The Indonesia Stock Exchange and Its Dynamics: An Analysis of the Effect of Macroeconomic Variables

Robiyanto, Robiyanto; Santoso, M.Soc.Sc Bagus; Atahau, Apriani Dorkas Rambu; Harijono, Harijono

doi:10.14254/1800-5845/2019.15-4.5

Cited by 22 publications

(41 citation statements)

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“…This phenomenon led to the decrease of investors" interest in funding the companies. Thus, the companies" stock price will drop and eventually affect the JCI movement (Robiyanto et al, 2019). In addition, as the foreign investors saw that Indonesia was in an economy crisis during the pandemic, many of them start to withdraw their investment money which cause the drop of stock market inflow and thus, JCI volatility is inescapable.…”

Section: Discussionmentioning

confidence: 99%

“…The exchange rate"s impact on stock market can be positive or negative. According to Robiyanto et al (2019), the devaluation of country"s currency can be a positive impact for the export countries since it can improve the export competitiveness and thus make the stock market of a country becomes attractive. And yet, if the exporters have debt in dollars or import its raw materials, they have to pay more money due to currency depreciation and make the profit decrease which causes a negative impact towards the stock price, this explanation is also approved by Wahyudi et al (2017).…”

Section: Exchange Ratementioning

confidence: 99%

“…Financial turmoil that is experienced by a country, in this case Indonesia, will depreciate the domestic currency. The depreciation of IDR also portrays the bad condition of Indonesia"s economy, which makes the stock market to be at risk (Robiyanto et al, 2019). Therefore, this condition will influence foreign investors to withdraw their investment, causing shrinkage of stock market capital inflow which leads to the stock market volatility (Pantas et al, 2019).…”

Section: Exchange Ratementioning

confidence: 99%

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Determinant of Indonesian Stock Market’s Volatility During the Covid-19 Pandemic

Nugroho

Robiyanto²

2021

J. Keuang. dan Perbank.

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Section: Discussionmentioning

confidence: 99%

Section: Exchange Ratementioning

confidence: 99%

Section: Exchange Ratementioning

confidence: 99%

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Determinant of Indonesian Stock Market’s Volatility During the Covid-19 Pandemic

Nugroho

Robiyanto²

2021

J. Keuang. dan Perbank.

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“…The exchange rate is one of the macroeconomic factors that can affect stock returns. The reason is that the depreciation of the domestic currency on foreign currencies will increase the amount of Rupiah which is used to pay the foreign debt and it will also increase the price of imported raw materials (Robiyanto et al, 2019). Further, it will affect the reduction of the company's stock price and stock returns.…”

Section: Hypotheses Developmentmentioning

confidence: 99%

The correlation of gold, exchange rate, and stock market on Covid-19 pandemic period

Syahri

Robiyanto

2020

Jurnal Keuangan Dan Perbankan

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This study aims to analyze the correlation of gold, exchange rate, and CSPI on COVID-19 pandemic periods by testing the effect of gold exchange prices and exchange rate on CSPI and stock volatility. Also, by considering the dynamic correlation of dynamic correlations between CSPI with gold and CSPI with exchange rates. The data was collected from secondary data in the form of JCI daily data, gold prices, and exchange rate during the COVID-19 pandemic period from January 2020 to June 2020. Further, the data was analyzed by using a GARCH method to examine the effect of changes in gold and USD prices for CSPI and stock volatility. Hence, DCC-GARCH method was used to see the dynamic correlation between CSPI with gold and IHSG with exchange rate. The result showed that changes of gold prices has significant effect of on stock price volatility, the presence of a positive dynamic correlation between CSPI and gold, and a negative dynamic correlation between CSPI and exchange rates. This research can be used as a reference for investors for their investments by looking at the relationship between the CSPI, gold, and the exchange rate.

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“…The financial economics literature has extensively examined the effect of macroeconomic variables on returns volatility and reported valuable findings. This issue has been observed in many economies, for instance, Finland (Liljeblom and Stenius 1997), the UK (Morelli 2002), Ghana (Adjasi 2009), Nigeria (Oseni and Nwosa 2011), Malaysia (Zakaria and Shamsuddin 2012), the US and 61 other economies (Georgiadis 2016), India (Haokip 2018), and Indonesia (Robiyanto et al 2019), with various methods and observation periods. However, the literature has not provided evidence on the effect of national macroeconomic instability on volatility transferred from the global to a domestic Islamic market.…”

Section: Introductionmentioning

confidence: 99%

Do Instabilities in National Macroeconomic Factors Contribute to Channeling Volatility Spillover from the Global to the Islamic Equity Market?

Muharam

Najmudin

Mawardi

et al. 2021

CER

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This study investigates the impact of macroeconomic instabilities on returns volatility spillover that is transmitted from the global to the Islamic equity market. The economic factors examined are the exchange rate, inflation rate, interest rate, and production growth. To achieve the purpose of the study, we utilize three analysis tools: a GARCH(p,q) model to derive values of volatility for all variables; an asymmetry dynamic conditional correlation (ADCC) model to produce a measure of volatility spillover as the dependent variable; and a panel data regression technique to assess the causality significance of macroeconomic factors to volatility spillover. This study is the first which expands such approaches. We observe monthly data of world and Islamic market indices, exchange rates, consumer price indices, interest rates, and industrial production indices. The data, which range from May 2002 to February 2019, are taken from the world market, and twenty-three economies, which consist of fourteen developed and nine emerging markets that have Islamic stock indices. In several sections, we provide important additional analysis for five stock markets in Central European economies, which are compared to the others. The finding suggests that the presence of volatility spillover on the Islamic markets that originates from the global market is affected by the internal instabilities of macroeconomic factors, except for industrial production instability for developed markets, including Central European markets. An implication of the study is that regulators should anticipate and prevent adverse consequences of volatility spillover by arranging their internal economic policy to control inflation rates, interest rates, and industrial production growth, as well as exchange rate flexibility. Moreover, market practitioners should include both global market volatility and macroeconomic instabilities in their prediction to create minimum risk.

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The Indonesia Stock Exchange and Its Dynamics: An Analysis of the Effect of Macroeconomic Variables

Cited by 22 publications

References 0 publications

Determinant of Indonesian Stock Market’s Volatility During the Covid-19 Pandemic

Determinant of Indonesian Stock Market’s Volatility During the Covid-19 Pandemic

The correlation of gold, exchange rate, and stock market on Covid-19 pandemic period

Do Instabilities in National Macroeconomic Factors Contribute to Channeling Volatility Spillover from the Global to the Islamic Equity Market?

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