HTML Download fulltext
Mukhlis, I., Simanjuntak, T. H., & Prasetyo, T. (2018). The Analysis of the Bank Interest Influence and Exchange Rate Towards Composite Stock Price Index in Indonesia Using Vector Error Correction Model Approach. KnE Social Sciences, 3(3), 127–139. https://doi.org/10.18502/kss.v3i3.1879

https://doi.org/10.18502/kss.v3i3.1879

statistics

  • 679 Abstract Views
  • 0 HTML Views
  • 368 PDF Views

authors

  • I Mukhlis
    No author data available.
  • T H Simanjuntak
    No author data available.
  • T Prasetyo
    No author data available.

Published Date

  • Apr 23, 2018

The Analysis of the Bank Interest Influence and Exchange Rate Towards Composite Stock Price Index in Indonesia Using Vector Error Correction Model Approach

KnE Social Sciences / The First International Research Conference on Economics and Business (IRCEB) / Pages 127–139

Abstract

This study aims to analyze the influence of bank interest and exchange rate towards composite stock price index in Indonesia under the period of January 2010-December 2016. The method applied is Vector Error Correction Model (VECM). The findings show that this method aces to show the pace of adjusting balance from the short period up to long period towards stock price index variable. The gap between bank interest level and the exchange rate has the low impact towards composite stock price index. For a longer period, the exchange rate would bring negative impact to composite stock price in Indonesia. Meanwhile, in a short period, it would not affect exchange rate and bank interest rate towards stock price index in Indonesia.


 


Keywords: Stock Price, Exchange Rate, Vector Error Correction Model, Bank Interest Rate

References
[1] Ali, I., Rehman, K. U., et al.,2010. Causal Relationship between Macro-Economic Indicators and Stock Exchange Prices in Pakistan, African Journal of Business Management, 4(3), 312-319.


[2] Corradi, Valentina, Walter Distaso, Antonio Mele, 2013. Macroeconomic Determinants of Stock Volatility and Volatility Premiums, Journal of Monetary Economics 60, 203–220


[3] Engle, R.F., Rangel, J.G., 2008. The Spline GARCH Model for Low Frequency Volatility and Its Macroeconomic Causes, Review of Financial Studies 21, 1187–1222


[4] Kennedy, K and F. Nourizad, 2016. Exchange Rate Volatility and Its Effect on Stock Market Volatility, Int. J. Hum. Cap. Urban Manage, 1(1),37-46


[5] Lim, S.Y.; Sek, S.K., 2014. Exploring the inter-relationship between the volatilities of exchange rate and stock return. Procedia Econom. Financ., 14: 367–376


[6] Nikmanesh, Lida dan Abu Hassan Shaari Mohd Nor, 2016. Macroeconomic Determinants Of Stock Market Volatility: An Empirical Study Of Malaysia And Indonesia, Asian Academy of Management Journal, Vol. 21, No. 1, 161–180


[7] Patel, Samteg, 2012. The effect of Macroeconomic Determinants on the Performance of the Indian Stock Market, NMIMS Management Review, Volume XXII August, 117-127


[8] Rahman, Aisyah Abdul, Noor Zahirah Mohd Sidek and Fauziah Hanim Tafri, 2009. Macroeconomic Determinants of Malaysian stock market, African Journal of Business Management Vol.3 (3), March,095-106


[9] Sadorsky,Perry,2013.The Macroeconomic Determinants of Technology Stock Price Volatility, Review of Financial Economics, Volume 12, Issue 2, 191-205


[10] Walid, C., Chaker, A., Masood, O., and Fry, F. (2011). Stock Market Volatility and Exchange Rates in Emerging Countries: A Markov-State Wwitching Approach, Emerging Markets Review, 12(3), 272–292


[11] Yang, X. & Wang, Y.,2007. Bivariate Causality between RMB Exchange Rate and Stock Price in China. 784- 788. Retrieved from http://www.seiofbluemountain. com/upload/product/200910/2008glhy09a6.pdf