scholarly journals MODEL DINAMIS AUTOREGRESSIVE DISTRIBUTED LAG (STUDI KASUS: PENGARUH KURS DOLAR AMERIKA DAN INFLASI TERHADAP HARGA SAHAM TAHUN 2014-2018)

2020 ◽  
Vol 9 (4) ◽  
pp. 240
Author(s):  
MAHMUDATUL AQIBAH ◽  
NI LUH PUTU SUCIPTAWATI ◽  
I WAYAN SUMARJAYA
Keyword(s):  
Exchange Rate ◽  
Dynamic Model ◽  
Stock Price ◽  
Distribution Model ◽  
Dollar Exchange Rate ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Negative Effect ◽  
Time Series Plot ◽  
Us Dollar

The aim of this research is to determine the dynamic model equation of autoregressive distributed lag by using koyck method, to find out the effect of log US dollar exchange rate and log inflation on log stock price in 20142018, and to forecast value of log stock price on January 2019August 2019. The data used in 20142018. The data was transformed into logarithm format. Time series plot of log US dollar exchange rate, log inflation, and log stock price suggest that the fluctuation in the data, for instance, both upward and downward trends, during the period. We obtained that the Koyck transformation could changed the lag distribution model into autoregressive distributed lag (ARDL) dynamic model. Furthermore, the log of US dollar exchange rate and log inflation have negative effect on log stock price in particular period. We measured forecasting accuracy using mean absolute prediction error (MAPE) and concluded that ARDL forecasting using Koyck model shows a significant increase in stock price.

scholarly journals The Influence of The Inflation Rate and The Interest Rate of Bank Indonesia Certificates on The Composite Stock Price Index With The Us Dollar Exchange Rate As A Moderating Variable on The Indonesia Stock Exchange

2020 ◽  
Vol 3 (3) ◽  
pp. 212
Author(s):  
Dwi Septiani
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Price ◽  
Price Index ◽  
Inflation Rate ◽  
Dollar Exchange Rate ◽  
The Us ◽  
Us Dollar ◽  
Stock Price Index ◽  
The Interest Rate

This study aims to determine how the influence of the inflation rate and the interest rate of Bank Indonesia Certificates (SBI) on the Composite Stock Price Index (IHSG) with the US dollar exchange rate as a moderating variable on the Indonesia Stock Exchange 2007-2016. The data of this research consists of inflation rate reports, Bank Indonesia Certificate interest rate reports, US dollar exchange rate reports and reports on the Composite Stock Price Index for 120 (one hundred and twenty) months, starting from 2007 to 2016. Methods The research used in this research is associative research with quantitative data analysis. Data calculation was performed by using multiple regression analysis of the relationship, t test, F test and the coefficient of determination R2. Meanwhile, to test the moderating variable using the interaction test. The inflation rate variable (X1) and the interest rate for Bank Indonesia Certificates (SBI) (X2) with the US dollar exchange rate (X3) as the moderating variable simultaneously have a positive and insignificant effect on the Composite Stock Price Index (IHSG) (Y) on the Stock Exchange. Indonesia 2007-2016. The coefficient of determination of 0.596065 means it is known that the influence of the inflation rate variable (X1) and the interest rate for Bank Indonesia Certificate (SBI) (X2) with the US dollar exchange rate (Z) as the moderating variable is 59.61% while the rest 40.39% is explained by other variables that are not explained and examined in this study. Keywords: Inflation Rate, Bank Indonesia Certificate Interest Rate, US Dollar Exchange Rate and Composite Stock Price Index

scholarly journals Short Term Portfolio Investment and BI Rate: Do They Determine the Stabilization of Rupiah Exchange Rate in Indonesia?

2019 ◽  
Vol 8 (1) ◽  
pp. 18
Author(s):  
Chenny Seftarita ◽  
Fitriyani Fitriyani ◽  
Cut Zakia Rizki ◽  
Diana Sapha ◽  
Abd. Jamal
Keyword(s):  
Exchange Rate ◽  
Stock Price ◽  
Short Term ◽  
Private Debt ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Short Run ◽  
The Stability ◽  
Portfolio Investments

This study aims to investigate the influence of short-term portfolio investments and BI interest rate on fluctuation of rupiah exchange rate in Indonesia. The data used is quarterly data from 2010 to 2016 collected from Indonesia Central Bank. Using the Autoregressive Distributed Lag (ARDL) method, the result showed that rupiah exchange rate was strongly influenced by shocks in the private debt securities, joint stock price index, and BI Rate, both in the long run and short run. Moreover, it is found that there was a short-run and long-run balance relationship between Short Term Portfolio Investments and BI rate against the rupiah exchange rate. Thus, it is recommended that in order to stabilize the exchange rate, it is necessary to maintain the stability of short-term portfolio investments.  

scholarly journals Exploring Relationship Between the Stock Price of Taiwan and the Exchange Rate: An Autoregressive Distributed Lag Model with a Quantile Regression

2015 ◽  
Vol 8 (1) ◽  
pp. 72 ◽  
Author(s):  
Tzu-Kuang Hsu
Keyword(s):  
Exchange Rate ◽  
Quantile Regression ◽  
Exchange Rates ◽  
Stock Prices ◽  
Stock Price ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Lag Model

<p>This paper adopts an innovative method through combining an autoregressive distributed lag model and a quantile regression to examine the long-run equilibrium and short-run causal relationship between the stock price of Taiwan and the NTD/USD exchange rate from January 1980 to December 2014. The results indicate that there is long-run level equilibrium relationship between the stock price of Taiwan and the NTD/USD exchange rates at lower distribution of stock prices, and at higher and lower distribution of exchange rates. The causality results show that there is unidirectional causality running from Taiwan stock price to the NTD/USD exchange rate at higher distribution of exchange rates. The result shows that there is evidence in favor of the portfolio hypothesis.</p>

ANALISIS HARGA EMAS DI INDONESIA (Studi Empiris Tahun 1996-2020)

2021 ◽  
pp. 128-136
Author(s):  
Lastri Lastri
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Gdp Per Capita ◽  
Significant Positive Effect ◽  
Gold Production ◽  
Dollar Exchange Rate ◽  
Negative Effect ◽  
Us Dollar ◽  
Per Capita ◽  
Positive Effect

Gold is a profitable investment from other types of investment. The price of gold in Indonesia increases every year. This is caused by several factors, namely US Dollar exchange rate, deposit interest rate, inflation, GDP per capita, and gold production. The Data used is time series data from 1990 – 2020 which are from Bank Indonesia, Kementerian Perdagangan, BPS Indonesia dan Gold Price. The research method is multiple linear regression. The result showed by partial test (t-test) that US Dollar exchange rate has a negative effect not significant on the price of gold, deposit interest rate has a significant negative effect on the price of gold, inflation has a positive effect not significant on the price of gold, GDP per capita has a significant positive effect on the price of gold, and the production of gold has a significant positive effect on the price of gold. For F-test US Dollar exchange rate, deposit interest rate, inflation, GDP per capita, and gold production has a significant effect on the price of gold. The Coefficient of Determination (R2) can be said that variance price of gold is 97,4% explained by US Dollar exchange rate, deposit interest rate, inflation, GDP per capita, gold production and the remaining is 2,6% explained by the other variables outside the research model such as Indonesia Composite Index (ICI), World Crude Oil Prices and the others.

scholarly journals Recent Comovements of the Yen-US Dollar Exchange Rate and Stock Prices in Japan

2015 ◽  
Vol 1 (2) ◽  
pp. 19
Author(s):  
Chikashi Tsuji
Keyword(s):  
Exchange Rate ◽  
Stock Returns ◽  
Stock Prices ◽  
Stock Price ◽  
Var Models ◽  
Dollar Exchange Rate ◽  
The Past ◽  
Us Dollar ◽  
The Exchange Rate ◽  
Exchange Rate Changes

<p>This paper examines the recent relations of the yen/US dollar exchange rate and stock prices in Japan. Using bivariate Bayesian Vector Autoregressive (VAR) models, we derive several interesting findings as follows. First, 1) our analyses by Bayesian VAR models clarify that recently, the daily lags of the yen/dollar exchange rate series statistically significantly explain the evolution of the Nikkei 225, Nikkei 500, Japan Securities Dealers Association Quotation (JASDAQ), and Tokyo Stock Price Index (TOPIX) Core 30 stock index prices in Japan. Second, 2) our impulse response analyses reveal that Japanese stock prices clearly respond to the yen/dollar exchange rate changes in the recent years whilst the exchange rate changes little respond to the stock prices in Japan. As above our results demonstrate, recently, the past yen/dollar exchange rate time-series much more affect the evolution of the Japanese stock prices whilst the past Japanese stock price series little affect the yen/dollar exchange rate changes. Moreover, 3) analyzing the time-varying correlation coefficients between the yen/dollar exchange rate changes and Japanese stock returns, we also find the large increases in the contemporaneous correlations between the exchange rate and stock returns in the recent years in Japan.</p>

scholarly journals Macroeconomic effect on stock price: Evidence from Indonesia

Accounting ◽  
2021 ◽  
pp. 1189-1202 ◽  
Author(s):  
Andung Luwihono ◽  
Benny Suherman ◽  
Darmawanta Sembiring ◽  
Syahrir Rasyid ◽  
Nawang Kalbuana ◽  
...  
Keyword(s):  
Exchange Rate ◽  
Stock Prices ◽  
Stock Price ◽  
Economic Effects ◽  
Macroeconomic Factors ◽  
Dollar Exchange Rate ◽  
Engineering Managers ◽  
The Us ◽  
Macroeconomic Effect ◽  
Us Dollar

Investment decision making by Engineering Managers needs to take into account microeconomic and macroeconomic factors in a country. The role of Engineering Managers in making decisions is crucial and very important. Technical Managers need to consider macro-economic effects such as the US dollar exchange rate against the rupiah, the interest rate set by Bank Indonesia, inflation, especially during the preparation of the Budget Plan (RAB). This research is to analyze the macroeconomic effect on stock prices, to prove the hypothesis, a quantitative approach is used. Macroeconomics are assessed through the US dollar exchange rate, and financial statements data of banking companies.

scholarly journals Pengaruh Sertifikat Bank Indonesia Syariah (SBIS), Jakarta Islamic Index (JII), Tingkat Inflasi, dan Index Harga Saham Gabungan (IHSG) Terhadap Nilai Tukar: Pendekatan Autoregressive Distributed LAG (ARDL)

2017 ◽  
Vol 4 (10) ◽  
pp. 833
Author(s):  
Nur Fadhilah ◽  
Raditya Sukmana
Keyword(s):  
Quantitative Research ◽  
Secondary Data ◽  
Short Term ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
The Us ◽  
Negative Effect ◽  
Us Dollar

This study aims to review the effect of macro economic factors such as BankIndonesia Sharia Certificates (BISC), Jakarta Islamic Index (JII), Inflation, and Indonesia Composit Index (ICI) Against Exchange Rate of Rupiah Period 2013-2016 both long term and short term. This quantitative research used Autoregressive Distributed (ARDL) method. The data used is secondary data by collecting data from official website of Bank Indonesia, Yahoo Finance and PT. IDX) period 2013 to 2016. ARDL results show that In the short term variable JII, ICI, and BISC have a significant negative effect which means increaseing the variable will cause the Rupiah appreciate against the US Dollar. While variable Inflation has a positive value which means rising inflation will lead the Rupiah depreciate. In the Long run BISC and JII variable is negative and significant, while ICI is positive and inflation is negative not-significant.

Bitcoin Sentiment Index, Performance and US Dollar Exchange Rate

2020 ◽  
Author(s):  
Ishfaque Ahmed Soomro ◽  
Suresh Kumar Oad Rajput ◽  
Najma Ali
Keyword(s):  
Exchange Rate ◽  
Dollar Exchange Rate ◽  
Us Dollar
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