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Cross Border Portfolio Investment And The Volatility Of Stock Market Index And Rupiah’S Rate

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  • Al Muntasir

    (University of Gadjah Mada)

Abstract

This paper use daily data during the period 2010-2014 to analyse the impact of foreign capital inflows on capital market volatility and on the volatility of Rupiah’s rate. The results shows the flow of foreign capital positively affect the Jakarta Composite Index (JCI) but not the rate of Rupiah. Using Vector Error Correction Model, this paper finds a cointegrated and dynamic relationship between the changes in foreign capital flow in Indonesia, with the JCI and the exchange rate of Rupiah against USD. Changes in the Rupiah’s rate significantly affect the foreign capital flow and the JCI, while the JCI does not significantly affect the flow of foreign capital and the changes of Rupiah’s rate.

Suggested Citation

  • Al Muntasir, 2015. "Cross Border Portfolio Investment And The Volatility Of Stock Market Index And Rupiah’S Rate," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 17(4), pages 1-30, April.
    • Handle: RePEc:idn:journl:v:17:y:2015:i:4:p:1-30
    DOI: https://doi.org/10.21098/bemp.v17i4.504
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    References listed on IDEAS

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    Cited by:

    1. Kuziva Mamvura & Mabutho Sibanda & Rajendra Rajaram, 2020. "Causal Dynamics among Foreign Portfolio Investment Volatility, Financial Deepening and Capital Markets in Low Income Countries," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 70(1-2), pages 20-38, January-J.
    2. Hu, Haiqing & Chen, Di & Sui, Bo & Zhang, Lang & Wang, Yinyin, 2020. "Price volatility spillovers between supply chain and innovation of financial pledges in China," Economic Modelling, Elsevier, vol. 89(C), pages 397-413.
    3. Narayan, Paresh Kumar & Narayan, Seema & Eki Rahman, R. & Setiawan, Iwan, 2019. "Bitcoin price growth and Indonesia's monetary system," Emerging Markets Review, Elsevier, vol. 38(C), pages 364-376.

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    More about this item

    Keywords

    Foreign Capital Flows; Capital Market of Volatility; Currency Exchange;
    All these keywords.

    JEL classification:

    • F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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