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Mengkaji Perubahan Nilai Tukar Rupiah dan Pasar Saham

Author

Listed:
  • Untoro

    (Bank Indonesia)

  • Priyo R. Widodo

    (Bank Indonesia)

Abstract

This paper analyzes the relationship between the Exchange rate and the stock market in Jakarta, Singapore, Malaysia, Thailand, Philippine and Hongkong using a high frequency data. We applied the Vector Autoregressive method on the daily data covering 1 July 1997 to 30 June 2006. The analysis provides several results as follows: (i) the exchange rate movements is influenced by the regional and the Hongkong stock market index, except Thailand, (ii) Jakarta stock market index is influenced by the regional stock market except Thailand, (iii) the Rupiah rate influence the regional and Hongkong stock index, (iv) the Jakarta»s stock market index is integrated to the regional stock market index. These results may be a usefull as an additional guidance to evaluate the Rupiah»s exchange rate and the regional stock market movement in general.

Suggested Citation

  • Untoro & Priyo R. Widodo, 2008. "Mengkaji Perubahan Nilai Tukar Rupiah dan Pasar Saham," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 10(4), pages 1-24, April.
    • Handle: RePEc:idn:journl:v:10:y:2008:i:4:p:1-24
    DOI: https://doi.org/10.21098/bemp.v10i4.230
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    More about this item

    Keywords

    Stock; Vector Autoregressive; exchange rate;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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