Abstract
This paper tries to examine the impact of Asia crisis on Indonesian stock market and exchange rate. Despite Engle-Granger procedure and Johansen Criterion, error correction model (ECM) of the two variables are employed to simultaneously estimate the short run and the long run dynamics of the variables. Using monthly data covering the January 1995 to December 2006, empirical results showed that there is a cointegration between variables in the crises period but no cointegration before crises period. The result of ECM estimation proves there is a positive effect on the exchange rate when the Indonesian stock price increased and Thailand exchange rate appreciated. It is because the foreign investors enter the domestic stock market. In the crises period, we can prove that the depreciation of domestic currency and Thailand currency have a positive effect on the stock price in the long run. On the other hand, it is evident that there is a stable parameter of analysis.Keywords : Exchange Rate, Stock Price, Interest Rate, Error Correction Model
Highlights
This paper tries to examine the impact of Asia crisis on Indonesian stock market and exchange rate
that there is a cointegration between variables in the crises period
there is a positive effect on the exchange rate when the Indonesian stock price increased
Summary
Tidak dapat Tdipduankgkdirai pbatahdwiapuknrigsiksirAisia byaahnwg atelakhrismisenAyesbiar ykeanbgerbtealgaahi nmegeanryaeibnai rmeknegakibatkan peranan ini dapat pdaiabskaeirrbbamatkogadanai loynleaehnggapremanegraiunrpuiahkmagneejnolgaaalktkenrinbilaaaittikftuapkneamr pbyeiaarnyaganataennrjdaudpniaimasaauruspamuhnaodtmeareljandgyianalyanamgiinptmeegneruraursupinapakanas.naPremnuorduanladni. Dari hasil estimasi yang menggunakan data keseluruhan baik masa sebelum krisis dan setelah krisis, ditunjukkan bahwa terbukti adanya satu persamaan kointegrasi, yaitu besarnya kurs rupiah terhadap dolar sebagai variabel dependen dengan variabel kinerja pasar modal Indonesia (indeks harga saham Indonesia), indeks harga pasar modal Thailand dan nilai tukar Bath Thailand terhadap dolar Amerika sebagai variabel independen. Ini menunjukkan bahwa dalam jangka panjang nilai tukar rupiah terhadap dolar Amerika dipengaruhi oleh besarnya ketiga variabel tersebut yaitu kinerja pasar modal Indonesia (indeks harga saham Indonesia), indeks harga pasar modal Thailand dan nilai tukar Bath Thailand terhadap dolar Amerika. Di samping itu variabel kinerja pasar modal (indeks harga saham Indonesia) dalam jangka panjang tidak terbukti dipengaruhi oleh besarnya fluktuasi nilai tukar rupiah maupun nilai tukar bath terhadap dolar Amerika dan besarnya indeks saham Thailand
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