Dynamic Relationship among Gold Price, Crude Oil Price, Rupiah Exchange Rate and Gross Domestic Product (GDP) in Indonesia during 1999-2018 with Phase-Wise Analysis

This study investigate the effect of macroeconomic variables and international stock index on the stock index Jakarta Islamic Index (JII) using monthly data over period January 2013 to December, 2018. Macroeconomic variables used in this study are inflation, exchange rate, international crude oil price, World Gold Price and for the international stock index using Dow Jones Islamic Market. The study employs the eror correction model (ECM). The empirical result reveal that there is co-integration between the four macroeconomic variables, one international stock index and stock index in Jakarta Islamic Index indicating long run equilibirium relationship. Furhther, the result reveal that with significancy 0,5% only exchange rate, international crude oil price, world gold price had significant effect on Jakarta Islamic Index while inflation and Dow jones Islamic Market did not have a significant effect on Jakarta Islamic Index.Keywords: The stock Index, the Jakarta Islamic Index, the macroeconomic variables

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PENGARUH VARIABEL MAKROEKONOMI TERHADAP INDEKS HARGA SAHAM SYARIAH (STUDI KASUS DI INDONESIA DAN MALAYSIA)

ISLAMICONOMIC Jurnal Ekonomi Islam ◽

10.32678/ijei.v9i2.91 ◽

2018 ◽

Vol 9 (2) ◽

Author(s):

DESY TRISHARDIYANTI ADININGTYAS

Keyword(s):

Exchange Rate ◽

Crude Oil ◽

Stock Price ◽

Price Index ◽

Gold Price ◽

Oil Price ◽

Crude Oil Price ◽

Short Term ◽

Correction Model

Abstract. The Effect of Macroeconomic Variables on Sharia Stock Price Index (Case Study in Indonesia and Malaysia). The purpose of this research is to know the effect of macroeconomic variables (inflation, exchange rate, world crude oil price and world gold price) on sharia stock price index in Indonesia and Malaysia. By using Error Correction Model as the method, this research utilizes time series monthly data from March 2015 until February 2018. The finding shows that in long-term, inflation in Indonesia, exchange rate of rupiah, world crude oil price and world gold price had significant effect on Jakarta Islamic Index. In short-term, inflation in Indonesia, world crude oil price, world gold price had not significant effect on Jakarta Islamic Index and exchange rate of rupiah had significant effect on Jakarta Islamic Index. Meanwhile, inflation in Malaysia, world crude oil price, world gold price had not significant effect on FTSE Bursa Malaysia Hijrah Syariah Index in long-term and short-term. And exchange rate of ringgit had significant effect on FTSE Bursa Malaysia Hijrah Syariah Index in long-term and short-term. Abstrak. Pengaruh Variabel Makroekonomi Terhadap Indeks Harga Saham Syariah (Studi Kasus di Indonesia dan Malaysia). Tujuan dari penelitian ini adalah untuk mengetahui pengaruh variabel makroekonomi (inflasi, kurs, harga minyak mentah dunia dan harga emas dunia) terhadap indeks harga saham syariah di Indonesia dan Malaysia. Penelitian ini menggunakan metode Error Correction Model, dengan data time series bulanan dari Maret 2015 sampai dengan Februari 2018. Hasil penelitian ini menunjukan bahwa pada jangka panjang, inflasi Indonesia, kurs rupiah, harga minyak mentah dunia dan harga emas dunia berpengaruh terhadap Jakarta Islamic Index. Pada jangka pendek, inflasi Indonesia, harga minyak mentah dunia, harga emas dunia tidak berpengaruh terhadap Jakarta Islamic Index dan kurs rupiah berpengaruh terhadap Jakarta Islamic Index. Sementara itu, inflasi Malaysia, harga minyak mentah dunia, harga emas dunia tidak berpengaruh terhadap FTSE Bursa Malaysia Hijrah Syariah Index pada jangka panjang dan jangka pendek. Dan kurs ringgit berpengaruh terhadap FTSE Bursa Malaysia Hijrah Syariah Index pada jangka panjang dan jangka pendek.

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Impact of Macro - Economic Factors on Indian Stock Market- A Research of BSE Sectoral Indices

International Journal of Recent Technology and Engineering - 2 ◽

10.35940/ijrte.b1110.0782s719 ◽

2019 ◽

Vol 8 (2S7) ◽

pp. 597-602

Keyword(s):

Exchange Rate ◽

Interest Rate ◽

Stock Market ◽

Crude Oil ◽

Stock Prices ◽

Gold Price ◽

Oil Price ◽

Economic Factors ◽

Crude Oil Price ◽

The Impact

Macro-Economic factors plays a major role in decision making. Evaluation of macroeconomic environment is required to examine the behaviour of stock prices, which further influences the investor’s investment behaviour. Even though some macro-economic factors are not directly related to the company or industry, but those factors has an impact on stock prices, further economic activity in the domestic and global level has its own impact on stock market. When economy of the country grows hastily, it leads to faster growth in the industry and vice versa. Financial market plays a central role in the performance of financial system of an economy. Stock market is a market where securities of listed companies are exchanged between different investors, it is very responsive market which, gives a stage to investors to invest their money in various securities. Market indices are the tools to measure the performance of various securities of stock market and Investors make use of those market indices to analyse performance of those industries in which, they prefer to invest. This study takes into account six macro-economic factors (Crude oil Price, Gold Price, Silver Price, Exchange Rate, Inflation and Interest Rate) to study & analyse the impact of these variables on selected sectoral indices at BSE, SENSEX, S&P BSE BANKEX, S&P BSE Oil and Gas, S&P BSE Capital Goods, S&P BSE Consumer Durables, S&P BSE Reality, S&P BSE PSU and S&P BSE Power. The study shows that gold price, exchange rate, consumer price index and interest rate are positively correlated with four indices but crude oil price and silver price have positively correlated with 3 indices. So from the result it is clear that investor need to take of all the variables for their investment decision and the investment banker also take care of these indicators before giving suggestion to their clients

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Dynamic Relationship between Crude Oil Price, Exchange Rate and Stock Market Performance in Nigeria

African Research Review ◽

10.4314/afrrev.v10i4.16 ◽

2016 ◽

Vol 10 (4) ◽

pp. 224

Author(s):

Eugene Iheanacho

Keyword(s):

Exchange Rate ◽

Stock Market ◽

Crude Oil ◽

Market Performance ◽

Oil Price ◽

Crude Oil Price ◽

Dynamic Relationship ◽

Stock Market Performance

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Return and volatility linkages among International crude oil price, gold price, exchange rate and stock markets: Evidence from Mexico

Resources Policy ◽

10.1016/j.resourpol.2019.01.004 ◽

2019 ◽

Vol 60 ◽

pp. 255-261 ◽

Cited By ~ 31

Author(s):

Shelly Singhal ◽

Sangita Choudhary ◽

Pratap Chandra Biswal

Keyword(s):

Exchange Rate ◽

Crude Oil ◽

Stock Markets ◽

Gold Price ◽

Oil Price ◽

Crude Oil Price ◽

Volatility Linkages

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ANALISIS PENGARUH HARGA MINYAK DUNIA DAN HARGA EMAS DUNIA TERHADAP INDEKS HARGA SAHAM GABUNGAN DI BURSA EFEK INDONESIA

JURNAL INFORMASI, PERPAJAKAN, AKUNTANSI, DAN KEUANGAN PUBLIK ◽

10.25105/jipak.v10i1.4544 ◽

2019 ◽

Vol 10 (1) ◽

pp. 19

Author(s):

Maria Ariesta Utha

Keyword(s):

Exchange Rate ◽

Crude Oil ◽

Significant Influence ◽

Time Series Data ◽

Composite Index ◽

Gold Price ◽

Oil Price ◽

Series Data ◽

Crude Oil Price ◽

Test Result

This research analysed the ittfluence of crude oil price, gold price, and exchange rate toward composite index in Indonesian Stock Exchange. Dependent variable of this reseach is composite index and independent variable of this research are crude oil price, gold prke, and exchange rate. This Research by using time series data on period 2010-2014. The Method of this research is multiple linier regression. To get unbiased model, in this research used classical assumption test. Result of this research indicate that crude oil price and gold price have not significant influence toward composite index and exchange rate have significant influence toward composite index. Based on determination test result crude oil price, gold price, and exchange rate have simultant influence toward composite index.

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