Abstract
The purpose of this paper is to examine the effect of macroeconom-ic variables (interest rates, inflation and exchange rates) and global stock exchanges (STI, SSE, N225, DJIA, FTSE100) on the movement of the Indonesian stock exchange (IHSG). The research data analy-sis method uses the GARCH model for time series data for the peri-od January 2012 to December 2018. The results show that the BI-rate, Inflation, Exchange Rate, Straits Times Index (STI), Shanghai Stock Exhange (SSE), Shanghai Stock Exhange (SSE), Nikkei 225 (N225)), Dow Jones Industrial Average (DJIA) and Financial Times Stock Exchange 100 (FTSE100) together have a significant effect on the IHSG. Partially shows the BI-rate, Inflation, and SSE have a sig-nificant negative influence, negative N225 is not significant, while the Exchange, STI, DJIA has a significant positive effect and FTSE100 has a non-significant positive effect on the IHSG.
Highlights
The phenomenon that occurs lately is that the movement of the Indonesian stock price index which is proxied by the Composite Stock Price Index (IHSG) is related to two groups of influential factors namely; global stock exchanges and macroeconomic indicators
The purpose of this paper is to examine the effect of macroeconomic variables and global stock exchanges (STI, Shanghai Stock Exhange Index (SSE), Nikkei 225 Index (N225), Dow Jones Industrial Average Index (DJIA), Financial Times Stock Exchange 100 (FTSE100)) on the movement of the Indonesian stock exchange (IHSG)
The results show that the BIrate, Inflation, Exchange Rate, Straits Times Index (STI), Shanghai Stock Exhange (SSE), Shanghai Stock Exhange (SSE), Nikkei 225 (N225)), Dow Jones Industrial Average (DJIA) and Financial Times Stock Exchange 100 (FTSE100) together have a significant effect on the IHSG
Summary
The phenomenon that occurs lately is that the movement of the Indonesian stock price index which is proxied by the Composite Stock Price Index (IHSG) is related to two groups of influential factors namely; global stock exchanges and macroeconomic indicators. Some world and regional stock exchanges that are considered to represent global stock movements include; Singapore Straits Times Index (STI), China Shanghai Stock Exhange Index (SSE), Japan Nikkei 225 Index (N225), United States Dow Jones Industrial Average Index (DJIA) and British Financial Times Stock Exchange 100 (FTSE100) Index. These five indices are considered capable of representing global stock indices in Asia, the United States and Europe and are able to represent the strength of the world economy that can influence the Indonesian stock market. This condition shows that global stock exchanges are integrated with each other
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