scholarly journals Dampak Multivariat Volatility, Contagion dan Spillover Efiect Pasar Keuangan Global terhadap Indeks Saham dan Nilai Tukar Rupiah di Indonesia

2011 ◽  
Vol 11 (2) ◽  
pp. 117-134
Author(s):  
Nuning Trihadmini ◽  
Pudjiastuti B. S. W
Keyword(s):  
Exchange Rates ◽  
Stock Price ◽  
Financial System ◽  
Price Volatility ◽  
Spillover Effects ◽  
External Factors ◽  
System Stability ◽  
Stock Price Volatility ◽  
Contagion Effects ◽  
Exchange Rates Volatility

There are several factors influencing the financial system stability, namely the internal and the external factors. The occurrence of stock price volatility internationally, the contagion effects and the spillover effects are some external factors that have effect on the financial system stability. This research aims to know the dynamic relationship of regional and global stocks market in international financial system, and then do the analysis of the occurrence of contagion effects and spillover effects on stock price, and see their influence on domestic economics, monetary policy and financial system stability, by GARCH-VAR model.The results of this research indicate that there are some domination of the mature financial market to regional and domestic market. Moreover, the nearby regional stock price index also have a big contribution to the movement of other regional stock price market. The impact of stock price volatility to the IDR exchange rates volatility is relatively small, but not to the price level which is significantly large. Data analysis shows that there is contagion effects in stock market, but the spillover effect from stock price volatility to exchange rates volatility does not occur.

scholarly journals Stabilność systemu finansowego Unii Europejskiej

Studia BAS ◽  
2021 ◽  
Vol 3 (67) ◽  
pp. 87-116
Author(s):  
Małgorzata Mikita
Keyword(s):  
Financial Stability ◽  
Stock Price ◽  
Banking System ◽  
Financial System ◽  
Price Volatility ◽  
System Stability ◽  
Volatility Index ◽  
Degree Of Stability ◽  
The Stability ◽  
The Eu

The aim of the article is to present activities undertaken at the EU level to ensure financial stability, and to assess the degree of stability of the EU financial system on the basis of selected indicators. The first part of the article introduces the concept of financial system stability and describes its importance in the modern economy and the methods of estimating the stability of the financial system. The second part of the article is devoted to the presentation of activities undertaken by the EU to increase the stability of the financial system, and the assessment of financial stability on the basis of two indicators: the Z-score indicator, used to assess the stability of the banking system, and the Stock Price Volatility index, showing the stability of the capital market.

scholarly journals DETERMINE OF STOCK PRICE VOLATILITY ON MINING COMPANIES ON THE INDONESIA STOCK EXCHANGE

2021 ◽  
Vol 1 (2) ◽  
pp. 213-224
Author(s):  
Nurhasanah Nurhasanah ◽  
Husaini Husaini ◽  
Arliansyah Arliansyah ◽  
Johanda Syahputra
Keyword(s):  
Exchange Rates ◽  
Interest Rates ◽  
Stock Price ◽  
Trading Volume ◽  
Stock Exchange ◽  
Price Volatility ◽  
Analysis Method ◽  
Stock Price Volatility ◽  
Share Prices ◽  
Mining Companies

The purpose of this study was to determine the effect of dividend policy, earning volatility, trading volume, exchange rates and interest rates on the volatility of stock prices in mining companies on the Indonesia Stock Exchange. The population studied in this study were all mining companies which were mining companies for the 2016-2019 period totaling 51. The sampling technique inthis study used a positive sampling method. The samples in this study were as many as 14 mining companies with the 2016-2019 observation year. The data analysis method used in this study is thepanel data regression analysis method. Dividend policy has a positive but insignificant effect on stock price volatility in mining companies on the Indonesia Stock Exchange. Profit volatility has a positive but insignificant effect on the volatility of share prices in mining companies on the Indonesia Stock Exchange. Trading volume has a positive and significant effect on the volatility of share prices in mining companies on the Indonesia Stock Exchange. Exchange rates have a positive and significant effect on stock price volatility in mining companies on the Indonesia Stock Exchange. Interest rates have a positive and significant effect on the volatility of share prices in mining companies on the Indonesia Stock Exchange.

scholarly journals Dividend Policy and Economic Variable to Stock Price Volatility: Comparison of Indonesia and Malaysia

2018 ◽  
Vol 7 (4) ◽  
pp. 506-515
Author(s):  
Vega Rut Harlina ◽  
Moh. Khoiruddin
Keyword(s):  
Exchange Rates ◽  
Interest Rates ◽  
Analytical Method ◽  
Stock Price ◽  
Sampling Method ◽  
Dividend Policy ◽  
Stock Exchange ◽  
Price Volatility ◽  
Economic Variable ◽  
Stock Price Volatility

This research aims to examine the effect of dividend policy, micro variables, and macroeconomic on stock price volatility. The population in this research are companies in the financial sector listed at Indonesia Stock Exchange and Malaysia Stock Exchange in 2016-2017. A number of samples that used is 58 companies for Indonesia and 28 companies for Malaysia with purposive sampling method. Dividend policy is proxied by EPS, the micro variable is proxied by GA and EV, and the macro variable is proxied by exchange rates and interest rates. The analytical method used is CEM and REM with programs Eviews 9. This research concludes that in Indonesia EPS, exchange rates and interest rates have an effect on SPV. While in Malaysia, only EPS and exchange rates have an effect on SPV.

DETERMINANTS OF LQ 45 INDEX BANKING STOCK PRICE VOLATILITY

2020 ◽  
Vol 12 (2) ◽  
pp. 261-274
Author(s):  
Florentina Kurniasari ◽  
Juvy Reyes
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Price ◽  
Financial Institution ◽  
Linear Regression Analysis ◽  
Price Volatility ◽  
External Factors ◽  
Investment Fund ◽  
Analysis Model ◽  
Stock Price Volatility

As a developing country, Indonesia needs capital flow from investment to support country’s development growth. Capital market is one form of source investment fund. Of the several indexes listed in Indonesia Stock Exchange, the LQ 45 Index is one of the indexes of concern to investors, in which banking is one of financial institution to support country’s economic development. Investors is concerned about the stock price volatility which is influenced by internal and external factors. In this research there are three internal factors and two external factors as independent variable. This research measured the stock price volatility by analyzing the effect of some factors including dividend yield, return on asset, asset growth, interest rate, and exchange rate of banking industries which registered in LQ 45 Index for year 2012 –2019. The data will be analyzed using multiple linear regression analysis model. The research shows that interest rate had positive influence on stock price volatility. While return on asset and exchange rate have negative effect to stock price volatility.   Key Words: Stock Price Volatility, Dividend, ROA, Interest, Exchange Rate

scholarly journals PENGARUH VARIABEL MAKROEKONOMI TERHADAP STABILITAS SISTEM KEUANGAN DI INDONESIA (MELALUI PENDEKATAN MONETER)

2019 ◽  
Vol 1 (2) ◽  
pp. 473
Author(s):  
Rozi Syaputra ◽  
Melti Roza Adry
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Exchange Rates ◽  
Financial Stability ◽  
Stock Price ◽  
Linear Regression Analysis ◽  
Financial System ◽  
Least Square ◽  
System Stability ◽  
Positive Effect

This study aims to find out how the Influence of inflation on financial stability system in Indonesia. The data used are secondary data in the form of time series from 2005:M1 to 2017:M12, with documentation data collection techniques and library studies obtained from relevant institutions and agencies. The variables used are Inflation, BI Rate, BI-7 Day Repo Rate, Exchange Rate and Financial Stability System. The research methods used are: (1) Multiple Linear Regression Analysis and Ordinary Least Square, (2) Classical Assumption Test. The results of the study show that (1) Inflation does not have a significant and negative effect on financial system stability. This means that inflation has no effect on financial system stability. (2) Exchange rates have a significant effect on Financial System Stability. This means that Exchange Rates have positive effect of Financial System Stability in Indonesia, every Rupiah Exchange Rate against US $ is depreciated, it will increase Financial System Stability in Indonesia. So it can be said that Financial System Stability is influenced by the appreciation or depreciation of the Rupiah Exchange Rate against US $ in Indonesia.. (3) Economic Growth has a positive effect on Financial System Stability. This means that every Economic Growth increases, it will increase the financial system stability in Indonesia, (4) The Composite Stock Price Index has a positive effect on financial system stability. Si it can be said that financial system stability is influeced by the strengthening or weakening of the JCI in Indonesia.

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