Pengaruh Variabel Ekonomi Makro Terhadap Indeks Keuangan Indonesia Periode 2010-2014
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Institusion
STIE Indonesia Banking School
Author
Irawan, Fikri
Subject
HD28 Management. Industrial Management
Datestamp
2024-07-16 07:31:50
Abstract :
The relationship between macroeconomic variables and stock market returns is, by now, well-documented in the literature. However, a void in theliterature relates to examining the cointegration between macroeconomic variables and stock market?s sector indices rather than the composite index. Thus in this paper we examine theequilibrium relationships between selected macroeconomic variables and the IndonesiaExchange Sector index?the finance index. The study concludes that the financeindex form cointegrating relationship with changes in the interest rates, inflation, exchange rate and money supply. Implications of the study and suggestions for future research are provided. Keywords:macroeconomic variables,stock market returns,the finance index, interest rates, inflation, exchange rate, money supply.
The relationship between macroeconomic variables and stock market returns is, by now, well-documented in the literature. However, a void in theliterature relates to examining the cointegration between macroeconomic variables and stock market?s sector indices rather than the composite index. Thus in this paper we examine theequilibrium relationships between selected macroeconomic variables and the IndonesiaExchange Sector index?the finance index. The study concludes that the financeindex form cointegrating relationship with changes in the interest rates, inflation, exchange rate and money supply. Implications of the study and suggestions for future research are provided. Keywords:macroeconomic variables,stock market returns,the finance index, interest rates, inflation, exchange rate, money supply.
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