Abstract
The objective of this study is to find out how macroeconomic factors such as exchange rate changes, BI rate and inflation rate can affect the financial sector stock price index in IDX from 2011 until 2017. Generalize Autoregressive Conditional Heteroscedasticity (GARCH) is used as the analysis method in this research to find the fittest model. The results are, only exchange rate change that has significant effect to financial sector stock price index. Inflation and BI rate have no significant effect to financial sector stock price index.
Highlights
Nowdays, stock market is one of main choices to invest for the society besides tangible assets such as land and property
The objective in this study is to find out the effectof exchange rate’s change, BI rate and inflation rate to financial sector stock price index in Indonesia Stock Exchange (IDX)
Root unit with Augmented Dickey Fuller Test must be done first. This Generalize Autoregressive Conditional Heteroscedasticity (GARCH) model has advantages in solving residual heterocedasticity so it can be used as a good estimator (Robiyanto, Wahyudi, & Pangestuti, 2017). This method is better in looking for influence of BI rate, inflation and exchange rate to return of financial sector stock price index
Summary
Stock market is one of main choices to invest for the society besides tangible assets such as land and property. Indonesian stock market runs economic function and financial function, where funds are allocated efficiently and the possibility of return gained as the choice of investment. One of the information needed is stock price index, that can be accessed from newspaper or even electronic media that is updated everyday as guideline to invest in stock market. Stock price index is often being used to help people to get into stock market, such as government, investors, or academics. This index is found to evaluate the portfolio’s performance by managers or financial advisors (Robiyanto, 2017b)
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