Analysis Factors Affecting Indonesia Stock Market (Case Studies on Consumer Goods Index)

Abstract

This study aims to examine the effect of exchange rate and inflation on the stock market. The exchange rate used is the Rupiah against the US Dollar and the Consumer Price Index as a measure of inflation. While the sector used as a stock market case study is the Consumer Goods Index Sector. The study period during 2010–2017. The method used multiple linear regression with R software. The classic assumption test results show the existence of autocorrelation problems, but can be correcting by the Cochrane-Orcutt method on Eviews after 8 model iterations. The results of multiple linear regression tests showed that the exchange rate has a significant negative effect, while inflation has no significant effect on the Consumer Goods Index.

The Volatility of Stock Market in Indonesia During Covid-19 Crisis : Evidence from Consumer Goods Industry

“…Several previous studies have analyzed the performance of consumer goods stocks or stock volatility during economic crises. Sumantri (2020) examined the factors that affected the value of the consumer goods sector stock index, however, it does not include the crisis period as a crucial moment. Dang and Nguyen (2020) also analyzed stock performance during the 2008 global financial crisis, however, this study merely uses data per company without looking at value volatility on a sectoral scale.…”