KETERKAITAN ANTARA NILAI TUKAR, TINGKAT SUKU BUNGA DAN INDEKS HARGA SAHAM DI INDONESIA

Rini Setyastuti

Abstract


Abstract: This study examine the relation between exchange rate, interest rate, and stock price. Vector Autoregression (VAR) is employed to simultaneously estimate the dynamic relationship of the variables. Using monthly data covering the August 1997– May 2012 period, empirical results showed that there is no causal relation between variables in the all of period. There is only one way relation between interest rate and exchange rate in the crises period. There is a positive effect on the exchange rate when the interest rate increased.


Abstrak: Penelitian ini menguji hubungan antara nilai tukar, suku bunga, dan harga saham. Vector Autoregression (VAR) digunakan untuk secara bersamaan memperkirakan hubungan dinamis dari variabel. Penelitian ini menggunakan data bulanan yang mencakup periode Agustus 1997 hingga Mei 2012. Hasil empiris menunjukkan bahwa ada hubungan kausal antarvariabel dalam semua periode. Hanya ada satu cara hubungan antara tingkat bunga dan nilai tukar pada periode krisis. Ada efek positif pada nilai tukar saat suku bunga meningkat.

 


Keywords


exchange rate; stock price; interest rate; Vector Autoregression

Full Text:

PDF

References


Adam, Anokye Mohammed and George Tweneboah. (2009). Do macroeconomic variables play any role in the stock market move¬ment in Ghana?. Working Paper Series, University of Cape Coast, diakses dari www.ssrn.com

Ajayi,Ricard, A. and Mboja Mougoue. (1996). On the dinamyc relation between stocks prices and exchange rate. Journal of Financial Research, Vol XIX, No. 2, pages 193-207, Summer 1996.

Bank Indonesia. (tt). Statistik ekonomi dan keuang¬an Indonesia, berbagai edisi.

Bank Indonesia. (tt). Laporan tahunan Bank Indo¬nesia, berbagai edisi.

Enders, W. (2004). Applied econometric time series, 2ndEdition. New York: John Wiley & Sons, Inc.

Gujarati, D.N., and Porter, D.C. (2009). Basic eco¬nometrics, 5th Edition. Singapore: McGraw Hill International Edition.

Gupta, J.P., Allain Chevalier dan Fran Sayekt. (1999). The causality between interest rate, exchange rate and stock price in emerging markets: The case of the Jakar¬ta stock ex¬change, diakses dari www.ssrn.com

Hondroyiannis and Papapetroo. (2001). Macro¬economic influences on the stock mar¬ket.Journal of Economics and Finance, 25, pp. 33-49.

Ho, Catherine, S.F. (2009). Domestic macroeco¬nomic fundamentals and world stock mar¬ket effects on ASEAN emerging market, Paper, 22nd Australian Finance and banking Conference. diakses dari www.ssrn.com

Ma C.K, and G.W. Kao. (1990). On exchang rate changes and stock price reaction. Jour¬nal of Business Finance and Accounting 17, hlm.441-49.

Maysami, Ramin Cooper and Tiong Sim Koh. (2000). A vector error correction model of the Singapore stock market.Interna¬tional Review of Economic and Finance, 9(2000) 79-96.

Mukherjee, T and A Naka. (1995). Dynamic linkage between macroeconomic varia¬blesand the Japanese stock market: An application variables of a vector error correction model. Journal of Financial Research 18. 223-237.

Simpson, John and John Evans. (2003). Banking stock returns and their relationship to interest rates and exchange rates: Aus¬tralian evidence. Working Paper Series, Curtin University of Technology.diakses dari www.ssrn.com.

Singh, Saurabh and V.P.S. Arora. (2009). Inte¬rest rate and stock movement in three major Asian Countries-India, China, and Japan. Working Paper, diakses dari www.ssrn. com

Stock, J. H., and Watson, M.W. (2007). Intro¬duction to econometrics, 2nd Edition, Singa¬pore: Person Addison Wesley, Pearson International Edition.

Viceira, Luis, M. (2007). Bond risk, bond return volatility, and the term structure of interest rate. HBS Finance Working Paper No. 07-082, diakses dari www.ssrn.com

Wibowo, Y. Santosa dan Gunawan. (1998). Dampak disintermediasi kegiatan bank terhadap efektivitas kebijakan moneter. Buletin ekonomi moneter dan perbankan, Juli 1998 hlm 123-140.


Refbacks

  • There are currently no refbacks.


Copyright (c) 2016 Jurnal Ekonomi & Studi Pembangunan



 

Office:
Redaksi JESP UMY, Gedung E2 Lantai 2, Fakultas Ekonomi dan Bisnis, Universitas Muhammadiyah Yogyakarta
Jalan Brawijaya, Tamantirto, Kasihan, Bantul, Daerah Istimewa Yogyakarta 55183
Telp: (0274) 387656 ext.184
Fax: (0274) 387646
Email: jesp@umy.ac.id


Jurnal Ekonomi & Studi Pembangunan (JESP) is licensed under Creative Commons Attribution-ShareAlike 4.0 International.