The Factors Affecting the Composite Stock Price Index (CSPI) of Indonesia Stock Exchange

Nano Prawoto, Bagus Ardyan Putra

Abstract


The study examines the influence of The Fed Rate, inflation, Dow Jones Index (DJI), exchange rate, and world oil price on the composite stock price index (CSPI) in Indonesia. The method used in this study was the Vector Error Correction Model (VECM). The research showed that the influence of inflation towards the composite stock price index was negative both in the short term and long term. The influence of the exchange rate towards the composite stock price index was positive both short term and long term. The impact of oil price towards composite stock price index was positive in the short term and long term. However, both the Dow Jones Index (DJI) and The Fed Rate had a negative effect on the composite stock price index. The results of this analysis can be used as a reference for investor and government policymaking

Keywords


The Fed rate; Inflation; Stock price index; Exchange rate; World oil price

Full Text:

PDF

References


Basuki, A. T & Yuliadi, I. (2015). Ekonometrika Teori & Aplikasi. Yogyakarta: Mitra Pustaka Nurani.

Basuki, A. T & Prawoto, N (2016). Analisis Regresi dalam Penelitian Ekonomi & Bisnis. Jakarta: PT. RajaGrafindo Persada

Bhuiyan, M, E., & Chowdhury, M. (2019). Macroeconomic variables and stock market indices: Asymmetric dynamics in the US and Canada. Quarterly Review of Economics and Finance, 1-37. https://doi.org/10.1016/j.qref.2019.10.005

Campbell, J. Y., & Ammer, J. (1993). What moves the stock and bond markets? A variance decomposition for long-term asset returns. Journal of Finance, XLVIII, 3-37. https://doi.org/10.1111/j.1540-6261.1993.tb04700.x

Campbell, J. Y., & Shiller, R.J. (1988). The dividend-price ratio and expectations of future dividends and discount factors. Review of Financial Studies, 1(3), 195-228. https://doi.org/10.1093/rfs/1.3.195

Engle, R.F., & Granger, C.W.J. (1987). Cointegration and error correction: representation, estimation, and testing. Econometrica, 55(2), 251-276. https://doi.org/10.2307/1913236

Fama, E. F. (1970). Efficient Market: A Review of Theory and Empirical Work. Journal of Finance, 25(2) 383-417. https://doi.org/10.2307/2325486

Gom, H. G. (2015). Analisis Pengaruh the Fed Rate, Indeks Dow Jones Dan Indeks Nikkei225 Terhadap Indeks Harga Saham Gabungan (IHSG) di Bursa Efek Indonesia (BEI) Periode 2008-2013. Jurnal Ekonomi dan Keuangan, 1(8). Received from https://media.neliti.com/media/publications/14754-ID-analisis-pengaruh-the-fed-rate-indeks-dow-jones-dan-indeks-nikkei225-terhadap-in.pdf

Handiani, S. (2014). Pengaruh Harga Emas Dunia, Harga Minyak Dunia dan Nilai Tukar Dolar Amerika/Rupiah Terhadap Indeks Harga Saham Gabungan Pada Periode 2008-2013. E-Journal Graduate Unpar, 1(1), 85-93. Received from http://journal.unpar.ac.id/index.php/unpargraduate/article/view/552

Humpe, A., & Macmillan, P. (2009). Can macroeconomic variables explain long-term stock market movements? A comparison of the US and Japan. Applied Financial Economics, 19(2), 111 - 119. https://doi.org/10.1080/09603100701748956

Kilian, L., & Park, C. (2009). The impact of oil price shocks on the US stock market. International Economic Review, 50(4), 1267-1287. https://doi.org/10.1111/j.1468-2354.2009.00568.x

Markowitz, H. (1952). Portfolio Selection. The Journal of American Finance, 7(1), 77-91. https://doi.org/10.1111/j.1540-6261.1952.tb01525.x

Mohammad, G., & Ullah, W. (2017). Effect of Macroeconomic Variables on Stock Market Performance of SAARC Countries. Asian Economic and Financial Review, 7(8), 770-779. https://doi.org/10.18488/journal.aefr.2017.78.770.779

Nasseh, A., & Strauss, J. (2000). Stock prices and domestic and international macroeconomic activity: a Cointegration approach. Quarterly Review of Economics and Finance, 40(2), 229-245. https://doi.org/10.1016/s1062-9769(99)00054-x

Ratanapakorn, O., & Sharma, S. C. (2007). Dynamic analysis between the US stock returns and the macroeconomic variables. Applied Financial Economics, 17(5), 369-377. https://doi.org/10.1080/09603100600638944

Ross, S, A. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13, 341 - 360. https://doi.org/10.1016/0022-0531(76)90046-6

Samsul, M. (2015). Pasar Modal & Manajemen Portfolio. Jakarta: Erlangga.

Stock, J, H., & Watson, M, W. (2001). Vector Autoregression. Journal of Economic Perspectives, 15(4), 101 -116. https://doi.org/10.1257/jep.15.4.101

Witjaksono, A. A. (2010). Analisis Pengaruh Tingkat Suku Bunga SBI, Harga Minyak Dunia, Harga Emas Dunia, Kurs Rupiah, Indeks Nikkei 225, dan Indeks Dow Jones terhadap IHSG (Studi kasus pada IHSG di BEI selama periode 2000-2009). Doctoral dissertation, Universitas Diponegoro. Received from http://eprints.undip.ac.id/24025/




DOI: https://doi.org/10.18196/jesp.21.1.5032

Article Metrics

Abstract view : 5 times
PDF - 3 times

Refbacks

  • There are currently no refbacks.


Creative Commons License
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.


 

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
WA: +628112638191
Email: jesp@umy.ac.id


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