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

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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The Impact of International Sanctions on Russian Financial Markets

Economies ◽

10.3390/economies8040107 ◽

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.

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Estimasi permintaan indeks harga saham gabungan di Indonesia

e-Journal Perdagangan Industri dan Moneter ◽

10.22437/pim.v8i2.13101 ◽

2020 ◽

Vol 8 (2) ◽

pp. 65-76

Author(s):

Ade Nugraha Paer ◽

Syamsurijal Tan ◽

Emilia Emilia

Keyword(s):

Exchange Rate ◽

Interest Rates ◽

Money Supply ◽

Stock Price ◽

Price Index ◽

Linear Regression Analysis ◽

Least Square ◽

Stock Price Index ◽

The Exchange Rate ◽

Index Exchange

The purpose of this study is (a) to see the development of the composite stock price index, exchange rate, inflation, interest rates, and the money supply in Indonesia. (b) analyze the effect of the exchange rate, inflation, interest rate, and money supply on the composite stock price index in Indonesia. The method used in this study is a quantitative descriptive method with multiple linear regression analysis tools using the Ordinary Least Square (OLS) method. The data used is in the form of a time series. The results of this study average the development of the composite stock price index by 0.22 percent, the exchange rate by 2.57 percent, inflation by -0.90 percent, interest rates by -2.73 percent, and the Money Supply by 0.06 percent. Based on the results of the analysis conducted, exchange rates and interest rates have a negative and significant effect on the composite stock price index, inflation and the money supply have a positive and significant effect on the composite stock price index. Keywords: Composite stock price index, Exchange rate, Inflation, Interest rates, Money supply.

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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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Analisis Pengaruh Variabel Makroekonomi Terhadap IHSG Setelah Terjadinya Krisis Subprime Mortgage

Sensi Journal ◽

10.33050/cices.v6i2.1139 ◽

2020 ◽

Vol 6 (2) ◽

pp. 154-168

Author(s):

Riski Dian Rahmawati ◽

Dinar Melani Hutajulu ◽

Yenny Aulia Rachman

Keyword(s):

Exchange Rate ◽

Opposite Direction ◽

Stock Price ◽

Price Index ◽

Short Term ◽

Subprime Mortgage ◽

Mortgage Crisis ◽

Stock Price Index ◽

The Exchange Rate

In the 2008 Indonesia returned to the financial crisis driven by the US Subprime Mortgage Crisis. And this has impact on Indonesian economy, so that 2009 was a start of domestic economic recovery. The purpose of this study is to find out the long term significant influence over the inflation variables, the Exchange Rate and BI Rate for IHSG after Subrime Mortgage Crisis in the period during 2009 to 2019 on quarterly payment time. This research is a quantitative research type, with sample of 44 each variable and using ECM method. From the test, it showed that inflation variable has no effect for the Composite Stock Price Index neither at the short-term (0.7372> 0.05) has positive value (0.0117) nor at the Long-term (0.1650> 0.05) has positive value (0.177274), means linear direction for Composite Stock Price Index movement. The Exchange Rate variable was determined neither at short-term Composite Stock Price Index (0.0012 <0.05) has a negative value (-0.7898) means that the exchange rate has opposite direction, nor at the Long-term (0.0000 <0.05) has positive value(1.055191), means linear direction for Composite Stock Price Index movement. BI variable rate did not have an effect for Composite Stock Price Index neither at the short-term (0.1924> 0.05) has negative value (-0.1577) means that the exchange rate has opposite direction, nor at the long-term (0.0025 <0.05) has positive value (-0.821875), means that the exchange rate has opposite direction for Composite Stock Price Index movement.

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Macroeconomic factors and LQ45 stock price index: evidence from Indonesia

Investment Management and Financial Innovations ◽

10.21511/imfi.16(3).2019.23 ◽

2019 ◽

Vol 16 (3) ◽

pp. 251-259 ◽

Cited By ~ 1

Author(s):

Sugeng Hadi Utomo ◽

Dwi Wulandari ◽

Bagus Shandy Narmaditya ◽

Puji Handayati ◽

Suryati Ishak

Keyword(s):

Exchange Rate ◽

Stock Market ◽

Stock Price ◽

Price Index ◽

Stock Exchange ◽

Market Performance ◽

Macroeconomic Variables ◽

Stock Market Performance ◽

Stock Price Index ◽

The Relationship

This paper provides the relationship between macroeconomic variables, including exchange rate, BI rate and inflation, and stocks performance, particulary bluechip stocks listed in LQ45 index in Indonesia Stock Exchange. The study particularly gives insights on bluechip stocks listed in LQ45 stock price index in Indonesia Stock Exchange between 2015 and 2017. The data were obtained from various sources during the period, including the Indonesia Stock Exchange (IDX), the Central Bank of Indonesia (BI), and the Ministry of Trade. This study followed a Vector Error Correction Model (VECM) attempting to estimate the relationship between variables both in the short term and in the long term. The findings of the study showed that in the long run, exchange rate, BI rate and inflation have a negative impact on stock market performance, particularly on LQ45 index in Indonesia Stock Exchange. It implies that an increase in macroeconomic variables results in the decline of stock market performance. Meanwhile, in the short run, two variables, namely the exchange rate and inflation, positively affect stock market performance in Indonesia. On the contrary, the relationship between BI rate and stock market performance showed a negative correlation. These findings have significant implication for the understanding of how macroeconomic variables affect the stock market performance, particularly LQ45 price index in Indonesia Stock Exchange.

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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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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 stock price index and exchange rate in Asian markets: A quantile regression approach

Journal of International Financial Markets Institutions and Money ◽

10.1016/j.intfin.2012.04.005 ◽

2012 ◽

Vol 22 (3) ◽

pp. 609-621 ◽

Cited By ~ 95

Author(s):

I-Chun Tsai

Keyword(s):

Exchange Rate ◽

Quantile Regression ◽

Stock Price ◽

Price Index ◽

Regression Approach ◽

Stock Price Index ◽

The Relationship

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

KEUNIS ◽

10.32497/keunis.v7i1.1533 ◽

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

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.

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