scholarly journals Time-Varying Effect of Gold and Crude Oil prices to Stock Price Index

2017 ◽  
Author(s):  
Sukrit Thongkairat ◽  
Roengchai Tansuchat
Keyword(s):  
Crude Oil ◽  
Stock Price ◽  
Price Index ◽  
Oil Prices ◽  
Time Varying ◽  
Crude Oil Prices ◽  
Stock Price Index

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

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

scholarly journals Application of ARIMA-GARCH Model for Prediction of Indonesian Crude Oil Prices

2020 ◽  
Vol 1 (1) ◽  
pp. 25-33
Author(s):  
Sukono Sukono ◽  
Emah Suryamah ◽  
Fujika Novinta S
Keyword(s):  
Crude Oil ◽  
Stock Price ◽  
Price Index ◽  
Moving Average ◽  
Oil Prices ◽  
Garch Models ◽  
Crude Oil Price ◽  
Price Forecast ◽  
Crude Oil Prices ◽  
Auto Regressive

Crude oil is one of the most important energy commodities for various sectors. Changes in crude oil prices will have an impact on oil-related sectors, and even on the stock price index. Therefore, the prediction of crude oil prices needs to be done to avoid the future prices of these non-renewable natural resources to increase dramatically. In this paper, the prediction of crude oil prices is carried out using the Auto-Regressive Integrated Moving Average (ARIMA) and Generalized Auto-Regressive Conditional Heteroscedasticity (GARCH) models. The data used for forecasting are Indonesian Crude Price (ICP) crude oil data for the period January 2005 to November 2012. The results show that the data analyzed follows the ARIMA(1,2,1)-GARCH(0,3) model, and the crude oil price forecast for December 2012 is 105.5528 USD per barrel. The prediction results of crude oil prices are expected to be important information for all sectors related to crude oil.

scholarly journals Multivariate Garch Analysis of Selected Nigerian Economic Data

2021 ◽  
pp. 23-40
Author(s):  
Shakarho Udi Pepple ◽  
Etuk Ette Harrison ◽  
Isaac D. Essi
Keyword(s):  
Crude Oil ◽  
Price Index ◽  
Consumer Price Index ◽  
Oil Prices ◽  
Multivariate Garch ◽  
Series Data ◽  
Time Varying ◽  
Economic Data ◽  
Crude Oil Prices ◽  
Lending Rate

Aims: The aim of this   study is to examine   multivariate GARCH modeling of selected Nigerian economic data. Study Design: The study used monthly data of Nigerian crude oil prices (dollar Per Barrel), consumer price Index rural, maximum lending rate and prime lending rate. Methodology: This work covers time series data on crude oil prices, consumer price Index rural, maximum lending rate and prime lending rate extracted from   Central Bank of Nigeria (CBN) from 2000 to 2019. In attempt to achieve the aim of the study, quadrivariate VECH and DCC model were applied.  Results: The results confirmed that returns on economic data were correlated. Also, diagonal multivariate VECH model confirmed one of the properties that it must be ‘positive semi-definite’, And the DCC confirmed also the positive-definite conditional-variance. Conclusion: From the results obtained, it was confirmed that there exists a strong confirmation of a time-varying conditional covariance and interdependence among Nigeria economic data. As for cross-volatility effects, past innovations in crude oil price have utmost control on future volatility of returns on economic data. It was also confirmed that time varying covariance displays among these economic data and lower degree of persistence and based on Model selection criteria using the Akaike information criteria (AIC) has 17.485 for diagonal VECH  while for DCC has 17.509 AIC  which makes  VECH model  better fitted.

scholarly journals STOCK PRICE INDEX (CSPI)IN INDONESIA STOCK EXCHANGE (IDX) PERIOD 2014-2018

2020 ◽  
Vol 1 (1) ◽  
pp. 40-53
Author(s):  
Said Djamaluddin ◽  
Riki Ardoni ◽  
Aty Herawati
Keyword(s):  
Exchange Rate ◽  
Crude Oil ◽  
Interest Rates ◽  
Stock Price ◽  
Price Index ◽  
Composite Index ◽  
Oil Prices ◽  
Dollar Exchange Rate ◽  
Jones Index ◽  
Stock Price Index

This study aims to determine the effect of the BI rate, the dollar exchange rate, the yuan exchange rate, the Dow Jones index, the Shanghai index and world oil prices on the composite stock price index (CSPI). The data used is the period from January 2014 to December 2018 with the multiple regression analysis method. The results showed that the BI rate, Dollar Exchange, Yuan Exchange, Dow Jones, SSE Composite Index and WTI were able to explain the 91.8% effect on CSPI and the remaining 8.2% explained by other variables not examined. T test results show that partially BI interest rates, the yuan and Shanghai exchange rates do not have a significant effect on CSPI. While the dollar exchange rate, Dow Jones Index and world crude oil prices have a significant influence on the composite stock price index (CSPI) with coefficients respectively - 0.41705, +0.21245 and -7.86373. The independent variable that has the most dominant influence on CSPI is Crude Oil (WTI).

scholarly journals ANALISIS DAMPAK HARGA MINYAK MENTAH DUNIA, TINGKAT SUKU BUNGA DAN KURS VALUTA ASING TERHADAP INDEKS HARGA SAHAM PERTAMBANGAN PERIODE 2014 – 2016

2020 ◽  
Vol 8 (2) ◽  
pp. 1-17
Author(s):  
Jessica Prania Suradi ◽  
Selly Eriska Marisa
Keyword(s):  
Exchange Rates ◽  
Interest Rates ◽  
Foreign Exchange ◽  
Stock Price ◽  
Price Index ◽  
Oil Prices ◽  
Foreign Exchange Rates ◽  
Mining Sector ◽  
Crude Oil Prices ◽  
Stock Price Index

This study aims to look at the effect of world crude oil prices, interest rates, and foreign exchange rates on the mining sector stock price index for the 2014-2016 period. The research method used is descriptive statistical methods with quantitative research types. This study also uses analytical methods such as multiple regression analysis through t test and F test. Based on the F test (simultaneous) shows that world oil prices, interest rates, and foreign exchange rates affect simultaneously on the mining sector stock price index for the period 2014-2016 , while the t test (partial) shows that world crude oil prices a positive but not significant effect on the mining stock price index for the period 2014-2016, the interest rate has a negative effect and significant to the mining sector stock price index for the period 2014-2016, and the foreign exchange rate has a negative and significant effect on the price index mining sector shares in the 2014-2016 period.

scholarly journals ESTIMATION OF LONG-RUN RELATIONSHIP OF INFLATION (CPI & WPI), AND OIL PRICES WITH KSE-100 INDEX: EVIDENCE FROM JOHANSEN MULTIVARIATE COINTEGRATION APPROACH

2017 ◽  
Vol 23 (4) ◽  
pp. 567-588 ◽  
Author(s):  
Rizwan RAHEEM AHMED ◽  
Jolita VVEINHARDT ◽  
Dalia ŠTREIMIKIENĖ ◽  
Saghir Pervaiz GHAURI ◽  
Nawaz AHMAD
Keyword(s):  
Crude Oil ◽  
Price Index ◽  
Consumer Price Index ◽  
Wholesale Price ◽  
Impulse Response Function ◽  
Oil Prices ◽  
Crude Oil Prices ◽  
Long Run ◽  
Wholesale Price Index ◽  
Relationship Of

This research is an attempt to framework the applied strides to evaluate the long run relationship among commonly used inflation proxies induces such as, wholesale price index (WPI) and consumer price index (CPI), and crude oil price (COP) with KSE100 index returns. In this research we used monthly data for the time period from July 1995 to June 2016, and thus, in this way total 252 observations have been considered. Time series have been made stationary by applying ADF and PP tests at first difference. Johansen multivariate conintegration approach was used to test the long-term association amongst the considered macroeconomic variables. The results indicated that CPI and COP significantly affect KSE100 index returns that indicated CPI along with COP have foreseen power to impact KSE100 index. In contrary, the results of WPI and COP do not have long run relationship with KSE100 index in case of Pakistani economy. Results of variance decomposition exhibited that the index of LKSE100 was realistically rarer exogenous in connection to distinctive factors, as around 92.31% of its variation was explained due to its own specific shocks. It is concluded that CPI and COP can impact the KSE100 index returns. It is confirmed by the results of impulse response function that there is a positive and long run relationship between KSE100 returns and consumer price index (proxy of inflation) and international crude oil prices.

scholarly journals KORELASI DINAMIS ANTARA PERGERAKAN HARGA MINYAK DUNIA DAN INDEKS HARGA SAHAM SEKTORAL DI BURSA EFEK INDONESIA

2020 ◽  
Vol 9 (3) ◽  
pp. 188
Author(s):  
Yunita Dewi Safitri ◽  
Robiyanto Robiyanto
Keyword(s):  
Stock Price ◽  
Price Index ◽  
Stock Exchange ◽  
Secondary Data ◽  
Oil Prices ◽  
Dynamic Correlation ◽  
Analysis Technique ◽  
Static Approach ◽  
Stock Price Index ◽  
Autoregressive Conditional Heteroscedasticity

Changes in the situation that move very quickly on the commodity market have an impact on financial markets, one of which is the stock market in Indonesia. Therefore this study aims to examine the dynamic correlation between the movement of world oil prices and the Sectoral Stock Price Index listed on the Indonesia Stock Exchange (IDX). The data used is obtained from secondary data in the form of daily closing price data for world oil prices and Sectoral Stock Price Index from January 2017 to June 2020. The analysis technique used is Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroscedasticity (DCC-GARCH), due to previous studies mostly using a static approach. The results of this study show that the DCC-GARCH value between world oil prices (Brent and WTI) and Sectoral Stock Price Index tends to be very weak. A negative dynamic correlation was also found in the Consumer Goods Sector. This research can be a reference for investors who want to invest stocks in Indonesia by looking at the correlation between world oil prices and the Sectoral Stock Price Index.

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