PENGARUH VOLATILITAS NILAI TUKAR, IDR-USD TERHADAP RETURN SAHAM DI BURSA EFEK INDONESIA: PENERAPAN MODEL GARCH

2019 ◽  
Vol 14 (2) ◽  
pp. 95
Author(s):  
Rahmadiva Dianitha Danial ◽  
Brady Rikumahu
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Granger Causality ◽  
Stock Price ◽  
Foreign Exchange Market ◽  
Stock Exchange ◽  
Composite Index ◽  
Granger Causality Test ◽  
Causality Test ◽  
Stock Market Returns

Penelitian ini bertujuan untuk menguji pengaruh  volatilitas return nilai Kurs IDR-USD terhadap volatilitas return pasar saham di Bursa Efek Indonesia. Dari pengambilan data sekunder dari 3 Januari 2012 hingga 29 September 2017 diperoleh data time series sebanyak 1404 hari. Data  dianalisis dengan model  GARCH dan Uji Granger Causality. Berdasarkan hasil permodelan GARCH(1,1), volatilitas kurs mempengaruhi volatilitas IHSG. Uji Granger Causality menunjukkan bahwa volatilitas kurs  dan IHSG memiliki hubungan yang kausal dua arah. Penelitian ini menunjukkan bahwa informasi kurs dapat memprediksikan kondisi harga indeks saham di pasar modal di periode hari berikutnya, begitupun sebaliknya. Prediksi tepat yang dilakukan oleh investor akan mengurangi risiko dan meningkatkan imbal hasil dalam berinvestasi jika pasar uang maupun pasar modal yang sedang bergejolak.  Kata Kunci: GARCH, Volatilitas, IHSG, Nilai Tukar ABSTRACT This study aims to examine the effect of the volatility of the return on the IDR-USD exchange rate toward  the volatility of stock market returns in the Indonesia Stock Exchange. From the data collection from 3 January 2012 until 29 September 2017 we obtained 1404 time series. Analyzing data, this study used  GARCH modeling and Granger Causality Test. The selected GARCH (1,1) modeling result shows that the volatility of exchange rate influences the volatility of Indonesian Composite Index.  Granger Causality test shows that the volatility of exchange rate and volatility of Indonesian Composite Index have two-way granger cause. This study indicates that exchange rate information can predict the condition of stock price index in capital market and movement of Indonesian Composite Index (ICI) can predict exchange rate movement in foreign exchange market. Appropriate predictions by investors will reduce the risk and increase the yield in investing if the money market and capital markets are fluctuating high. Keywords: GARCH, Volatility, ICI, Exchange Rate

scholarly journals Naira Exchange Rate Variation and Nigeria Economic Growth: A Time Series Study

2019 ◽  
Vol 5 (2) ◽  
pp. 21-31
Author(s):  
Rev Canon Charles Ugochukwu Okoro ◽  
Fortune Bella Charles
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Granger Causality ◽  
Granger Causality Test ◽  
French Franc ◽  
Rate Variation ◽  
Causality Test ◽  
Long Run ◽  
Japanese Yen ◽  
Domestic Products

This study examined the effect of exchange rate variation on Nigeria economy. The objective was to investigate how Naira exchange rate variations against key currencies affect the country’s real gross domestic product. Time series data was sourced from Central Bank of Nigeria statistical bulletin. Real gross domestic products were modeled as the function of United State commodity currency, British commodity currency, Japanese yen currency, Chinese yen currency and French franc currency. The ordinary least square method was used as data analysis techniques. The study used cointegration, unit root, and granger causality test and error correction estimate to study the dynamic effects of commodity currencies on financial market. The study found that naira exchange rate variation with the currencies can explain 65 percent variation on Nigerian real gross domestic products while the remaining 35 percent estimation can be traced to external variables not included in the model. The estimated f-test proved that the model is fit while the estimated DW statistics found the presence of positive serial autocorrelation among the variables. The estimated beta coefficient of the variables revealed that commodity currency of US; Japanese yen and Chinese yen have positive and significant effect on Nigeria real gross domestic products while British pound and French Franc have negative effect on Nigeria real gross domestic products.  From the co-integration test, we found at least two co-integrating equation from the trace test and maximum eigenvalue.  The granger causality test found unidirectional causality from real gross domestic products to Chinese yen and from French Franc to real gross domestic products. The study found that in the long run, Japanese and Chinese yen and French Franc have negative long run effect on Nigeria real gross domestic products; while United States dollar and British Pound Sterling have positive long run effect on Nigeria gross domestic products. The study recommended amongst others that Monetary and macroeconomic policies should be properly articulated with an impregnable feedback loop, implemented to the letter, and a quarterly examination of the impact on the Naira should be regularly engaged, evaluated, interpreted and ensure that the results and possible remedial action(s) get to the appropriate authority timeously so as to ensure well informed decision(s).

scholarly journals Nexus between Stock Market Returns and Economic Variables: Evidence

2017 ◽  
Vol 4 (01) ◽  
Author(s):  
Vanitha Chawla ◽  
Shweta .
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Granger Causality ◽  
Granger Causality Test ◽  
Market Returns ◽  
Causality Test ◽  
Stock Market Returns ◽  
Macroeconomic Variables ◽  
Indian Stock Market ◽  
The Impact

The paper examines the impact of selected macroeconomic variables on the Indian stock market. The macroeconomic variables used in the study are interest rate, exchange rate, index of industrial production (IIP) and gold price. BSE Sensex is used as proxy for Indian stock market. We have used the monthly data for all the variables from January 2001 to December 2016. Regression analysis and Granger Causality test is used to establish the relationship between the stock market and macroeconomic variables. The results show significant impact of only exchange rate on stock returns. All the other variables have shown insignificant impact on the stock market returns. The results of Granger causality test show unidirectional relationship between exchange rate and stock prices and bi-directional relation between IIP and SENSEX.

scholarly journals Existe Alguma Relação entre Retornos Contábeis e Retornos do Mercado de Ações no Brasil?

2007 ◽  
Vol 5 (2) ◽  
pp. 233
Author(s):  
Newton Carneiro Affonso da Costa Jr. ◽  
Roberto Meurer ◽  
César Medeiros Cupertino
Keyword(s):  
Stock Market ◽  
Granger Causality ◽  
Stock Exchange ◽  
Granger Causality Test ◽  
Market Returns ◽  
Causality Test ◽  
Stock Market Returns ◽  
Weak Evidence ◽  
Causality Tests ◽  
The Relationship

This paper examines the relationship between accounting and stock market returns of Brazilian companies on a quarterly basis. The sample consisted of 97 companies with stocks traded in the Sao Paulo Stock Exchange from January of 1995 to March of 2007. A Granger causality test was applied to the two return series for each of the sampled companies. The results of the causality tests suggested that there is weak evidence that accounting returns lead stock market returns rather than the reverse.

scholarly journals Sectoral Integration and Domestic Portfolio Diversification in the Karachi Stock Exchange

2017 ◽  
Vol 5 (2) ◽  
pp. 23-44
Author(s):  
Awais Awais Ahmed ◽  
Muhammad Nasir Malik ◽  
Obaid Anwar Awan ◽  
Asif Muzaffar
Keyword(s):  
Granger Causality ◽  
Institutional Investors ◽  
Stock Price ◽  
Oil And Gas ◽  
Stock Exchange ◽  
Market Value ◽  
Granger Causality Test ◽  
Portfolio Diversification ◽  
Causality Test ◽  
Weighted Index

This study analyzes sectoral integration among the top ten sectors listed on the Karachi Stock Exchange (KSE), using a market value-weighted index and daily stock price data for 2001–14. Since the literature shows that domestically diversified portfolios outperform globally diversified ones, the study’s results have implications for the construction of well-diversified domestic portfolios among individual and institutional investors. We find that, apart from automobiles and cement, all other sectors listed on the KSE provide good diversification opportunities. The Granger causality test shows that cement, chemicals and banking cause most other sectors uni-directionally, while oil and gas, biotechnology and pharmaceuticals, textiles, and electricity are caused by most other sectors. From a domestic investor’s perspective, the KSE provides reasonable diversification opportunities across different sectors.

scholarly journals Dynamic linkage between nifty-fifty and sectorial indices of national stock exchange

2020 ◽  
Vol 3 (2) ◽  
pp. 17-27
Author(s):  
Kamaljit Singh ◽  
Vinod Kumar
Keyword(s):  
Causal Relationship ◽  
Granger Causality ◽  
Unit Root ◽  
Service Sector ◽  
Banking Sector ◽  
Stock Exchange ◽  
Unit Root Test ◽  
Granger Causality Test ◽  
Financial Service ◽  
Causality Test

The main objective of this paper is to analyze the trend and pattern of the Nifty-Fifty and sectorial indices. An attempt has been also made to find out the causal relationship among the Nifty-Fifty and NSE sectorial Indices. The unit root test and Granger-causality test has been applied to check the causal relationship between Nifty-Fifty and sectorial indices. The finding of the study shows that the financial service sector had performed better and followed by the banking sector among all the indices while the Pharma sector and the Realty sector were Under-performed in comparison to other indices. The Nifty-Fifty has been found less volatile in comparison to other sectorial indices however Realty sector indices show the highest volatility during the study period.

The relationship between energy consumption and gross domestic product in Hong Kong (1992–2015): Evidence from sectoral analysis and implications on future energy policy

2019 ◽  
Vol 31 (2) ◽  
pp. 215-236
Author(s):  
Ruixiaoxiao Zhang ◽  
Geoffrey QP Shen ◽  
Meng Ni ◽  
Johnny Wong
Keyword(s):  
Time Series ◽  
Energy Consumption ◽  
Gross Domestic Product ◽  
Causal Relationship ◽  
Granger Causality ◽  
Value Added ◽  
Granger Causality Test ◽  
Domestic Product ◽  
Causality Test ◽  
Per Capita

The causal relationship between energy consumption and gross domestic product in Hong Kong from 1992 to 2015 is investigated in this study. Different from the previous studies focusing on the causal relationship between total energy consumption and total gross domestic product per capita, this study further investigates the causal relationship from sectoral perspective, including residential, commercial, industrial and transportation sectors. For each sector, the time series data of sectoral energy consumption and sectoral per capita value added are collected. To conduct the Granger causality test, the unit root test is first applied to analyse the stationarity of time series. The cointegration test is then employed to examine whether causal relationship exists in long-term. Finally, based on the aforementioned tests, both vector error correction model and vector autoregression model can be selected to determine the Granger causality between time series. It is interesting to find that the sectoral energy consumption and corresponding sectoral per capita value-added exhibit quite different causal relationships. For both residential sector and commercial sectors, a unidirectional causal relationship is found running from the sectoral per capita value added to sectoral energy consumption. Oppositely, for industrial sector and transportation sector, a unidirectional causal relationship is found running from sectoral energy consumption to sectoral per capita value added. Regarding the Granger causality test results, the indicative suggestions on energy conservation policies, energy efficiency policies and greenhouse gas emission reduction policies are discussed based on the background of Hong Kong’s economic structure and fuel types.

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 Agricultural Production and Agricultural Sector Output in Nigeria

2020 ◽  
pp. 1-9
Author(s):  
Ewubare Dennis Brown ◽  
◽  
Asimiea Iyabode ◽  
Keyword(s):  
Exchange Rate ◽  
Granger Causality ◽  
Rural Areas ◽  
Agricultural Production ◽  
Agricultural Sector ◽  
Granger Causality Test ◽  
Causality Test ◽  
Agricultural Credit ◽  
Production Output ◽  
The Impact

The study examined the determinant of agricultural production and agricultural sector output in Nigeria. The objective of the study is to determine the impact of agricultural production determinants on agricultural output. The study was carried out based on secondary data collected through the CBN statistical bulletin unit root test was conducted test and granger causality test were used as the main statistical tests. The findings from the study based on the OLS results shows that agricultural funding, agricultural credit/loan as well as exchange rate have positive relationship with agricultural production output. Also, the granger causality test shows that agricultural funding, agricultural credit loan as well as exchange rate impact on agricultural production output. In view of the findings, it is recommended for adequate budgetary provisions for the agricultural sector in order to provide infrastructural facilities to the rural areas where farm produce are concentrated in order to boost production. Also, provision of credit facilities to the agricultural sector through the farmers in rural areas should be encouraged

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