Stock Price Index Research Articles

Examining the Impact of Covid-19 on Rupiah Exchange Rates and Joint Stock Price Index: A Comprehensive Analysis using Paired Sample T-Test and Vecm

This research aimed to determine the simultaneous and partial impact before and during the occurrence of COVID-19 on the movement of the rupiah exchange rates and the Joint Stock Price Index (IHSG), both in the long and short term. A descriptive quantitative approach was used while data were collected through documentation. Moreover, the analytical method used was Paired Sample t-test and Vector Error Correction Model (VECM). The results indicated there was a significant simultaneous and partial change in the impact of the rupiah exchange rates and the Jakarta Composite Index (JCI) before and during the long-term COVID-19 pandemic.

Examining the Impact of Covid-19 on Rupiah Exchange Rates and Joint Stock Price Index: A Comprehensive Analysis using Paired Sample T-Test and Vecm

Examining the Impact of Covid-19 on Rupiah Exchange Rates and Joint Stock Price Index: A Comprehensive Analysis using Paired Sample T-Test and Vecm

Pengaruh Perputaran Modal Kerja, Inflasi dan BI-7 Day Reverse Repo Rate terhadap Harga Saham pada Industri Konstruksi Yang Terdaftar Di Bursa Efek Indonesia Periode 2017-2020

The aim of this research is to analyze the influence of Working Capital Turnover, Inflation and BI-7 Day Reverse Repo Rate on Stock Prices. The author draws the hypothesis that Exchange Working Capital Turnover, Inflation and the BI-7 Day Reverse Repo Rate have a positive and significant effect on stock prices.The research methodology used is descriptive analysis method and statistical analysis method. The analytical tool used is multiple linear regression analysis. The data used is secondary data. Hypothesis testing was carried out using the F test and t test, with a significance level (α) of 5%. Data analysis used statistical data processing software, namely SPSS version 25 for Windows.This research was conducted during the 2017-2021 period. The results of the F test show that the Exchange Working Capital Turnover, Inflation and the BI-7 Day Reverse Repo Rate have a positive and significant effect on stock prices. The results of the t test (individually) show that the Working Capital Turnover variable has a positive and significant effect on stock prices. The results of the coefficient of determination in this study amounted to 0.250. This means that the Stock Price Index is influenced by the Exchange Working Capital Turnover, Inflation and the BI-7 Day Reverse Repo Rate.

Predicting Stock Markets Using Binary Logistic Regression Based on Bry-Boschan Algorithm

In the stock market, there are bullish and bearish terms that are reflected in the movement of the stock price index. One of the stock price indexes listed on the Indonesia Stock Exchange (IDX) is the IDX Composite. Stock market conditions fluctuate along with changes in stock prices that move randomly, while investors expect market conditions to be active (bullish market). Several factors influence the movement of the IDX Composite, one of which is macroeconomic factors. The purpose of this research is to find out the condition of stock market as well as predict its condition using macroeconomics indicators. The method used to determine stock market conditions (bullish or bearish) is the Bry-Boschan algorithm, while the method used to predict the stock market using macroeconomic indicators is the binary logistic regression method. The Bry-Boschan algorithm is widely used to detect peaks and troughs in business cycle analysis. Binary logistic regression is used to model data with responses that have two categories or are in the form of binary numbers. Results show that the IDX Composite experienced 42 times (month) bearish periods and 191 times (month) experienced bullish periods. The obtained model has an accuracy value of 81.55%.

Analysis of global stock index, inflation and interest rates on the Indonesia Stock Exchange joint stock price index

This study examines the influence of global stock indices and macroeconomic conditions in Indonesia on the Jakarta Composite Index (JCI). The global stock indices analyzed in this study are the Dow Jones Industrial Average (DJIA), Nikkei 225 (N225), Shanghai Stock Exchange Composite (SSE), Strait Singapore index. The macroeconomic indicators that analyzed in this study are the inflation rate, the US dollar exchange rate against the Indonesian rupiah, and the BI rate. This study was conducted using secondary data. The research period was 3 years for 36 months from January 2018 to December 2020. The data used in this study are secondary data with a sample collection method using Purposive Sampling against JCI. Data analysis in this study was carried out using Microsoft Office Excel 2016, as well as hypothesis testing using panel data regression analysis with the Eviews program version 10.0 with a significance level of 5%. Research Results The results showed that in the short term, Index DJIA, Nikkei Index 225, Interest rates positively affect the movement of JCI. This suggests that an increase in the DJIA index, Nikkei 225 Index, and interest rates will result in an increase in the JCI, While Shanghai Index, STI, Inflation does not affect the JCI.

The effect of gold, dollar and Composite Stock Price Index on cryptocurrency

This paper aims to analyze cryptocurrency volatility by examining the effect of Gold, Dollar Index, and Composite Stock Price Index (IHSG) as independent variables and on Bitcoin and Ethereum as dependent variables. The cryptocurrency objects in this study are Bitcoin and Ethereum, which have the largest market capitalization. The data in this study used the period January 1, 2018, to December 31, 2021. This study used GARCH analysis. This study's results indicate that Bitcoin's volatility is influenced by the price of Bitcoin itself, gold, and the stock exchange index, and Ethereum and the stock exchange index influence Ethereum. This shows that the cryptocurrency market is inefficient as the prices are also affected by past prices.

GLUE VALUE AT RISK UNTUK MENGUKUR RISIKO PADA PORTOFOLIO OPTIMAL DENGAN METODE MULTI INDEX MODEL

Creating a portfolio is one method of reducing risk. One of the best portfolio decisions is made by Multi Index Model. Multi Index Model is a method that makes use of multiple variables that impact stock returns. Before making an investment, risk measurement must be considered. Calculation of risk on a portfolio will be more accurate if it is calculated using Glue Value at Risk, because it satisfies the property of subadditivity, which is one of the coherence properties of a risk measure that reflects the idea that risk can reduce by diversification. The stocks used in this study are 4 stocks that are members of SRI-KEHATI stock group in the period January 2017 – December 2021. The factors used are Composite Stock Price Index (JCI), and Rupiah to USD exchange rate. According to the study's findings, the best portfolio consist of four stocks: BBRI (Bank Rakyat Indonesia Tbk.) (17.82%), KLBF (Kalbe Farma Tbk.) (56.66%), UNTR (United Tractors Tbk.) (24.13%), and WIKA (Wijaya Karya Tbk.) (1.39%). The confidence levels of and , the distortion function height is and are used, the GlueVaR value for the stock portfolio is 10.476%.

ANALISIS INDEKS HARGA SAHAM GABUNGAN DAN FAKTOR PENGARUHNYA MENGGUNAKAN PEMODELAN REGRESI SEMIPARAMETRIK KERNEL DILENGKAPI GUI-R

Composite Stock Price Index (IDX) shows the movement of stock prices used by investors to determine their investment strategy. IDX movement is influenced by macroeconomic factors such as money supply and inflation, so regression analysis is used to determine the relationship between the variables. Based on the scatterplot, money supply is known as a parametric predictor variable as it has a linier line patterned scatterplot and inflation is a nonparametric predictor variable as it has a random patterned scatterplot, so semiparametric regression modelling is used for the analysis. Kernel regression was chosen to analyze the nonparametric component based on the random patterned scatterplot of inflation. This study aims to obtain the results of semiparametric kernel regression modelling analysis and to create a GUI to be applied to the analysis as a development of previous similar studies that still done based on CLI. This study uses monthly data from January 2013 to December 2020 with the proportion of in sample and out sample data distribution 87,5%:12,5%. Based on the smallest MSE value as the best model criteria, semiparametric regression model with triangle kernel function is the best model obtained with optimal bandwidth=3.24, which means the model is strong and which means that the forecasting results are very accurate. GUI has been created according to the needs of the modelling analysis implementation.

Integration Analysis of Sharia Stock Price Index in Indonesia, Malaysia, China and The United States Islamic Capital Markets

Purpose – This study aims to determine the effect of Dow Jones Islamic Word Malaysia Index (DJMY25D), Dow Jones Islamic Market China (DJICHKU) and Dow Jones Islamic Market Index (DJIMI) on Indonesian Sharia Stock Index (ISSI.JK) for the 2018-2022 period. Design/methodology/approach – The exogenous variables in this study include DJMY25D, DJICHKU and DJIMI. Meanwhile, the endogenous variable is ISSI.JK. In the DJMY25D, DJICHKU, DJIMI and ISSI.JK variables it is calculated by the percentage growth in closing prices at the beginning of the month. The population in this study is the Global Islamic Index which is part of the Dow Jones Global Index which consists of 34 countries using purposive sampling technique. In addition, Ordinary Least Square (OLS) Regression Analysis was used in the data analysis method. Findings – The results of this study indicate that simultaneously DJMY25D, DJICHKU and DJIMI have a significant effect on ISSI.JK. Partially, DJMY25D and DJICHKU have an effect on ISSI.JK but not significantly. while DJIMI has a significant effect on ISSI.JK. Research limitations/implications – his research is limited by the integration of Indonesian Islamic stocks with several Malaysian, Chinese and American Islamic stocks. There are several other countries where the Islamic stock market may be integrated with Indonesian Islamic stocks, but in this study only uses diversification of financing based on contracts and usage due to limited data and research time. Practical implications – The integration of ISSI.JK and DJIMI sharia stocks may be useful for market players and regulators to consider the DJIMI stock market in estimating market price movements and volatility of the Indonesian sharia stock market. Originality/value – This study provides new insights on the integration of Islamic stocks in Malaysia, China, America and Indonesia in 2018-2022.

Bencana Nasional Covid-19: Adakah Reaksi Pasar Modal Indonesia?

This study aims to examine the information content of the Covid-19 national disaster emergency announcement on the reaction of the Indonesian capital market. The population of this study is all public companies that list their shares on the Indonesia Stock Exchange (IDX). By using purposive sampling, a sample of 659 companies was selected. Using historical data, namely the closing price (close) of individual shares and the composite stock price index, IHSG (composite stock price index). The observation period is 71 days, each consisting of an estimation period (60 days) and a window period. using 11 days. This research shows evidence that the capital market in Indonesia has reflected inefficient conditions, especially in the 4 days around the announcement of the Covid-19 national disaster emergency in Indonesia. While the other 7 (seven) days cannot provide opportunities for investors, especially to get significant abnormal returns. These results also show evidence that the capital market in Indonesia is efficient. Future researchers can complement it by using different models or comparing between models in measuring abnormal returns. Subsequent research can also classify the impact of the Covid-19 event by comparing between sectors in the 9 sectors on the IDX. In addition, there are opportunities for future research to conduct studies of different events.

Analisis Pengaruh Inflasi, Kurs, dan Suku Bunga terhadap Indeks Harga Saham LQ45 di Indonesia

This study intends to determine whether there is an effect of inflation, exchange rates and interest rates on the LQ45 stock price index in Indonesia. This type of research is quantitative, the independent variables in this study are inflation, exchange rates, interest rates on Indonesian bank certificates. The sample collection technique in this study uses annual time series data from 2010-2019. Which means the data used is 9 years. Samples that have been obtained and collected from www.investing.com, www.idx.co.id, and the Indonesian Central Bureau of Statistics, as well as through the institutions or agencies concerned in this study. The data used in this study is a type of quantitative data. The data that has been obtained will then be analyzed using multiple linear regression analysis with the Ordinary Least Square (OLS) model. The results of this study are that inflation has an effect on the LQ45 stock price index in Indonesia in 2010-2019, Exchange rates have an effect on the LQ45 stock price index in Indonesia in 2010-2019, Indonesian interest rates have no effect on the LQ45 stock price index in Indonesia in 2010 -2019, Exchange Rate Variables, Inflation, and Interest Rates simultaneously affect the LQ45 stock price index

Analisis Contagius Effect Menggunakan Garch Model: Bukti dari Asia Tenggara

This study aims to investigate the impact of the dynamic relationship dynamics during the Covid-19 pandemic between gold prices, oil prices and stock returns in Asean-5 countries related to the contatagion effect theory with evidence using GARCH Models analysis. The types of samples in this study are saturated samples, namely Gold prices, Oil prices, Composite Stock Price Index (Indonesia) JCI, Kuala Lumpur Composite Index/KLCI (Malaysia), Straits Times Singapore (STI), Securities Exchange of Thailand Index/SETI (Thailand). ), and the Philippine Stock Exchange/PSE (Philippines), during the Covid-19 pandemic, from March 11, 2020 to October 30, 2021, totaling 430 samples. The analytical technique used in applying the GARCH model in this study uses the Eviews 10 software program, with the results for the gold dependent variable the results state that the Indonesian Composite Stock Index (IHSG), Kuala Lumpur Composite Index (KLCI), STI (Singapore), Securities Exchange Thailand Index/SETI (Thailand), and Philippine Stock Exchange/PSE (Philippines), have a consistent relationship with the price of Gold, the contingent theory of effects is proven to occur in 5 countries in the sample. As for the dependent variable oil, the results state that the price of the oil price variable is only the theory of contingent effects, which has been proven to occur in 4 countries and has not been proven to occur in the Kuala Lumpur Composite Index (KLCI) Malaysia.

Analysis Of Factors Affecting Price Movements Indonesia Stock Exchange Industrial Classification

This study aims to analyze the impact of movements in exchange rates, world gold price, world crude oil price and Covid-19 cases on Indonesia Stock Exchange Industrial Classification (IDX-IC). This study uses Vector Autoregression/ Vector Error Correction Model with daily data from January 26, 2021, to April 28, 2022. The results of this study show that exchange rate has a positive effect on industrial, transportation and logistics sector. Then, world gold price has a negative effect on several sectors, namely energy, industry, health and finance. Covid-19 case has a negative effect on transportation and logistics sector. The impulse response function test results show that each sector responded differently to shocks to exchange rates, world gold prices, world crude oil prices and Covid-19 cases. However, all sectors responded to these shocks in the second period and returned to a stable point in the fifth. The results of forecast error variance decomposition test show that the sectoral stock price index contributes the most for itself, followed by world gold prices, exchange rates, Covid-19 cases and world crude oil prices.

The Analysis of Inflation, Exchange rate, and Benchmark Interest Rate (BI rate) Influences on the Indonesia Composite Index (ICI)

This study analyzes the correlation and influence rates of inflation, Bank Indonesia, and the Dollar Exchange (USD/IDR) on the Indonesia Composite Index(ICI) in Indonesia from 2001 to 2021. The type of study used explanatory research with quantitative approach. The research data is in the form of secondary data based on the period in the form of ICI, benchmark interest rate, inflation, and rupiah exchange rate on the US dollar (KURS) obtained from Bank Indonesia (BI), the Indonesia Stock Exchange (IDX), and the Central Statistics Agency (BPS). This study's data complements the latest month's data from the inflation rate, BI Rate, USD/IDR Exchange rate, and combination of the Stock Price Index(ICI) for 2001 to 2021. The analysis method in this study used multiple linear regression models and Ordinary Least Squares (OLS). The results showed that the Ordinary Least Square (OLS) relies on the overall movement of exchange rates in the interest rate based on the Composite IDX.

정보전이지수를 이용한 원자재가격과 산업별 주식수익률의 연계성에 대한 Covid-19과 러우전쟁의 영향 분석

This paper analyzes the effect of commodity prices on the industrial stock market. The commodities selected to represent raw materials are crude oil, copper, and corn. Kospi and six industrial stock price indices including foods, chemical, steel, machinery, electronic, and transport are analyzed. The exchange rate is also included in the model. Test period is 1,257 trading days from September 5, 2017 to December 23, 2022. Spillover effect is measured with Diebold and Yilmaz (2009, 2012)’s index. Major findings are as follows. First, the influential markets to stock and foreign exchange markets are copper and crude oil markets. Second, the stock market which was a contributor to information before Covid-19 changed role to the recipient of information during the Covid-19 and Russo-Ukraine war period. Third, the effect of crude oil and corn on Kospi returns caused by the Covid-19 is increased. And the effect of copper is increased during the Russo-Ukraine war period. Fourth, the stock returns of electronic, chemical and steel industries have high connectedness with the commodity market compared to that of foods, machinery and transport industries. Fifth, the total spillover index appears high in all industries during the Covid-19 and Russo-Ukraine war period compared to pre-Covid-19 period.

THE INFLUENCE OF PROFITABILITY AND STOCK PRICE INDEX MOVEMENTS IN THE AGRICULTURAL SECTOR ON THE INDONESIAN STOCK EXCHANGE (BEI)

The movement of the price index for the agricultural sector over the last five years has been very volatile, and has had an impact on the performance of the agricultural sector, which ranks lowest compared to other sectors. This study aims to analyze the influence of profitability and stock price index movements in the agricultural sector on the Indonesian Stock Exchange (IDX). This study uses companies in the mining sector and the agricultural sector which are listed on the Indonesia Stock Exchange (IDX). The results of the study show that the variable profitability and price index are influential in the agricultural sector, because companies in the agricultural sector, especially in the sector, often export the products they issue, causing the value of the rupiah to increase continuously over time.

Impact of International Mineral Price on Korea Composite Stock Price Index Market Capitalization

This study investigates market capitalization elasticity with respect to changes in mineral price by analyzing the relationship between the Korea Composite Stock Price Index market capitalization and the international prices of six major strategic minerals. Weekly data from the 1st week of 2009 to the 52nd week of 2022 were analyzed using the autoregressive distributed lag model. The model comprises market capitalization, mineral prices, exchange rate, money supply, and leading economic index variables with time lags. The results revealed that the changes in the prices of all six strategic minerals except bituminous coal had a positive effect on the market capitalization, while bituminous coal had no effect. The findings of this study support recent developments in the importance of strategic minerals in ensuring resource and economic security.

Pengaruh harga komoditas global terhadap industri reksa dana Indonesia

The mutual fund industry continues to show an upward trend, in contrast to the fluctuating macroeconomic and stock market conditions due to various negative sentiments and economic turmoil, such as the COVID-19 pandemic. This condition is presumably due to investment managers' success in diversifying investment portfolios in various assets. Diversifying and strategically allocating funds to various assets in the mutual fund industry are related to many variables, not just determinants. This study aimed to analyze the effect of global commodity prices such as gold, world crude oil, nickel, and palm oil on the net asset value of Indonesian mutual funds. The composite stock price index and interest rates are used as control variables. This study uses a quantitative approach using the VECM (Vector Error Correction Model) method. The data used is secondary data for 2013–2022, with a monthly frequency. The analysis results show that, in the long term, global commodity price variables significantly affect the net asset value of Indonesian mutual funds. In contrast, global commodity price variables do not significantly affect the short term.

Empirical Study on Chinas House Prices

This study aims to empirically study house prices and their relationship with China's critical economic and financial metrics. The key metrics include interest rate, inflation rate, and stock index prices. This study shows that stock index prices do not significantly impact house prices in China. At the same time, long-term interest and inflation rates positively impact house prices in China.Additionally, short-term interest rate possesses a negative im-pact on house prices. This can shed light on policymakers in China when making economic decisions to influence house prices in China. On top of this, this study also compared house prices and real estate stock index prices and concluded that the two differ significantly.

Capital Market Reactions Analysis in Energy and Non-Cyclical Consumer Issuers During the Russia-Ukraine War

Background: Several shares of energy sector issuers rose amid the war between Russia and Ukraine, this is inversely proportional to the Composite Stock Price Index (JCI) which decreased 1.48 percent to 6,817 at the close of Thursday, February 24, 2022. The share prices of several consumer goods issuers that rely on wheat raw materials fell sharply in the past week. Aim: This study aims to analyze whether there is a capital market reaction in energy and consumer non-cylical sector stocks in Indonesia to seven different events related to the war between Russia and Ukraine. Method: Using the event study method, the sample used was 30 issuers, with 15 issuers coming from the energy sector, and 15 other issuers coming from the primary needs sector (consumer non-cyclical). This study obtained secondary data on the list of issuers of energy and primary needs sector stocks on the Composite Stock Price Index, stock prices, daily returns, and trading activity volumes from the website (www.idx.co.id) and (www.finance.yahoo.com). Findings: The market here is efficient in the form of semi-strong, because the capital market reaction is abnormal returns seen within one to two days after the announcement. In addition, the speed at which the market responds to war-related information that will influence the decision to buy or sell stocks is not seen at the beginning of the war. Overall, the market decisions affected by the war were temporary, as evidenced by the absence of significant stock price differences in the recent events studied.