EFFECT OF MACROECONOMIC INDICATORS ON STOCK PRICE INDICES WITH THE VECTOR ERROR CORRECTION MODEL APPROACH

Julia, Safitri and Heffi, Christya Rahayu and Jayadi, Jayadi and Yuli, Triastuti and Yoyo, Indah Gunawan and Anik, Ariyanti (2023) EFFECT OF MACROECONOMIC INDICATORS ON STOCK PRICE INDICES WITH THE VECTOR ERROR CORRECTION MODEL APPROACH. EFFECT OF MACROECONOMIC INDICATORS ON STOCK PRICE INDICES WITH THE VECTOR ERROR CORRECTION MODEL APPROACH, 4 (4). pp. 288-294. ISSN 2708-4965

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Abstract

The capital market as one of the important instruments in the economy requires indicators to determine growth in it. The Composite Stock Price Index (IHSG) is used as one of the capital market indicators with various influencing factors. This research was conducted to test and analyze the effect of inflation, exchange rate, the Bank Indonesia (BI) rate, and money supply (M2) on the Jakarta Composite Index (JCI) in the period from January 2017 to March 2022. In this study, quantitative descriptive research was carried out with JCI as the dependent variable and inflation, exchange rate, BI-rate, and money supply as independent variables. The research used the vector autoregression (VAR) method using the EViews 12 analysis tool. From the tests conducted it showed that between variables only had a one-way relationship, with the R-squared value indicating that the independent variables in the model were able to explain changes in the dependent variable that occurred. The variables in the model are also indicated to have a simultaneous effect on the dependent variable; this is based on a high F-statistic value.

Item Type:	Article
Subjects:	Dewey decimal Classification Subject Areas > 300 Ilmu Sosial Dewey decimal Classification Subject Areas > 300 Ilmu Sosial Dewey decimal Classification Subject Areas > 300 Ilmu Sosial > 330 - 339 Ilmu Ekonomi Dewey decimal Classification Subject Areas > 300 Ilmu Sosial > 330 - 339 Ilmu Ekonomi
Divisions:	Fakultas Ekonomi > Program Studi Manajemen
Depositing User:	Dr. Heffi Christya Rahayu, SE., M.Si.
Date Deposited:	19 Feb 2024 07:34
Last Modified:	19 Feb 2024 07:34
URI:	http://repository.upp.ac.id/id/eprint/2539

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