scholarly journals Benarkah Suku Bunga Memengaruhi Volatilitas Pasar Saham Syariah?

2021 ◽  
Vol 2 (1) ◽  
pp. 56
Author(s):  
Septiana Indarwati
Keyword(s):  
Stock Market ◽  
Interest Rates ◽  
Stock Markets ◽  
Stock Exchange ◽  
Significant Variable ◽  
Stock Return Volatility ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Negative Effect ◽  
The Interest Rate

AbstractThis research attempts to explore to what extent the sensitivity volatility of Islamic stock markets in Indonesia toward macroeconomics. The writer examines inflation, exchange rates, money supply (JUB), interest rates (BIRATE), and Industrial Production Index (IPI) as part of the macroeconomic variables. Meanwhile, the writer also uses Jakarta Islamic Index (JII) as the measurements for Islamic stock markets. This research uses the calculation of the stock return volatility based on the Generalized Autoregressive Conditional Heteroscedasticity (GARCH (2, 1)) combined with Regressive Distributed Lag (ARDL) analysis. The writer uses monthly data from Indonesia Stock Exchange, starting from January 2006 to December 2019 as part of the data collection. This research found that BIRATE has a negative effect on the conventional stock market while the Islamic stock market has a positive and insignificant effect on the level α = 5%.  It points out the Islamic principles that the interest rate is not a significant variable in explaining the stock market’s volatility. According to the finding of this research, the writer argues that stabilizing interest rates will not significantly impact the volatility of the Islamic stock market.AbstrakPenelitian ini mencoba untuk mengeksplorasi sejauh mana sensitivitas volatilitas pasar saham syariah di Indonesia terkait dengan ekonomi makro. Penulis menggunakan inflasi, nilai tukar rupiah, penawaran uang (JUB), suku bunga (BI rate) dan Indeks Produksi Industri (IPI) sebagai pengukuran dari ekonomi makro. Sementara itu, penulis menggunakan Jakarta Islamic index (JII) sebagai pengukuran pasar saham syariah. Penelitian ini menggunakan perhitungan volatilitas return saham dengan Generalized Autoregressive Conditional Heteroskedasticity (GARCH (2, 1) dikombinasikan dengan Analisis Autoregressive Distributed Lag (ARDL). Pengumpulan data dalam penelitian ini menggunakan data bulanan dari Bursa Efek Indonesia dari bulan Januari 2006 sampai Desember 2019. Penelitian ini menemukan bahwa, variable BI Rate tidak berpengaruh signifikan terhadap pasar saham syariah pada taraf α=5%. Ini menyoroti prinsip-prinsip Islam bahwa tingkat bunga bukanlah variabel yang signifikan dalam menjelaskan volatilitas pasar saham. Menurut temuan pada penelitian ini, penulis memberikan dukungan lebih lanjut bahwa menstabilkan suku bunga tidak akan berdampak signifikan pada volatilitas pasar saham syariah.

scholarly journals Pengaruh Inflasi dan Suku Bunga dan Nilai Tukar Rupiah serta Jumlah Uang Beredar terhadap Return Saham

FORUM EKONOMI ◽  
2018 ◽  
Vol 19 (2) ◽  
pp. 148
Author(s):  
La Rahmad Hidayat ◽  
Djoko Setyadi ◽  
Musdalifah Azis
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Interest Rates ◽  
Stock Returns ◽  
Money Supply ◽  
Stock Exchange ◽  
Significant Variable ◽  
Inflation Rates ◽  
Negative Effect ◽  
Relationship Of

This research is to examine the effect of inflation, interest rate, exchange rate and money supply on stock returns LQ 45 listed on the Indonesia Stock Exchange. The object of this research is the return - shares out of the category LQ 45 years of research by 2010-2015. Its Sampling using purposive sampling and get the 24 stocks that meet the criteria of 45 stocks LQ 45 as a sample. Thus, the number of samples studied was 144 shares for 6 years. The method used is multiple linear regression analyzes that examine whether or not a significant variable - the independent variable on the dependent variable. Based on the results known that R indicates that there is an ideal relationship of Inflation, Interest Rate, Exchange Rate and Money Supply toward to Return shares in LQ 45. R square indicates that the variable inflation rates, interest rates, the value of exchange rate and the money supply can explain the variable return shares at LQ 45 index. Based on F test indicates the same that the variable inflation rate, interest rate, exchange rate and money supply have a significant influence on shares returns in LQ 45 listed on Indonesia Stock Exchange. The results of T test showed that the rate of inflation significant and negative effect on shares returns and interest rates positive and significant effect on shares returns while exchange Rate and the money supply no significant effect on shares returns in LQ 45 Listed on Indonesia Stock Exchange.Keywords: stock return, Inflation, Interest Rate, Exchange Rate, Money Supply.

scholarly journals DAMPAK FAKTOR INTERNAL DAN EKSTERNAL TERHADAP HARGA SAHAM SEKTOR INFRASTRUKTUR

2020 ◽  
Vol 4 (1) ◽  
Author(s):  
Bonita Restu Dwijayati ◽  
Robiyanto Robiyanto
Keyword(s):  
Interest Rates ◽  
Stock Price ◽  
Quantitative Methods ◽  
Stock Exchange ◽  
Sample Selection ◽  
Sampled Data ◽  
Negative Effect ◽  
The Interest Rate ◽  
Internal And External Factors ◽  
The Impact

This research aims to test the impact of internal and external factors both simultaneously and partially against the stock price of infrastructure sectors. Research using quantitative methods. The population in this study is the entire infrastructure, utilities and transportation company listed on the Indonesia Stock Exchange in the period 2014-2018. The sample selection technique is using the purposive sampling method. Based on predefined criteria, acquired 30 companies are being sampled. Data analysis techniques use a regression analysis of data panels. The results showed that the simultaneous variables of the DPR, NPM, CCC and interest rates had significant effect on the stock price of infrastructure sectors. As for the partial, the variables of the DPR and NPM positively influence insignificant against the stock price. On the other hand the CCC variables have significant negative effect on the stock price and the interest rate is significantly positive against the stock price.

scholarly journals Impact of Terrorism on Stock Market: A Case of South Asian Stock Markets

2019 ◽  
Vol 5 (2) ◽  
pp. 215-242
Author(s):  
Rehana Kousar ◽  
Zahid Imran ◽  
Qaisar Maqbool Khan ◽  
Haris Khurram
Keyword(s):  
Sri Lanka ◽  
Stock Market ◽  
South Asia ◽  
Stock Markets ◽  
Stock Exchange ◽  
Spillover Effect ◽  
Market Returns ◽  
Stock Market Returns ◽  
Negative Effect ◽  
The Impact

The purpose of this study is to examine the impact of terrorism on stock markets of South Asia namely, Karachi Stock Exchange 100 index (Pakistan), Bombay Stock Exchange (India), Colombo Stock Exchange (Sri Lanka) and Chittagong Stock Exchange (Bangladesh). Monthly panel data has been used for the period of January 2000 to December 2016. Terrorism events happened during the period of 2000 to 2016 have been incorporated to examine the impact of terrorism on stock market returns of South Asia. DCC GARCH through R software is used to analyze the impact of terrorism on stock market returns and to analyze the spillover effect of terrorism in one country and on the stock markets of other countries of South Asia. The results indicate that terrorism has significant and negative effect on stock market returns of Pakistan, India and Bangladesh but insignificant in Sri Lanka. Results also shows that stock markets return of Pakistan, India, and Bangladesh are significant and positively correlated with each other except the Stock market of Sri Lanka.

scholarly journals The Role of Gold Prices and Interest Rate in Stock Index: Insights from Vietnam by Using the Autoregressive Distributed Lag Approach

2020 ◽  
Vol 12 (1) ◽  
pp. 178
Author(s):  
Le Thi Minh Huong ◽  
Phan Minh Trung
Keyword(s):  
Interest Rate ◽  
Stock Market ◽  
Interest Rates ◽  
Stock Index ◽  
Stock Market Index ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Market Index ◽  
Long Run ◽  
Short Run

This study aimed to determine the impact of domestic gold prices, interest rates in the stock market index (VNI) in Vietnam for the period of January 2009 to December 2018. This study employed the Autoregressive Distributed Lag (ARDL) to check the association of Independent variable gold prices and the interest rate on the dependent variable stock market index. The results show a close correlation together in the long-run. The Vietnam stock index is adversely affected by fluctuations in the credit market in the short-run. We observed that domestic gold prices and interest rates have one-way causal relations to the stock price index. Similarly, interest rates were causal for gold prices and still not yet had any particular direction. The adjustment in the short-run moves the long-run equilibrium, although the change is quite slow.

scholarly journals Do Interbank Interest Rates Matter for Stock Prices at Nepal Stock Exchange?

Pravaha ◽  
2020 ◽  
Vol 26 (1) ◽  
pp. 165-170
Author(s):  
Rajesh Gurung
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Exchange ◽  
Distributed Lag ◽  
Long Run ◽  
Auto Regressive ◽  
The Interest Rate ◽  
Bound Test

This study examines an auto-regressive distributed lag (ADRL) modeling approach to develop the relationship between the stock price and interest rate in the context of Nepal, using the monthly data for the period from July 1996 to January 2019. NEPSE Index in Nepal Stock Exchange Limited is used for the stock prices and interbank interest rate released in Quarterly Economic Bulletin of Nepal Rastra Bank is used for the interest rate. The bound test for co-integration and estimated negative coefficient of long-run regression results justified by the Error Correction Mechanisms (ECM) establishes a valid negative long-run association between the INTEREST and PRICE. This suggests important considerations for policies towards an interest rate stabilization for the stock price stability and further development of the stock market in Nepal.

scholarly journals Integration of Stock Markets between Indonesia and Its Major Trading Partners

2009 ◽  
Vol 11 (2) ◽  
pp. 229 ◽  
Author(s):  
Bakri Abdul Karim ◽  
M. Shabri Abdul Majid ◽  
Samsul Ariffin Abdul Karim
Keyword(s):  
Stock Market ◽  
Risk Reduction ◽  
Stock Markets ◽  
Vector Autoregressive ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Trading Partners ◽  
Short Run ◽  
The U.S ◽  
Japan And China

Using Autoregressive Distributed Lag (ARDL) and Vector Autoregressive (VAR) frameworks, this study examines the integration between the emerging stock market of Indonesia and its major trading partners (i.e., Japan, the U.S., Singapore, and China). During the period of July 1998 to December 2007, the Indonesian stock market is found to be integrated with its major trading partners. Thus, this implies that there is a limited room available for investors to gain risk-reduction benefits through diversifying their portfolio in those markets. Meanwhile, in the short run, the Indonesian market responds more to shocks in the U.S. and Singapore than in Japan and China. In designing policies pertaining to its stock market, the Indonesian government should take into account any development in the stock markets of its major trading partners, particularly the U.S. and Singaporean markets.

scholarly journals The Impact of different Waves of the COVID-19 Pandemic on the Stock Markets in South Asian Countries

2021 ◽  
Vol VI (II) ◽  
pp. 238-253
Author(s):  
Muhammad Ishtiaq ◽  
Aisha Imtiaz ◽  
Hina Mushtaq
Keyword(s):  
Stock Market ◽  
South Asian ◽  
Stock Markets ◽  
Stock Exchange ◽  
Third Wave ◽  
Asian Countries ◽  
The South ◽  
Negative Effect ◽  
Study Methodology ◽  
The Impact

The crisis of COVID-19 comes with a calamitous economic stance. The South Asian countries experience their nastiest economic performance in the last four decenniums, and a moiety of the countries are falling into recession. This paper checks the impact of the first,second and third waves of COVID-19 outbreak on the stock market indices of all the South Asian countries, including India, Pakistan, Afghanistan, SriLanka, Bangladesh, Maldives, Nepal, and Bhutan. The study has utilized the Event Study Methodology and results exhibit that COVID-19 decreases the mean returns of all the stock market indices and increases their volatility,which designates that Corona does influence all the stock markets of South Asia in decrementing their returns and incrementing volatility. Overall, the negative effect of the first wave of COVID-19 is not paramount across all the indices except the National Stock Exchange of India (NSE), albeit its second wave did not affect any of the stock market indices significantly. In contrast,the third wave affects the stock markets indices of Pakistan (PSX) and Afghanistan (AFX).

scholarly journals Determinants of the Risk-Based Capital of Insurance Companies in Indonesia

2021 ◽  
pp. 72-77
Author(s):  
Anggy Renaldo ◽  
◽  
Unggul Purwohedi ◽  
Gatot Nazir Ahmad ◽  
◽  
...  
Keyword(s):  
Interest Rates ◽  
Stock Exchange ◽  
Insurance Industry ◽  
Fixed Effect Model ◽  
External Factors ◽  
Insurance Companies ◽  
Internal Factors ◽  
Macroeconomic Factors ◽  
Negative Effect ◽  
The Interest Rate

The insurance industry is one of the important components of the world financial system because it provides economic protection for the society. Risk-based capital is a certain amount of capital that insurance companies must have on hand in order to hedge against their risks. This capital is there to make sure that the company can maintain solvency, and can fulfill all of its financial operating needs. This study aims to determine the factors that influence Risk-based capital (RBC) as the level of solvency of insurance companies in Indonesia. These factors are generally divided into 2 groups: internal factors (company characteristics) and external factors (macroeconomic factors). Internal factors consist of such variables as premium and liquidity. External factors consist of such variables as economic growth (GDP) and interest rates. The sample of this study is presented by 12 insurance companies that listed on the Indonesia Stock Exchange (IDX). The study covers the period from 2014 until 2019. The analysis method used in this study is multiple regression with the Fixed Effect Model (FEM) approach using Eviews software version 9.0. This method is used to analyze the effect of independent variables towards the dependent variable. The research results showed that the liquidity variable had a significant positive effect on risk based capital. At the same time the interest rate variable has a significant negative effect on risk based capital.

scholarly journals The Influence of Internal and External Factors on Firm Value

2020 ◽  
Vol 5 (5) ◽  
Author(s):  
Dewi Cahyani Pangestuti ◽  
Azzahra Meirizqi Louisa Tindangen
Keyword(s):  
Capital Structure ◽  
Interest Rates ◽  
Firm Value ◽  
Stock Exchange ◽  
Sampling Technique ◽  
P Value ◽  
Significance Level ◽  
Company Value ◽  
Negative Effect ◽  
The Interest Rate

This research was conducted to analyze the effect of capital structure, liquidity, interest rates and exchange rates in influencing company value in mining sector companies listed on the Indonesia Stock Exchange (BEI). Sampling technique using a purposive sampling method the mining company listed on the Indonesia Stock Exchange in the year 2016 -2019 resulted in 37 companies that meet the criteria. Data analysis was performed using regression panel data with E-Views program 10 and a significance level of 5%. The results of the test were obtained that the capital structure influence significantly restricted a p-value of the company, liquidity does not have a significant effect on firm value, the interest rate does not have a significant effect on firm value, and the exchange rate stated with the middle rate has a significant negative effect on firm value.

scholarly journals Capital Adequacy Ratio dan Tingkat Suku Bunga Kredit Terhadap Penyaluran Kredit di Bursa Efek Indonesia

2017 ◽  
Vol 1 (1) ◽  
pp. 59
Author(s):  
Fitri Malini
Keyword(s):  
Interest Rates ◽  
Stock Exchange ◽  
Capital Adequacy ◽  
Independent Variables ◽  
Capital Adequacy Ratio ◽  
Negative Effect ◽  
Loan Interest Rates ◽  
The Interest Rate ◽  
Research Period ◽  
Positive Effect

His study aimed to determine the effect of the Capital Adequacy Ratio (CAR), and the interest rate loans to total lending in the banking companies in the Indonesia Stock Exchange. The method used in this research is the method of explanation, the independent variables used in this study consisted of Capital Adequacy Ratio (CAR), and loan interest rates while the dependent variable is the amount of lending. The population in this study were banking companies in the Indonesia Stock Exchange, samples taken amounted to 10 (ten) companies with the research period between 2009 and 2013. Partially Capital Adequacy Ratio (CAR), significant negative effect on the amount of lending, and loan interest rates are not significant positive effect on the amount of lending. While simultaneously Capital Adequacy Ratio (CAR), and loan interest rates not significant effect on the amount of lending to the banking company in BEI 2009-2013.

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