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 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.

scholarly journals Analisis Pengaruh Variabel Makroekonomi Terhadap IHSG Setelah Terjadinya Krisis Subprime Mortgage

Sensi Journal ◽  
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.

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 KURS RUPIAH, INDEKS NIKKEI 225, BI RATE, DAN PENGARUHNYA TERHADAP STOCK EXCHANGE INDEKS HARGA SAHAM GABUNGAN (IHSG) PERIODE TAHUN 2018-2020

2021 ◽  
Vol 3 (1) ◽  
pp. 75-81
Author(s):  
Andini Nurwulandari
Keyword(s):  
Exchange Rate ◽  
Stock Price ◽  
Price Index ◽  
Stock Exchange ◽  
Test Results ◽  
Stock Price Index ◽  
Using Data ◽  
Mixed Stock ◽  
The Impact ◽  
Positive Effect

Gross Domestic Product (GDP) growth is a constructive indicator and vice versa. A rise in GDP affects the buying power of citizens positively. It will therefore raise demand for the commodity. A surge in the market for goods raises the firm's earnings and may also increase the stock price. The analysis was designed to examine the impact on composite stock price index using data from time series from January 2018 to December 2020 of Rupiah Exchange rate, Nikkei 225 Index, and BI Rate. Multiple linear regression is used in the mixed Stock Price Index scheme to identify the relevant influence of BI on the Rupiah and Nikkei 225. The test results show that the BI rate has a significant positive effect on the Rupiah exchange rate for the composite stock pricing index. Meanwhile, the Nikkei 225 Index has no impact on the Composite Stock Price Index.

scholarly journals Estimasi permintaan indeks harga saham gabungan di Indonesia

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.

scholarly journals INTEREST RATE ADJUSTMENT AND STOCK MARKET – THE CASE STUDY OF CHINA

2021 ◽  
Author(s):  
Ning Zeng ◽  
◽  
Xixi Li ◽  
Keyword(s):  
Interest Rate ◽  
Stock Market ◽  
Stock Price ◽  
Price Index ◽  
Stock Index ◽  
Rate Adjustment ◽  
Stock Price Index ◽  
The Interest Rate ◽  
The Impact

This paper examines the impact of interest rate adjustment on the stock market in China. We collect the interest rate adjustment periods from April 21, 1991 to October 24, 2015 since the estab¬lishment of the stock market. Through an Error Correction model together with Granger causality, we investigate responses of the stock index to interest rate adjustment. Our findings suggest that there is existing a long-term reverse relationship between interest rate adjustment and stock index. The impact of interest rate adjustment on stock index returns could not be long-term disequilibria, which will be corrected in short-time. Also, the interest rate is the granger cause of the stock price index, while the stock price index is not the granger cause of interest rate.

scholarly journals Analisa Pengaruh Perubahan Fed Fund Rate, Index Harga Saham Gabungan dan Indeks LQ45 Terhadap Nilai Tukar Dollar Amerika – Rupiah

2020 ◽  
Vol 4 (3) ◽  
pp. 12
Author(s):  
Ricky Suanto ◽  
Yanuar Yanuar
Keyword(s):  
Stock Price ◽  
Price Index ◽  
The United States ◽  
Mediation Process ◽  
Average Return ◽  
The Us ◽  
Us Dollar ◽  
Stock Price Index ◽  
The Impact ◽  
Fund Rate

The economy in Indonesia is experiencing a decline which can be seen from the decline in the Composite Stock Price Index in Indonesia. The decline in the value of the Composite Stock Price Index and Liquid 45 Index (LQ45) affected the rupiah exchange rate against US dollars that have passed the psychological level limit of Rp. 15,000 per 1 USD. The weakening of the rupiah and the index value of the stock was triggered by an increase in interest rates set by the Federal which increase Fed Fund Rate to 2.25% in September 2018.This study aims to explain whether it is true that the announcement of changes in the central bank's fed funds rate in the United States can be related and influence the Stock Price Index and Exchange Rates in other countries, especially in Indonesia.After collecting and processing data with Path Analysis, the results show that the impact in average of the fed fund rate to the average return LQ45 index has the strongest effect compared to other variables, then the strongest effect value is produced by the effect of average return Composite Stock Price Index to the average return of the US Dollar - Rupiah which is negative 0.76. After going through the mediation process, the indirect effect that occurs between the average fed fund rate on the average return of the US Dollar – Rupiah is positive 0.451, which significantly stagnant and changes the direction of the effect compared to its direct effect of negative 0.46.

scholarly journals PENGARUH EKONOMI MAKRO TERHADAP INDIKATOR PERGERAKAN (INDEKS) HARGA SAHAM

2020 ◽  
Vol 32 (02) ◽  
pp. 134-144
Author(s):  
Yusup Hari Subagya
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Stock Prices ◽  
Stock Price ◽  
Price Index ◽  
Stock Exchange ◽  
Linear Regression Analysis ◽  
Significance Level ◽  
Stock Price Index ◽  
The Exchange Rate

The purpose of this research activity is to find out how the macroeconomic influence on the indicators of movement (index) of stock prices on the IDX. The research method uses multiple linear regression analysis and in the form of quantitative descriptive data, sampling with a sampling technique in the form of purposive sampling from publication data from 2009-2019. The results showed that inflation and interest rates have a significant effect on the stock price index on the Indonesia Stock Exchange, inflation with a significance level of 0.007 < 0.05 for the interest rate with a significance level of 0.000 < 0.05 and the exchange rate with a significance level of 0.126 > 0 , 05 then the exchange rate has no significant effect on the stock price index on the Indonesia Stock Exchange. Simultaneously, inflation, interest rates and exchange rates have a significant effect on the stock price index on the Indonesia Stock Exchange.

Pengaruh Covid-19 terhadap Indeks Harga Saham Gabungan (IHSG) dan Nilai Tukar Rupiah

2021 ◽  
Vol 3 (2) ◽  
pp. 313-323
Author(s):  
Nisa Alfira ◽  
Muhammad Iqbal Fasa ◽  
Suharto Suharto
Keyword(s):  
Exchange Rate ◽  
Financial Institutions ◽  
Capital Market ◽  
Stock Price ◽  
World Economy ◽  
Price Index ◽  
The World ◽  
Islamic Financial Institutions ◽  
Stock Price Index ◽  
The Impact

The purpose of this study was to determine the effect of the Covid-19 pandemic on the Composite Stock Price Index (IHSG) and the rupiah exchange rate in Indonesia. The research method used is descriptive qualitative by describing the existing phenomena. The results show that the impact of the Covid-19 pandemic does not only affect public health, but also affects the Indonesian economy, especially in Islamic financial institutions in the Islamic capital market, namely the Composite Stock Price Index and the weakening of the rupiah exchange rate. The pandemic has also been proven to have put pressure on the world economy, including Indonesia.

scholarly journals Bubble Detection and the Impact of Monetary Policy, Market Sentiment and Market Liquidity on Property Stock Price Index in Indonesia

2021 ◽  
Vol 9 (8) ◽  
pp. 75-86
Author(s):  
Sunita Dasman
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Stock Price ◽  
Price Index ◽  
Stock Exchange ◽  
Market Liquidity ◽  
Stock Index ◽  
Market Sentiment ◽  
Stock Price Index ◽  
The Impact

The purpose of this study is to detect the existence of a bubble stock and analyze the impact of monetary policy, market sentiment and liquidity on the property stock index in the Indonesian capital market. The data used in this study is secondary data originating from various sources for the period 2016 – 2020 using multiple linear regressions. The bubble stock detection is done by using the ratio between the property stock price index and the consumer nutrient index. The results showed that there was an indication of a moderate bubble stock in the property stock index during the research period 2016 – 2020. The factors that impacted the property stock price index were interest rates, the rupiah exchange rate against the US dollar, market sentiment and market liquidity. The increase in interest rates, the rupiah exchange rate, and market sentiment and liquidity has an impact on the increase in the property stock price index on the Indonesian stock exchange for the 2016 – 2020 periods. Keywords: Bubble Stock, Exchange Rate, Interest Rate, Inflation, Market Sentiment, Market Liquidity

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