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

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

Media Ekonomi ◽

10.25105/me.v25i2.5000 ◽

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

This research discusses the influence of macroeconomic variables on Property Stock Price Index (IHSProp) and Finance Stock Price Index (IHSKeu). 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). 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.

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MODELING THE INTERACTIONS OF STOCK PRICE AND EXCHANGE RATE IN MALAYSIA

The Singapore Economic Review ◽

10.1142/s0217590809003471 ◽

2009 ◽

Vol 54 (04) ◽

pp. 605-619 ◽

Cited By ~ 13

Author(s):

MOHD TAHIR ISMAIL ◽

ZAIDI BIN ISA

Keyword(s):

Exchange Rate ◽

Exchange Rates ◽

Stock Prices ◽

Stock Price ◽

Price Index ◽

Composite Index ◽

Regime Shifts ◽

Var Model ◽

Vector Autoregressive ◽

Stock Price Index

After the East Asian crisis in 1997, the issue of whether stock prices and exchange rates are related or not have received much attention. This is due to realization that during the crisis the countries affected saw turmoil in both their currencies and stock markets. This paper studies the non-linear interactions between stock price and exchange rate in Malaysia using a two regimes multivariate Markov switching vector autoregression (MS-VAR) model with regime shifts in both the mean and the variance. In the study, the Kuala Lumpur Composite Index (KLCI) and the exchange rates of Malaysia ringgit against four other countries namely the Singapore dollar, the Japanese yen, the British pound sterling and the Australian dollar between 1990 and 2005 are used. The empirical results show that all the series are not cointegrated but the MS-VAR model with two regimes manage to detect common regime shifts behavior in all the series. The estimated MS-VAR model reveals that as the stock price index falls the exchange rates depreciate and when the stock price index gains the exchange rates appreciate. In addition, the MS-VAR model fitted the data better than the linear vector autoregressive model (VAR).

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Analisis Indeks Harga Konsumen di Indonesia Melalui Pendekatan Kointegrasi

Jurnal REP (Riset Ekonomi Pembangunan) ◽

10.31002/rep.v4i2.1753 ◽

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%.

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The Effect of Macroeconomic Variables On the Saudi Stock Market

Archives of Business Research ◽

10.14738/abr.712.7508 ◽

2019 ◽

Vol 7 (12) ◽

pp. 126-152

Author(s):

Amani Mohammed Aldukhail

Keyword(s):

Stock Market ◽

Performance Indicators ◽

Stock Price ◽

Price Index ◽

Inflation Rate ◽

Market Value ◽

Short Term ◽

Macroeconomic Variables ◽

Time Deposits

This study aimed at exploring the effect of macroeconomic variables on the activity of the Saudi stock market for the period 1997-2017. Macroeconomic variables were: GDP, interest rate on time deposits, inflation rate. The variables of the Saudi stock market activity were: stock price index, market value of shares, value of traded shares. To achieve this objective, the researcher used the ARDL model for the self-regression of the lagged distributed time gaps. The most important results of the research are: The effect of macroeconomic variables on the performance indicators in the Saudi stock market is not important in the short term and is statistically significant in the long term according to the proposed models, so investors in this market can rely on macroeconomic variables in Predict the movement of the stock market and predict long-term profits and losses.

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Pengaruh Inflasi, BI-7 Day Reverse Repo Rate, Kurs, Jumlah Uang Beredar dan Indeks Harga Saham Gabungan terhadap Nilai Aktiva Bersih Reksa Dana Saham

Owner ◽

10.33395/owner.v5i2.457 ◽

2021 ◽

Vol 5 (2) ◽

pp. 358-367

Author(s):

Jhon Lismart Benget. P.

Keyword(s):

Exchange Rate ◽

Mutual Funds ◽

Money Supply ◽

Mutual Fund ◽

Stock Price ◽

Price Index ◽

Asset Value ◽

Net Asset Value ◽

Repo Rate ◽

Stock Price Index

The purpose of this study is to examine the effect of inflation, BI-7 day reverses repo rate, exchange rate, the money supply, and composite stock price index on the net asset value of stock mutual funds. The population of this study is the stock mutual fund which was listed on the financial services authority in 2017-2020. The results of this study indicate that simultaneously inflation, BI-7 day reverse repo rate, exchange rate, the money supply, and composite stock price index affect the net asset value of the stock mutual fund. Partially, this study show BI-7 day reverse repo rate has a positive and significant effect on the net asset value of a stock mutual fund. The exchange rate has a positive and significant effect on the net asset value of stock mutual funds. The composite stock price index has a positive and significant effect on the net asset value of stock mutual funds. The money supply has a negative and significant effect on the net asset value of a stock mutual fund while inflation has no significant effect on the net asset value of a stock mutual fund.

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

Science and Technology Development Journal ◽

10.32508/stdj.v16i3.1631 ◽

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.

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

Jurnal Muara Ilmu Ekonomi dan Bisnis ◽

10.24912/jmieb.v1i1.405 ◽

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.

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Pengaruh Inflasi, Suku Bunga Sbi Dan Jumlah Uang Beredar Terhadap Indeks Harga Saham Gabungan (IHSG) Dengan Model Arch-Garch

Jurnal Manajerial Dan Kewirausahaan ◽

10.24912/jmk.v3i3.13152 ◽

2021 ◽

Vol 3 (3) ◽

pp. 688

Author(s):

Ernest Theodore Febrianto Sitompul ◽

Ignatius Roni Setyawan

Keyword(s):

Interest Rates ◽

Money Supply ◽

Stock Price ◽

Price Index ◽

Hypothesis Test ◽

Composite Index ◽

Garch Model ◽

Coefficient Of Determination ◽

Analysis Method ◽

Stock Price Index

The purpose of this study was to determine the effect of inflation, interest rates certificates of Bank Indonesia and the money supply on the composite stock price index (CSPI) with the Arch-Garch model. The analytical method used in this study is multiple regression analysis method with the Arch-Garch model which was carried out with Eviews 9.0. One of the requirements for conducting multiple analysis tests is to test the classical assumptions. This is necessary so that the resulting regression equation is good. Then test the hypothesis, test the coefficient of determination and z test. The results of this study indicate that the Inflation variable has an effect on the Jakarta Composite Index (JCI) in the period January 2014 – December 2018. The interest rates certificates of Bank Indonesia an effect on the Jakarta Composite Index (JCI) in the period January 2014 – December 2018. The Money Supply has an effect. against the Composite Stock Price Index (JCI) in the period January 2014 – December 2018.Tujuan dari penelitian ini adalah untuk mengetahui pengaruh inflasi, suku bunga SBI dan jumlah uang beredar teradap indeks harga saham gabungan (IHSG) dengan model Arch-Garch. Metode analisis yang digunakan dalam penelitian ini adalah metode analisis regresi berganda dengan model Arch-Garch yang dilakukan dengan Eviews 9.0. Salah satu syarat untuk melakukan uji analisis berganda perlu dilakukan uji asumsi klasik. Hal ini diperlukan agar persamaan regresi yang dihasilkan baik. Kemudian dilakukan uji hipotesis, uji koefisien determinasi dan uji z. Hasil dari penelitian ini menunjukkan bahwa variable Inflasi berpengaruh terhadap Indeks Harga Saham Gabungan (IHSG) pada periode Januari 2014 – Desember 2018. Suku Bunga SBI memiliki pengaruh terhadap Indeks Harga Saham Gabungan (IHSG) pada periode Januari 2014 – Desember 2018. Jumlah Uang Beredar berpengaruh terhadap Indeks Harga Saham Gabungan (IHSG) pada periode Januari 2014 – Desember 2018.

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Pengaruh inflasi, nilai tukar rupiah per dollar Amerika, harga minyak mentah dunia dan indeks harga saham gabungan terhadap harga emas di Indonesia

e-Journal Perdagangan Industri dan Moneter ◽

10.22437/pim.v8i2.8269 ◽

2020 ◽

Vol 8 (2) ◽

pp. 55-64

Author(s):

Fadhel Kesarditama ◽

Haryadi Haryadi ◽

Yohanes Vyn Amzar

Keyword(s):

Exchange Rate ◽

Crude Oil ◽

Stock Price ◽

Price Index ◽

Oil Prices ◽

Gold Price ◽

Positive Trend ◽

Macroeconomic Variables ◽

Crude Oil Prices ◽

Stock Price Index

This study aims to analyze the trend of macroeconomic variables and gold prices in Indonesia and to determine the effect of macroeconomic variables on gold prices in Indonesia. This study uses a quantitative approach. The data used is secondary data from January 2014-December 2019. The analytical tools and techniques used are trend analysis with a linear trend approach and multiple linear regression models using the Ordinary Least Square method. The five research variables that were processed showed that there were differences in the direction of the data trend. Where the variables of Gold Price, Exchange Rate, and Composite Stock Price Index show a positive trend, while the variables of Inflation and World Crude Oil Prices show a negative trend. Furthermore, the variables of Exchange Rate, world Crude Oil Price, and Composite Stock Price Index show a positive and significant influence on the Gold Price in Indonesia. While the inflation variable shows a negative and significant effect on the Gold Price in Indonesia. Keywords: Inflation, foreign exchange,crude oil prices, idx composite and gold prices

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ANALISIS PENGARUH TINGKAT INFLASI, TINGKAT SUKU BUNGA, DAN NILAI TUKAR TERHADAP INDEKS HARGA SAHAM GABUNGAN (IHSG) DI BURSA EFEK INDONESIA (BEI) PERIODE 2013-2015

Jurnal Fokus Manajemen Bisnis ◽

10.12928/fokus.v6i2.1658 ◽

2020 ◽

Vol 6 (2) ◽

pp. 121

Author(s):

Daniar Primavistanti ◽

Aftoni Sutanto

Keyword(s):

Exchange Rate ◽

Interest Rate ◽

Exchange Rates ◽

Interest Rates ◽

Stock Price ◽

Price Index ◽

Stock Exchange ◽

Composite Index ◽

Inflation Rates ◽

Stock Price Index

This research aimed to analyze and test the effect of inflation rates, interest rate and exchange rate on the stok price index at the stock exchange in 2013–2015. Independent variable used are inflation, interest rates, and exchange rates. While the dependent variable is the stock price index. The object of this research is in the market listed on the stock price index. The inflation rates, interest rates, and the exchange rate that are taken from Indonesian Bank. The analytical method used is the classic assumption test and regression test. Based on the survey result revealed that in partial inflation and the exchange rate does not significantaly influence the Stock Exchange Composite Index. While the variable interest rate significantly influence the Stock Exchange Composite Index. The test results simultaneosly show variable inflation, interest rates and exchange rates have an influence on the Stock Exchange Composite Index. The coefficient of determination was 28,3%.

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