontier market Islamic index (FMII). This study employs Fixed Effect (FE) model of 17 countries listed under FMII. The study cover a ten (10) years period from 2008 until 2017. The study have shown significant relationship between inflation, money supply and exchange rate with FMII and managed to reject null hypotheses for the three variables. Inflation and exchange rate is negatively related with FMII while money supply, gross domestic product and oil price is positively related to FMII. However, the study fails to find any significant relationship between gross domestic product and oil price with FMII. The findings of this study will provide better understanding on the frontier market and helps to improve their performance. Therefore, it can encourage countries in frontier market to be able to compete and achieve similar advancement as countries in developed and emerging market did.

scholarly journals PENGARUH VARIABEL MAKROEKONOMI DAN INDEKS SAHAM INTERNASIONAL TERHADAP INDEKS SAHAM JAKARTA ISLAMIC INDEX (JII)

2020 ◽  
Vol 6 (12) ◽  
pp. 2381
Author(s):  
Devi Rahmiyanti ◽  
Bayu Arie Fianto
Keyword(s):  
Exchange Rate ◽  
Crude Oil ◽  
Gold Price ◽  
Oil Price ◽  
Stock Index ◽  
Crude Oil Price ◽  
Correction Model ◽  
Monthly Data ◽  
Macroeconomic Variables ◽  
Long Run

This study investigate the effect of macroeconomic variables and international stock index on the stock index Jakarta Islamic Index (JII) using monthly data over period January 2013 to December, 2018. Macroeconomic variables used in this study are inflation, exchange rate, international crude oil price, World Gold Price and for the international stock index using Dow Jones Islamic Market. The study employs the eror correction model (ECM). The empirical result reveal that there is co-integration between the four macroeconomic variables, one international stock index and stock index in Jakarta Islamic Index indicating long run equilibirium relationship. Furhther, the result reveal that with significancy 0,5% only exchange rate, international crude oil price, world gold price had significant effect on Jakarta Islamic Index while inflation and Dow jones Islamic Market did not have a significant effect on Jakarta Islamic Index.Keywords: The stock Index, the Jakarta Islamic Index, the macroeconomic variables

scholarly journals Determinants of Stock Market Performance

NCC Journal ◽  
2018 ◽  
Vol 3 (1) ◽  
pp. 134-142
Author(s):  
Ramjee Rakhal
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Literature Review ◽  
Stock Market ◽  
Money Supply ◽  
Market Performance ◽  
Major Objective ◽  
Macroeconomic Factors ◽  
Macroeconomic Variables ◽  
Stock Market Performance

This paper investigates the effect of selected macroeconomic factors viz. remittances, money supply, exchange rate, and interest rate on stock market performance based on literatures available in international and Nepalese context. The major objective of this paper is to find out the new area of research in Nepalese perspective with the help of literature review. The study demonstrates that remittance and money supplypositively affect the stock market whereas interest rate and exchange rate negatively affect the stock market performance. However, there is lack of consensus on the effect of each macroeconomic variables on stock market performance as it has number of literatures available which are similar as well as opposite to these findings. Thus, similar study can be extended employing different methodology with this combination of variables in Nepalese context that may better describe and analyze the performance of Nepalese stock market and helps to reduce the confusion among the literatures.NCC JournalVol. 3, No. 1, 2018, page: 134-142

scholarly journals ANALISIS PENGARUH VARIABEL MAKROEKONOMI TERHADAP INDEKS HARGA SAHAM PROPERTI DAN KEUANGAN DI INDONESIA

Media Ekonomi ◽  
2019 ◽  
Vol 25 (2) ◽  
pp. 133
Author(s):  
Bagas Satrio Wibisono ◽  
Dian Octaviani R
Keyword(s):  
Exchange Rate ◽  
Money Supply ◽  
Stock Price ◽  
Quantitative Research ◽  
Price Index ◽  
Correction Model ◽  
Macroeconomic Variables ◽  
Short And Long Term ◽  
Stock Price Index

<p><em><em><em>This research discusses the influence of macroeconomic variables on Property Stock Price Index (IHSProp) and Finance Stock Price Index (IHSKeu)</em>. <em>Quantitative research analising an impact of independent variables such as BI rate, Inflation, Money Supply (M2), Exchange Rate (Rp/USD) on dependent variables which are IHSProp and IHSKeu. The data used is monthly data start from 2008: 1 until 2015: 12. The method used in this thesis is Error Correction Model (ECM).</em> <em>The results showed that four macroeconomic variables globally have significant impact on IHSProp and IHSKeu in either short~ and long term. In the short term BI rate significantly influences IHSKeu while exchange rate significantly influences IHSProp and IHSKeu. In the long term, Commodity inflation significantly influences IHSProp. Money Supply significantly influences on IHSProp and IHSKeu. Exchange rate significantly influences on IHSProp and IHSKeu.</em></em> </em><em></em></p><p><em><br /></em><em></em></p>

scholarly journals Impacts of Macroeconomy on Stock Market: Evidence from Pakistan

2014 ◽  
Vol 3 (3) ◽  
pp. 140-146
Author(s):  
Farid Ullah ◽  
Ijaz Hussain ◽  
Abdur Rauf
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Market ◽  
Inflation Rate ◽  
Negative Association ◽  
Macroeconomic Factors ◽  
Monthly Data ◽  
Macroeconomic Variables ◽  
Long Span ◽  
Long Run

Stock market is a place where the securities of listed companies are traded and this can be affected by both macroeconomic and non-macroeconomic factors. The impacts of macroeconomic factors on stock market of Pakistan are investigated in the current study. For this purpose monthly data covering the period from January 2008 to December 2012 is used in this study while taking the three most important macroeconomic variables, Exchange Rate, Interest Rate and Inflation. Using the more advance Bound Testing Approach, a very strong long run cointegration is found amongst the variables taken for the study. In the long span of time, the results suggest that both Exchange Rate and Interest Rate have negative association with stock market of Pakistan while the Inflation Rate does not create such a condition that affect the stock market of Pakistan. Same results are found for the shorter version of time.

scholarly journals VARIABEL MAKROEKONOMI TERHADAP INDEKS SAHAM SYARIAH INDONESIA (PERIODE MEI 2011-SEPTEMBER 2015 DENGAN MODEL ECM)

Media Trend ◽  
2016 ◽  
Vol 11 (2) ◽  
pp. 117
Author(s):  
Yudhistira Ardana
Keyword(s):  
Exchange Rate ◽  
Secondary Data ◽  
Oil Prices ◽  
Model Error ◽  
Stock Index ◽  
Short Term ◽  
Correction Model ◽  
Macroeconomic Variables ◽  
The Interest Rate

<em>This study aimed to analyze the effect of macroeconomic variables on Indonesian Islamic stock index. Macroeconomic variables used is the interest rate of Bank Indonesia (BI-rate), inflation, exchange rate, Bank Indonesia Certificates Sharia (SBIS) and world oil prices. The data used in this research is secondary data during the period May 2011 until September 2015 using a model error correction model (ECM) where the end result is going to measure the effect of macroeconomic variables on Indonesian Sharia Stock Index in the short term and long term.</em>

scholarly journals PENGARUH VARIABEL MAKROEKONOMI DAN KONDISI PASAR MODAL INTERNASIONAL TERHADAP INDEKS HARGA SAHAM GABUNGAN

2014 ◽  
Vol 3 (2) ◽  
pp. 147
Author(s):  
Yusuf Simabur ◽  
Joan Marta
Keyword(s):  
Exchange Rate ◽  
Error Correction ◽  
Money Supply ◽  
Stock Price ◽  
Price Index ◽  
Composite Index ◽  
International Capital ◽  
Short Term ◽  
International Capital Markets ◽  
Macroeconomic Variables

This study aims to analyze the effect of macroeconomic variables and international capital market conditions on the stock price index, namely: Effect of macroeconomic variables and the International Capital Markets Index against JCI in short-term. Short- term and long term research is descriptive and associative. The type of data in this study is secondary data from the years 2004-2013 in the form of time series data obtained from the IDX Statistics and Bank Indonesia publications. The analytical method used is the Error Correction Model.Hasil study are (1) BI Rate, Exchange Rate and STI have significant effect on the composite index in the short term, but money supply, DJIA and CAC40 have not significant effect on the composite index. (2)Money Supply, , Exchange Rate, DJIA and STI have significant effect on the composite index in the short term, but BI Rate, and CAC40 have not significant effect on the composite index.Keyword: Composite Stock Price Index, Macroeconomic Variables, International Capital Markets Index and Error Correction Model.

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