GLOBALISASI PASAR MODAL DUNIA DAN PENGARUHNYA TERHADAP PASAR MODAL INDONESIA

This paper investigates the long-run and short-run relationship between stock market index and the macroeconomic variables in Jordan. Annual time series data for the 1978–2017 periods and the ARDL bounding test are used. The results identify long-run equilibrium relationship between stock market index and the macroeconomic variables in Jordan. Jordanian policy makers have to pay more attention to the current regulation in the Amman Stock Exchange(ASE) and manage it well, thus ultimately helping financial development.

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TINGKAT INTEGRASI PASAR MODAL INDONESIA DENGAN PASAR MODAL GLOBAL

Manajemen Bisnis ◽

10.22219/jmb.v4i2.5289 ◽

2018 ◽

Vol 4 (2) ◽

Author(s):

Dedy Saputra

Keyword(s):

Correlation Coefficient ◽

Capital Markets ◽

Capital Market ◽

Composite Index ◽

Stock Index ◽

Analysis Tool ◽

Global Capital ◽

Market Index ◽

Dow Jones Industrial Average ◽

German Stock

This study aims to determine the level of capital market interation Indonesia (Jakarta Composite Index) with American capital markets (Dow Jones Industrial Average), England (FTSE 100 Index), German (Deutsche Borse AG German Stock Index), Hongkong (Hang Seng) and Japan (Nikkei 225). The result of this study expected to become an information for investment actors in deciding to invest at the stockmarket. These variables include the Indonesian capital market as the dependent variable and the global capital markets as an independent variable. Analysis tool is the correlation coefficient and t test. It is used to determine the significance of the correlation coefficient between independent variables and the dependent variable. Based on the calculation of the correlation coefficient is exemplified that the market index Indonesian capital market and the five major global capital markets has been integrated on various classification levels of relationships or different integration. The level of integration between Indonesian capital market and capital markets of America and Japan are very strong level of integration, the German stock market has stronglevel integration, and England and Hong Kong capital market has low level integration.

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Will the Stock Market Index Upsurge or Deflate? Making Calculated Predictions Using the Univariate Autoregressive Integrated Moving Average Technique

Global Social Sciences Review ◽

10.31703/gssr.2018(iii-iv).28 ◽

2018 ◽

Vol III (IV) ◽

pp. 413-426

Author(s):

Mustafa Afeef ◽

Nazim Ali ◽

Adnan Khan

Keyword(s):

Stock Market ◽

Stock Exchange ◽

Moving Average ◽

Stock Market Index ◽

Short Term ◽

Average Technique ◽

Autoregressive Integrated Moving Average ◽

Past Behavior ◽

Market Index ◽

Arima Modeling

Movements in a stock market index may safely be considered one of the mostwatched out phenomena by investors in almost every economy. One method to forecast the index is to study all those external factors that directly affect it. Another way, however, is to base ones predictions on the past behavior of the variable of interest. This paper has employed the method described latter and has, therefore, made use of the ARIMA modeling. In this connection, the daily stock market index data of the Karachi Stock Exchange 100 index was taken for twenty years from 1997 to 2017 which translated into 4940 observations. The study revealed that the model was decently efficient in forecasting the KSE 100 Index, though only for the short-range. The upshot of this study may be utilized specifically by short term investors in deciding on when, and when not, to invest in the stock market.

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Impact of Macroeconomic Variables, American Stock Market Index and Covid-19 Pandemic on Indonesia Capital Market Development (Time Series Study 1990-2020)

10.31219/osf.io/hg7j9 ◽

2021 ◽

Cited By ~ 1

Author(s):

Almira Rizqia ◽

Pudji Astuty ◽

Heru Subiyantoro

Keyword(s):

Stock Market ◽

Capital Market ◽

Market Development ◽

Linear Regression Method ◽

Annual Data ◽

Stock Market Index ◽

Macroeconomic Variables ◽

Market Index ◽

Negative Effect ◽

Positive Effect

The purpose of this study is 1.) To analyze the influence of foreign investment on the development of the Indonesian capital market. 2).To analyze the influence of the Exchange Rate on the Development of the Indonesian Capital Market. 3).To analyze the influence of the Interest Rate on the Development of the Indonesian Capital Market. 4).To analyze the influence of the Dow Jones Stock Market Index on the Development of the Indonesian Capital Market. 5).To analyze the influence of the Covid-19 Pandemic (dummy variable) on the Development of the Indonesian Capital Market.6). In this study, secondary data and library research were used as a technique for collecting data, using semi-annual data for the period 1990-2020. The research was processed using the EViews 11 program with the multiple linear regression method. The results of the research are known if 1.) Foreign Direct Investment has a significant and positive effect on Capital Market Development. 2.) Exchange Rates have a significant and positive influence on the Development of the Indonesian Capital Market. 3.) Interest Rates have a significant and negative effect on the Development of the Indonesian Capital Market. 4.) The Dow Jones Stock Market Index has a significant and positive effect on the Development of the Indonesian Capital Market. 5.) The Covid-19 pandemic had a significant and negative effect on the Development of the Indonesian Capital Market in the period 1990 to 2020. The results of this study are expected to contribute to policy holders regarding the role of macroeconomic variables on the development of the capital market, so that in the future it can be one of the references in conducting the policy mix so as to improve the development of the Indonesian capital market.

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PEMODELAN HARGA SAHAM BLUE CHIP MENGGUNAKAN VECTOR AUTOREGRESSIVE (VAR)

PERFORMANCE Jurnal Bisnis & Akuntansi ◽

10.24929/feb.v6i2.265 ◽

2016 ◽

Vol 6 (2) ◽

pp. 1

Author(s):

Agus Suharsono ◽

Aryo Wibisono

Keyword(s):

Stock Market ◽

Capital Markets ◽

Capital Market ◽

Stock Price ◽

Stock Exchange ◽

Rapid Development ◽

Information Criterion ◽

Profit Sharing ◽

Blue Chip ◽

The Capital Market

In a stock exchange in the capital market, the most in demand by investors is stocks. Shares are securities which shows the ownership of the company, so that shareholders have the right to a dividend or other distribution of profit sharing as well as by the company to its shareholders. The capital market is an indicator of economic progress and support the economy of a country. In this decade, the stock market has experienced rapid development due to pressure from technological change, liberalization and globalization. These changes affect the behavior of the capital markets and cause long-term balance and improving the relations between the world's capital markets. Otherwise interconnected capital markets if the two separate markets have the same movement and the correlation between the movement of the index. Capital markets in the region are likely to have the same movement and the effects of contagion (contagion effect) is high (1). During the observation period, October 2015 to March 2016, there was a phenomenon in which IHSG is not always the same and has a correlation with the movement of world stock market indices. It is also supported by the differences found in the results of some previous studies. The purpose of this study was to determine the relationship between stocks bluechip : Astra International Tbk (ASII), Unilever Indonesia Tbk (UNVR), Astra Agro Lestari Tbk (AALI), Bank Rakyat Indonesia Agroniaga (AGRO) and Bank Rakyat Indonesia (BRI ). The analytical method used in this study is Multivariate Time Series, especially Vector Autoregression (VAR). The results of this study with the model produces the best model VAR (2), AGRO = 11.56 - 4.03*ASII(-1) - 4.40*ASII(-2) + 3.76*UNVR(-1) + 1.27*UNVR(-2) + 1.38*AALI(-1) + 2.54*AALI(-2) + 0.73*AGRO(-1) + 0.14*AGRO(-2) + 5.40*BRI(-1) - 1.34*BRI(-2). The value of AIC (Akaike Information Criterion) = 4.47 Keywords: BLUE CHIP, Stock Price, VAR.

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Quantitative relationship between corruption and development of the Tunisian stock market

Public and Municipal Finance ◽

10.21511/pmf.07(2).2018.04 ◽

2018 ◽

Vol 7 (2) ◽

pp. 39-47

Author(s):

Ibtissem Missaoui ◽

Mohsen Brahmi ◽

Jaleleddine BenRajeb

Keyword(s):

Stock Market ◽

Stock Exchange ◽

Quantitative Relationship ◽

Stock Market Index ◽

Private Companies ◽

Stock Market Development ◽

Market Index ◽

The Government ◽

The Impact ◽

Positive Effect

The aim of this article is to seek especially the impact of corruption on the bond and stock market development. For the methodology/approach, the authors analyze a sample of 20 listed Tunisian firms from the Stock Exchange and Financial market, covering the period from 2006 to 2016 by using pooling cross section techniques. The results find a significant positive effect of the level of corruption on the stock market index and the logarithm of capitalization. This is consistent with the view that corruption accelerates the economic growth by speeding up transactions and allowing private companies to overcome the inefficiencies imposed by the government. Furthermore, the results find a negative association is not significant with the dependent variable of traded value as a percentage of the number of listed companies.

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Modeling stock market volatility in Croatia

Ekonomski vjesnik ◽

10.51680/ev.34.2.14 ◽

2021 ◽

Vol 34 (2) ◽

pp. 431-442

Author(s):

Hrvoje Jošić ◽

Berislav Žmuk

Keyword(s):

Stock Market ◽

Degrees Of Freedom ◽

Stock Exchange ◽

Error Distribution ◽

Stock Market Volatility ◽

Stock Market Index ◽

The Past ◽

Market Index ◽

Generalized Error Distribution ◽

Error Distributions

Purpose: In this paper, the volatility of the Croatian stock market index CROBEX is investigated using the GARCH(1,1) model. Methodology: The novelty provided by this paper is the estimation of the GARCH(1,1) model by using three conditional error distributions (normal (Gaussian) distribution, Student’s-distribution with fixed degrees of freedom and generalized error distribution (GED) with fixed parameters). Results: The findings obtained in the research are in the line with previous research in this field (Erjavec & Cota, 2007; Sajter & Ćorić, 2009). The volatility of CROBEX returns is positively correlated with the volume of trade on the Zagreb Stock Exchange and movements on the main European and American stock markets. The movement of S&P 500 stock market index returns is transmitted from the previous day, providing signals for the direction of change of CROBEX index returns in the present. Conclusion: Therefore, this paper provides evidence that investors in Croatia strongly rely on the past information received from the American S&P500 stock market index. Furthermore, there seems to exist the co-movement between CROBEX and main European indexes on the same trading day.

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The Effect Of IFRS Adoption On Global Market Integration

International Business & Economics Research Journal (IBER) ◽

10.19030/iber.v9i10.636 ◽

2010 ◽

Vol 9 (10) ◽

Cited By ~ 7

Author(s):

Francis Cai ◽

Hannah Wong

Keyword(s):

Market Integration ◽

Accounting Standards ◽

Global Market ◽

Financial Accounting ◽

Stock Market Index ◽

Capital Market Integration ◽

Global Capital ◽

Ifrs Adoption ◽

Market Index ◽

Integration Measure

This paper examines the effect of the adoption of international financial accounting standards (IFRS) on global capital market integration, measure by correlation matrix of the stock market index returns. We investigate a sample of countries that have adopted IFRS as their accounting standards for listed companies. Our results are consistent with the suggestion that these markets will have a higher degree of integration among them after their IFRS adoption as compared to the period before the adoption.

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Daily Stock Movements Through the Lens of Event and News: Evidence from the Pakistan Stock Exchange

10.20944/preprints202106.0444.v1 ◽

2021 ◽

Author(s):

Shahid Raza ◽

Baiqing Sun ◽

Pwint Kay Khine

Keyword(s):

Stock Market ◽

Time Series Data ◽

Stock Exchange ◽

Series Data ◽

News Daily ◽

Stock Market Index ◽

Daily Newspaper ◽

Monthly Basis ◽

Market Index ◽

The Impact

This study will investigate different signals and events/news that determined the stock market's movements. As we know, many factors affect the stock market on a daily, weekly, and monthly basis, e.g., rate of interest, exchange rate, and oil prices, etc. Our research will investigate the impact of daily events/news in the KSE-100 index due to several policies announced and events/news in the country because the daily movements in the stock market can be determined only by different signals and events/news. Time series data is collected daily for particular reasons from "The News" (Daily Newspaper, Sunday edition) from 2010 to 2019. The results of this study show that political and global news affects the stock market index ferociously. For investors, the investment in blue chips is not less than a safe haven. When day-to-day transactions are concerned, there is always a higher panic attack than the herd behaviour in the stock exchange. Investors tend to make prompt responses to negative rather than positive news, which makes them risk averters. Our finding also confirmed that the ARCH/GARCH model is better than the simple OLS method concerning stock market upheaval.

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Impact of Macroeconomic Variables, American Stock Market Index and Covid-19 Pandemic on Indonesia Capital Market Development (Time Series Study 1990-2020)

Journal of Economics and Business ◽

10.31014/aior.1992.04.04.388 ◽

2021 ◽

Vol 4 (4) ◽

Author(s):

Almira Rizqia ◽

◽

Pudji Astuty ◽

Heru Subiyantoro

Keyword(s):

Stock Market ◽

Capital Market ◽

Market Development ◽

Linear Regression Method ◽

Annual Data ◽

Stock Market Index ◽

Macroeconomic Variables ◽

Market Index ◽

Negative Effect ◽

Positive Effect

The purpose of this study is 1.) To analyze the influence of foreign investment on the development of the Indonesian capital market. 2).To analyze the influence of the Exchange Rate on the Development of the Indonesian Capital Market. 3).To analyze the influence of the Interest Rate on the Development of the Indonesian Capital Market. 4).To analyze the influence of the Dow Jones Stock Market Index on the Development of the Indonesian Capital Market. 5).To analyze the influence of the Covid-19 Pandemic (dummy variable) on the Development of the Indonesian Capital Market.6). In this study, secondary data and library research were used as a technique for collecting data, using semi-annual data for the period 1990-2020. The research was processed using the EViews 11 program with the multiple linear regression method. The results of the research are known if 1.) Foreign Direct Investment has a significant and positive effect on Capital Market Development. 2.) Exchange Rates have a significant and positive influence on the Development of the Indonesian Capital Market. 3.) Interest Rates have a significant and negative effect on the Development of the Indonesian Capital Market. 4.) The Dow Jones Stock Market Index has a significant and positive effect on the Development of the Indonesian Capital Market. 5.) The Covid-19 pandemic had a significant and negative effect on the Development of the Indonesian Capital Market in the period 1990 to 2020. The results of this study are expected to contribute to policy holders regarding the role of macroeconomic variables on the development of the capital market, so that in the future it can be one of the references in conducting the policy mix so as to improve the development of the Indonesian capital market.

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