The Impact of the Global Stock Market and the Foreign Exchange Market on Domestic Financial Market

Murti, Wahyu

doi:10.35808/ersj/877

Cited by 2 publications

(1 citation statement)

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“…Sistem tukar seperti ini akan menimbulkan potensi terjadinya fluktuasi nilai tukar yang berdampak pada situasi yang tidak pasti (Faizin, 2020). Oktavia (2007) menemukan hubungan positif yang terjadi antara variabel kurs terhadap indeks harga saham gabungan (IHSG) sejalan dengan penelitian Murti (2017) dan Juliodinata et al (2019) mengungkapkan bahwa nilai tukar (kurs) menunjukkan pengaruh signifikan terhadap indeks harga saham gabungan (IHSG). Penelitian lain serupa oleh Wikayanti et al (2020) mengungkapkan kurs USD memiliki pengaruh positif terhadap perubahan indeks harga saham gabungan (IHSG).…”

Section: Inflasiunclassified

Application of Vector Error Correction Model on Macroeconomic Variables toward Changes in the Composite Stock Price Index

Pratiwi

Wardhana

Rusgianto

2022

daengku j. hum. soc. sci. innov.

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Macroeconomic variables are still interesting to study because some studies still find inconsistent results and dependence on the dynamics of the capital market and international financial markets, especially when there is turmoil in the domestic and international stock markets. This study aims to analyze the causality and cointegration relationship of macroeconomic variables, namely: interest rates (BI Rate), inflation and exchange rates to changes in the composite stock price index (CSPI) using the Vector Error Correction Model (VECM) method with the analysis tool Eviews 10 using secondary time series data based on the period 1990 to 2021. Exogenous variables tested include the BI rate, Inflation and the Logarithm of the Natural Exchange Rate (LnKurs) while the endogenous variables are the Natural Logarithm of the Composite Stock Price Index (LnIHSG). The results showed that the cointegration test results with Johansen's Cointegration Test found that the movement of the LnIHSG, BI Rate, Inflation and Exchange Rates had a relationship of stability/balance and the similarity of movements in the long term. In the causality test with Granger's Causality Test, there is a unidirectional causality relationship between the BI Rate variable and the LnIHSG variable, while there is a two-way causality between the Foreign Exchange variable and the BI Rate variable and vice versa, as well as a two-way causality relationship between the Exchange Rate variable and the Inflation variable, and vice versa.

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Section: Inflasiunclassified

Application of Vector Error Correction Model on Macroeconomic Variables toward Changes in the Composite Stock Price Index

Pratiwi

Wardhana

Rusgianto

2022

daengku j. hum. soc. sci. innov.

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The nonlinear and negative tail dependence and risk spillovers between foreign exchange and stock markets in emerging economies

Tian

Khoury

Alshater

2023

Journal of International Financial Markets, Institutions and Mo

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The Impact of the Global Stock Market and the Foreign Exchange Market on Domestic Financial Market

Abstract: The flow of foreign capital into the stock market becomes the source of the IDR (Indonesia Rupiah) movement from within the country, the increase of JCI will attract the entry of foreign capital into Indonesia, thus boosting demand for domestic currency.

Cited by 2 publications

References 6 publications

Application of Vector Error Correction Model on Macroeconomic Variables toward Changes in the Composite Stock Price Index

Application of Vector Error Correction Model on Macroeconomic Variables toward Changes in the Composite Stock Price Index

The nonlinear and negative tail dependence and risk spillovers between foreign exchange and stock markets in emerging economies

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