scholarly journals Micro and Macroeconomic Determinants of Indonesian Government’s Bonds Liquidities in the Secondary Market (2012-2016)

2019 ◽  
Vol 8 (2) ◽  
pp. 113
Author(s):  
Yogie Kristianto Soebagio ◽  
Akhmad Solikin
Keyword(s):  
Exchange Rate ◽  
Stock Price ◽  
Trading Volume ◽  
Price Index ◽  
The Philippines ◽  
Bond Market ◽  
Secondary Market ◽  
Government Bonds ◽  
Lending Rate ◽  
Stock Price Index

Despite having registered the trade volume since 2005, Indonesia's bond market trading and liquidity level in the secondary market are still the lowest in Asia. Neighboring countries like the Philippines and Singapore started registering trading volume records in the same year as Indonesia has exceeded the liquidity level of the Indonesian market. This raises the question of what makes the rate of development in Indonesia's bond market not as fast as other countries in Asia. Therefore, this article aims to analyze the determinants of liquidity in the secondary market of Indonesian bonds, especially government bonds. In the case of Indonesia, research on government liquidity is still limited. Various studies have been conducted to determine the factors affecting liquidity and also the method to calculate them but mostly focus on private bonds. This research uses the level of liquidity of bonds based on turnover ratio as a dependent variable and variable of maturity rate, coupon rate, exchange rate, stock price index, and lending rate as independent variables. The method used is multiple linear regression. The results show that the liquidity of 10-years benchmark government bonds in Indonesia is significantly influenced by the coupon rate and lending rate positively but influenced by the exchange rate and stock price index negatively. These results indicate that liquidity is influenced by macroeconomic variables. Thus, the Indonesian government should monitor macroeconomic indicators closely and change policy related to its bonds accordingly.

ANALISIS PENGARUH INFLASI, KURS DAN IHSG TERHADAP RETURN REKSA DANA SAHAM PT NIKKO SECURITIES INDONESIA PERIODE 2014-2017

2019 ◽  
Vol 2 (2) ◽  
pp. 103
Author(s):  
Muhammad Rois Rois ◽  
Manarotul Fatati Fatati ◽  
Winda Ihda Magfiroh
Keyword(s):  
Regression Analysis ◽  
Exchange Rate ◽  
Linear Regression ◽  
Multiple Linear Regression ◽  
Stock Price ◽  
Price Index ◽  
Linear Regression Analysis ◽  
Multiple Linear Regression Analysis ◽  
Equity Fund ◽  
Stock Price Index

This study aims to determine the effect of Inflation, Exchange Rate and Composite Stock Price Index (IHSG) to Return of PT Nikko Securities Indonesia Stock Fund period 2014-2017. The study used secondary data obtained through documentation in the form of PT Nikko Securities Indonesia Monthly Net Asset (NAB) report. Data analysis is used with quantitative analysis, multiple linear regression analysis using eviews 9. Population and sample in this research are PT Nikko Securities Indonesia. The result of multiple linear regression analysis was the coefficient of determination (R2) showed the result of 0.123819 or 12%. This means that the Inflation, Exchange Rate and Composite Stock Price Index (IHSG) variables can influence the return of PT Nikko Securities Indonesia's equity fund of 12% and 88% is influenced by other variables. Based on the result of the research, the variables of inflation and exchange rate have a negative and significant effect toward the return of PT Nikko Securities Indonesia's equity fund. While the variable of Composite Stock Price Index (IHSG) has a negative but not significant effect toward Return of Equity Fund of PT Nikko Securities Indonesia

MODELING THE INTERACTIONS OF STOCK PRICE AND EXCHANGE RATE IN MALAYSIA

2009 ◽  
Vol 54 (04) ◽  
pp. 605-619 ◽  
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).

scholarly journals Analisis Pengaruh Nilai Tukar Rupiah, Inflasi Dan Indeks Dow Jones Terhadap Indeks Harga Saham Gabungan (IHSG) Di Bursa Efek Indonesia (BEI)

KINDAI ◽  
2021 ◽  
Vol 16 (3) ◽  
pp. 542-562
Author(s):  
Delila Putri Syarina
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Stock Price ◽  
Quantitative Method ◽  
Price Index ◽  
Stock Exchange ◽  
Sampling Techniques ◽  
Jones Index ◽  
Stock Price Index

Abstract: This study aims to study both partially and simultaneously, large, Analysis, Analysis, Value, Exchange, Inflation, and the Dow Jones Index Against the Composite Stock Price Index (CSPI) on the Indonesia Stock Exchange (BEI) and the dominant dominant variable on the Price Index Joint Stock (CSPI)).The method used in this study is a quantitative method and with a population of 10 (ten) years, samples were taken with census sampling techniques of 10 (ten) years per year-end period, research instruments using classical data assumptions - data used using regression linear multiple.The results of this study indicate that (1) Rupiah Exchange Rates, Inflation and the Dow Jones Index influence simultaneously on the Composite Stock Price Index (CSPI) on the Indonesia Stock Exchange (2) the Dow Jones Index is partially related to the Composite Stock Price Index (CSPI) in The Indonesian Stock Exchange, while the Rupiah Exchange Rate and Inflation are not partially on the Composite Stock Price Index (CSPI) on the Indonesia Stock Exchange (3) The dominant dominant variable on the Composite Stock Price Index (CSPI) on the Indonesia Stock Exchange is the Dow Jones Index..Keywords  : Rupiah Exchange Rate, Inflation, Dow Jones Index and Composite Stock Price Index (CSPI)   Abstrak: Penelitian ini bertujuan untuk mengetahui baik secara parsial dan simultan seberapa besar Analisis Pengaruh Nilai Tukar Rupiah, Inflasi Dan Indeks Dow Jones Terhadap Indeks Harga Saham Gabungan (IHSG) Di Bursa Efek Indonesia (BEI) serta variabel yang berpengaruh dominan terhadap Indeks Harga Saham Gabungan (IHSG). Metode yang digunakan dalam penelitian ini adalah metode kuantitatif dan dengan populasi sebanyak 10 (sepuluh) tahun, diambil sampel dengan teknik sampling sensus sebanyak 10 (sepuluh) tahun per periode akhir tahun, instrument penelitian uji asumsi klasik data – data diuji dengan menggunakan regresi linear berganda. Hasil penelitian ini menunjukkan bahwa (1) Nilai Tukar Rupiah, Inflasi dan Indeks Dow Jones berpengaruh secara simultan terhadap Indeks Harga Saham Gabungan (IHSG) di Bursa Efek Indonesia (2) Indeks Dow Jones berpengaruh secara parsial terhadap Indeks Harga Saham Gabungan (IHSG) di Bursa Efek Indonesia, sedangkan Nilai Tukar Rupiah dan Inflasi tidak berpengaruh secara parsial terhadap Indeks Harga Saham Gabungan (IHSG) di Bursa Efek Indonesia (3) Variabel yang berpengaruh dominan terhadap Indeks Harga Saham Gabungan (IHSG) di Bursa Efek Indonesia adalah Indeks Dow Jones. . Kata kunci :     Nilai Tukar Rupiah, Inflasi, Indeks Dow Jones dan Indeks Harga Saham Gabungan (IHSG).

scholarly journals Analisis Pengaruh Variabel Makro Ekonomi terhadap Nilai Aktiva Bersih Reksadana Saham Syariah Periode 2015-2019

2021 ◽  
Vol 1 (2) ◽  
pp. 332-348
Author(s):  
Hani Nurrahmawati ◽  
Hasbi Assidiki Mauluddi ◽  
Endang Hatma Juniwati
Keyword(s):  
Exchange Rate ◽  
Mutual Funds ◽  
Stock Price ◽  
Price Index ◽  
Coefficient Of Determination ◽  
Series Data ◽  
Asset Value ◽  
Net Asset Value ◽  
Net Assets ◽  
Stock Price Index

The title of this research is Analysis Influence of Macroeconomic to Net Asset Value of Islamic Mutual Fund Equity period 2015-2019. The purpose of this study is to determine the effect of partially and simultaneously variables of BI Rate, Inflation, Composite Stock Price Index and Exchange Rate on Net Asset Value of Sharia Mutual Funds in Indonesia in the period January 2015 - December 2019. The dependent variable is Net Asset Value of Sharia Mutual Funds, while the independent variables are BI Rate, Inflation, Composite Stock Price Index and Exchange Rate.Types of data used in this study are secondary data sourced from OJK, IHSG-IDX and BI published between 2015-2019. All of the data will be processed panel data which is a combination of time series data and cross section data. The results of this research showed that in the partial just variables of the BI Rate, Inflation, Composite Stock Price Index and Exchange Rate influenced to Net Assets Value of Islamic Mutual Funds in Indonesia, and simultaneous from variables of the BI Rate, Inflation, Composite Stock Price Index and Exchange Rate influenced to Net Assets Value of Islamic Mutual Funds in Indonesia and the value of Adjusted R-square coefficient of determination is 0.311175 means in togetherness variables of the BI Rate, Inflation, Composite Stock Price Index and Exchange Rate have a contribution influenced NAV of Islamic Mutual Funds in the amount of 31%, while the rest is 69% influenced by other variables that are not included into this research.

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 ◽  
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.

scholarly journals The Impact of International Sanctions on Russian Financial Markets

Economies ◽  
2020 ◽  
Vol 8 (4) ◽  
pp. 107
Author(s):  
Mirzosaid Sultonov
Keyword(s):  
Exchange Rate ◽  
Stock Price ◽  
Price Index ◽  
The United States ◽  
The European Union ◽  
Stock Price Index ◽  
The Exchange Rate ◽  
Long Term Impact ◽  
The Impact

Russia’s international comportment and geostrategic moves, particularly the invasion of Ukraine and the annexation of Crimea in 2014, caused a substantial change in its international economic and political relations. In response to Russia’s invasion, the United States of America, the European Union, and their allies imposed a series of sanctions. In this study, by applying an exponential generalized autoregressive conditional heteroscedasticity model to daily logarithmic returns of the ruble exchange rate and the closing price index of the Russian Trading System, we analyze how the returns and volatility of the exchange rate and the stock price index responded to the sanctions and oil price changes. The estimation results show that the sanctions have a significant positive short-term impact on exchange rate returns. Economic sanctions have a significant negative long-term impact on the returns and variance of the exchange rate and a significant positive long-term impact on the returns of the stock price index. Financial sanctions have a positive/negative long-term impact on the returns of the exchange rate/stock price index and a positive long-term impact on the variance of the exchange rate and the stock price index. Corporate sanctions have a positive long-term impact on exchange rate returns.

scholarly journals ANALISIS PENGARUH KURS, BI RATE DAN INFLASI TERHADAP IHSG DI BEI PERIODE 2014-2017

KEUNIS ◽  
2019 ◽  
Vol 7 (1) ◽  
pp. 64
Author(s):  
Esty Nidianti ◽  
Edi Wijayanto
Keyword(s):  
Exchange Rate ◽  
Stock Price ◽  
Price Index ◽  
Time Series Data ◽  
Series Data ◽  
Simultaneous Test ◽  
Stock Price Index ◽  
The Exchange Rate ◽  
Analyze Data

<p><em>The aim of this study was to determine the effect of macro economic conditions which including the exchange rate, BI rate and inflation of the composite stock price index. The study had used quantitative approach. Determination of the sample was based on time series data periode January 2014 – December 2017 by using saturation sampling method, which resulted 48 as number of samples. This study also had chosen multiple linier regression as attempts to analyze data. The simultaneous test (F test) resulted that the exchange rate, BI rate, and inflation had given significant effect on the stock price index. Meanwhile, the partial test (t test) had indicated that the exchange rate variable and BI rate significantly influenced the stock price index. In contrast, rate of inflation had not showed significant effect on the stock price index. </em><strong><em></em></strong></p>

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.

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