Does Heterogeneity in COVID-19 News Affect Asset Market? Monte-Carlo Simulation Based Wavelet Transform

The current study investigates the connectedness between US COVID-19 news, Dowes Jones Index (DJI), green bonds, gold, and bitcoin prices for the period 22 January 2020–3 August 2021. The study has employed wavelet coherency, the continuous wavelet transform, and the wavelet-based Granger causality methods to obtain the dependence result. The continuous wavelet transform (CWT) analysis reveals that the United States equity market prices are extremely sensitive with regard to spreading coronavirus (USCOVID-19) news and changes in the oil price. Green bonds, gold, and bitcoin have minimal connectedness with the equity market, which might lead to the hedge and safe haven role of these assets during the COVID-19 crisis period. Lastly, very strong comovement was found between bitcoin and gold during the entire sample. The results of the present study offer a number of fresh and noticeable policy implications for international investors and asset managers.

Exchange Rate, Stock Price and Trade Volume in US-China Trade War during COVID-19: An Empirical Study

This article aims to examine the influence of international trade wars on the majority of stock market operations, both directly and indirectly affected. The impact of the trade war on the exchange rates of the participating countries was similarly negative. This article seeks to trace the conversion standards' footprints in the United States, China, and India using several indexes such as the Shanghai Composite Index, Dow Jones index, and Nifty 50. The cost of closing down various indices on a daily basis, as well as the conversion standard upsides of the participating currencies, are all examined in this study. Furthermore, utilizing the OLS and GARCH models, this work provides insights into measuring the uncertainties about the impact of exchanging scale on financial exchange. According to the findings of OLS, changes in the swapping scale have had a minor impact on the daily closing costs of stock records in the individual countries. The conversion standard, on the other hand, has a major impact on trade volumes in all three stock markets. When compared to the SSE and DJI equities, the GARCH model predicts that the contingent shift will be less shocking, resulting in a smaller impact on Nifty trade volume. To replicate the impact of trade wars during the Covid-19 crisis, the final results imply that data from domestic and international financial transactions must include securities market transactions.

Analisis Pengaruh Nilai Tukar Rupiah, Inflasi Dan Indeks Dow Jones Terhadap Indeks Harga Saham Gabungan (IHSG) Di Bursa Efek Indonesia (BEI)

This study aims to study both partially and simultaneously, large, Analysis, Analysis, Value, Exchange, Inflation, and the Dow Jones Index Against the Composite Stock Price Index (CSPI) on the Indonesia Stock Exchange (BEI) and the dominant dominant variable on the Price Index Joint Stock (CSPI)).The method used in this study is a quantitative method and with a population of 10 (ten) years, samples were taken with census sampling techniques of 10 (ten) years per year-end period, research instruments using classical data assumptions - data used using regression linear multiple.The results of this study indicate that (1) Rupiah Exchange Rates, Inflation and the Dow Jones Index influence simultaneously on the Composite Stock Price Index (CSPI) on the Indonesia Stock Exchange (2) the Dow Jones Index is partially related to the Composite Stock Price Index (CSPI) in The Indonesian Stock Exchange, while the Rupiah Exchange Rate and Inflation are not partially on the Composite Stock Price Index (CSPI) on the Indonesia Stock Exchange (3) The dominant dominant variable on the Composite Stock Price Index (CSPI) on the Indonesia Stock Exchange is the Dow Jones Index..Keywords : Rupiah Exchange Rate, Inflation, Dow Jones Index and Composite Stock Price Index (CSPI) Abstrak: Penelitian ini bertujuan untuk mengetahui baik secara parsial dan simultan seberapa besar Analisis Pengaruh Nilai Tukar Rupiah, Inflasi Dan Indeks Dow Jones Terhadap Indeks Harga Saham Gabungan (IHSG) Di Bursa Efek Indonesia (BEI) serta variabel yang berpengaruh dominan terhadap Indeks Harga Saham Gabungan (IHSG). Metode yang digunakan dalam penelitian ini adalah metode kuantitatif dan dengan populasi sebanyak 10 (sepuluh) tahun, diambil sampel dengan teknik sampling sensus sebanyak 10 (sepuluh) tahun per periode akhir tahun, instrument penelitian uji asumsi klasik data – data diuji dengan menggunakan regresi linear berganda. Hasil penelitian ini menunjukkan bahwa (1) Nilai Tukar Rupiah, Inflasi dan Indeks Dow Jones berpengaruh secara simultan terhadap Indeks Harga Saham Gabungan (IHSG) di Bursa Efek Indonesia (2) Indeks Dow Jones berpengaruh secara parsial terhadap Indeks Harga Saham Gabungan (IHSG) di Bursa Efek Indonesia, sedangkan Nilai Tukar Rupiah dan Inflasi tidak berpengaruh secara parsial terhadap Indeks Harga Saham Gabungan (IHSG) di Bursa Efek Indonesia (3) Variabel yang berpengaruh dominan terhadap Indeks Harga Saham Gabungan (IHSG) di Bursa Efek Indonesia adalah Indeks Dow Jones. . Kata kunci : Nilai Tukar Rupiah, Inflasi, Indeks Dow Jones dan Indeks Harga Saham Gabungan (IHSG).

Analysis of the Effect of Macro Economic Indicators and Dow Jones Index on IDX Composite in Indonesia Stock Exchange

Study aims to analyze the macroeconomic effect of the Dow Jones index on IDX Composite on the Indonesia Stock Exchange. The variables used in the macro economy are inflation, kurs, SBI rate, FED rate. Another variable is the Dow Jones index. This study uses quarterly secondary data from 2010 to 2020. The data analysis model uses the Autoregressive Distributed Lag (ARDL) approach. The results of the ARDL model analysis show that in the long term inflation, kurs, and FED rate has a negative and insignificant effect on the IDX Composite, SBI rate variable has a positive and not significant effect on the IDX Composite, the Dow Jones index variable has a positive and no significant effect on the IDX Composite significant to the IDX Composite. In the short term, inflation has a negative and insignificant effect on the IDX Composite, kurs has a negative and significant effect on the IDX Composite, SBI rate has a positive and insignificant effect on the IDX Composite, FED rate and the Dow Jones index have a positive and significant effect on the IDX Composite. Keywords: IDX Composite, Inflation, Kurs, SBI Rate, FED Rate, Dow Jones index.

FLUKTUASI SAHAM SYARIAH DI INDONESIA SAAT PANDEMI COVID-19 AKIBAT PERUBAHAN VARIABEL MAKROEKONOMI: ANALISIS PADA SUB SEKTOR HOTEL, RESTAURANT DAN PARIWISATA

ABSTRAKPandemi COVID-19 merebak dengan cepat keseluruh negara di dunia menimbulkan banyak dampak termasuk dalam bidang perekonomian. Adanya kebijakan-kebijakan khusus untuk mencegah penyebaran virus, seperti pembatasan mobilisasi dan kegiatan public memberikan dampak yang cukup masif, termasuk pada bidang pariwisata. Penelitian ini bertujuan untuk melihat pengaruh beberapa variabel makro, berupa nilai tukar, IHSG, Dow Jones Index (DJI), Dow Jones Islamic Market Index (DJIMI), dan harga minyak dunia terhadap fluktuasi harga saham perusahaan sub sektor hotel, restoran, dan pariwisata yang terdaftar dalam Indeks Saham Syariah Indonesia. Menggunakan metode Partial Least Square (PLS), menunjukkan hasil sepanjang 2 Maret hingga 30 September 2020, nilai tukar dan IHSG berpengaruh positif signifikan terhadap harga saham, sedangkan harga minyak berpengaruh tidak signifikan. DJI berpengaruh negatif tidak signifikan terhadap harga saham sedangkan DJIMI berpengaruh negatif signifikan. Sepanjang pandemi dapat dimungkinkan banyak variabel makro maupun mikro yang mengalami goncangan dan turut memberi pengaruh terhadap harga saham pada sub sektor hotel, restaurant dan pariwisata.Kata Kunci: Dow Jones Index, Dow Jones Islamic Market Index, Harga Minyak, IHSG, Nilai Tukar. ABSTRACTThe COVID-19 pandemic, which spreads rapidly around the world, has raised many impacts, including in economic sector. There are particular policies to prevent the spreading of COVID-19 virus, such as restrictions of mobilization and public activities which give some massive impacts, including the tourism sector. This study aims to see the impact of several macroeconomic variables, those are exchange rate, IHSG, Dow Jones Index (DJI), Dow Jones Islamic Market Index (DJIMI), and world oil price, due stock price fluctuations in the hotel, restaurant and tourism sub-sector companies listed on Indonesia Sharia Stock Index. Using Partial Least Square (PLS) method, it shows the results from March 2 to September 30 2020, exchange rate and IHSG have positive significant effect on stock price, while oil price has no significant effect. DJI has a negative and insignificant effect on stock price, while DJIMI has a negative significant effect. Through this pandemic, there are many macro or micro variables may experience shocks and give some contribution to the effect of sharia stock price in the hotel, restaurant and tourism sub-sector.Keywords: Dow Jones Index, Dow Jones Islamic Market Index, Exchange Rate, IHSG, Oil Price.

Forecasting High-Dimensional Financial Functional Time Series: An Application to Constituent Stocks in Dow Jones Index

Financial data (e.g., intraday share prices) are recorded almost continuously and thus take the form of a series of curves over the trading days. Those sequentially collected curves can be viewed as functional time series. When we have a large number of highly correlated shares, their intraday prices can be viewed as high-dimensional functional time series (HDFTS). In this paper, we propose a new approach to forecasting multiple financial functional time series that are highly correlated. The difficulty of forecasting high-dimensional functional time series lies in the “curse of dimensionality.” What complicates this problem is modeling the autocorrelation in the price curves and the comovement of multiple share prices simultaneously. To address these issues, we apply a matrix factor model to reduce the dimension. The matrix structure is maintained, as information contains in rows and columns of a matrix are interrelated. An application to the constituent stocks in the Dow Jones index shows that our approach can improve both dimension reduction and forecasting results when compared with various existing methods.

PENGARUH INDEKS BURSA GLOBAL DAN VARIABEL MAKRO EKONOMI TERHADAP INDEKS HARGA SAHAM GABUNGAN (IHSG) PRIODE 2018-2020

This study aims to determine the effect of the Dow Jones Index, Nikkei 225, Hang Seng, Inflation and Exchange Rates on the Composite Stock Price Index (CSPI). This research includes quantitative research with secondary data types in the form of time series with a sample of 32 months, namely January 2018 to August 2020. The data analysis technique uses multiple linear regression analysis techniques. Based on the results of the study it can be explained that partially the Dow Jones Index, Nikkei 225 and Hang Seng have a significant positive effect on the Composite Stock Price Index (IHSG) for the 2018-2020 period. While inflation and the exchange rate did not have a positive effect on the 2018-2020 Composite Stock Price Index (CSPI). The simultaneous Dow Jones Index, Nikkei 225, Hang Seng, Inflation and Exchange rates have a positive significant effect on the Composite Stock Price Index (IHSG) for the period of 2018-2020. From the results of the analysis of the coefficient of determination of the Dow Jones Index, Nikkei 225, Hang Seng, Inflation and Exchange rates can affect the Composite Stock Price Index (CSPI) of 80%.