Abstract
This study investigates the price movement characteristics of banking issuers listed on the Indonesia Stock Exchange with macroeconomic indicators as an exogenous variable. By using the k-means clu...
Highlights
Hardouvelis (1987) analyzed the response of financial stock prices on the New York Stock Exchange to macroeconomic information
This study shows that the price of bank issuers in the middle cluster is more reactive in responding to changes in the interest rate and exchange rate—the upper cluster dealing with the highest inflation variable
Similar research by Paul and Mallik (2003) took the object of financial and banking stocks on the Australian Stock Exchange for the period 1980–1999; this study found that banking and financial stocks are cointegrated with macroeconomic variables, GDP, inflation, and interest rates
Summary
Hardouvelis (1987) analyzed the response of financial stock prices on the New York Stock Exchange to macroeconomic information. Other studies show that only the GDP has a significant effect on the stock price index of the plantation sector, and variables such as interest rates, inflation rates, and the Rupiah exchange rate against the Dollar do not have a significant effect on the stock price index of the plantation sector (Safitri & Kumar, 2014). One of the studies in the Indonesian banking issuers through the monthly price index for the period 2010–2015 show that inflation and exchange rates positively affect the stock price index while interest rates negatively affect it. The partial research on Indonesia’s banking share prices with large capitaliza tion for the 2016–2018 period using the dynamic panel data regression found that gross domestic product and appreciation of the domestic currency against the US Dollar significantly positively affected the banking share price.
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