IDEAS home Printed from https://ideas.repec.org/h/eme/isetez/s1571-03862023000033a001.html
   My bibliography  Save this book chapter

Business-Specific Risks and Stock Market Volatility as Indonesian Macroeconomic Risk Estimators

In: Macroeconomic Risk and Growth in the Southeast Asian Countries: Insight from Indonesia

Author

Listed:
  • Ezra Valentino Purba
  • Zaäfri Ananto Husodo

Abstract

This study aimed to know the effect of cross-sectional risk, which comprises business-specific risk and stock market volatility, as a variable for estimating macroeconomic risk in Indonesia. This study observes public companies in Indonesia and Indonesian macroeconomic data from 2004 to 2020. In this study, the author uses term spread as the dependent variable that reflects macroeconomic risk. The cross-sectional risk comprises financial friction (FF), cash flow (CF), debt–service ratio, and stock market volatility as independent variables. By using the Autoregressive Distributed Lag (ARDL) Model method, this study shows that business-specific and stock market risk can estimate macroeconomic risk, so that it becomes an early signal of economic shock, such as recession or high inflation, in the future. The model in this study also examines the cross-sectional risk relationship with other macroeconomic indicators, such as the Consumer Confidence Index (CCI), money supply (M0), and Indonesia’s trade balance (TB).

Suggested Citation

  • Ezra Valentino Purba & Zaäfri Ananto Husodo, 2023. "Business-Specific Risks and Stock Market Volatility as Indonesian Macroeconomic Risk Estimators," International Symposia in Economic Theory and Econometrics, in: Macroeconomic Risk and Growth in the Southeast Asian Countries: Insight from Indonesia, volume 33, pages 1-17, Emerald Group Publishing Limited.
    • Handle: RePEc:eme:isetez:s1571-03862023000033a001
    DOI: 10.1108/S1571-03862023000033A001
    as

    Download full text from publisher

    File URL: https://www.emerald.com/insight/content/doi/10.1108/S1571-03862023000033A001/full/html?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://www.emerald.com/insight/content/doi/10.1108/S1571-03862023000033A001/full/epub?utm_source=repec&utm_medium=feed&utm_campaign=repec&title=10.1108/S1571-03862023000033A001
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://www.emerald.com/insight/content/doi/10.1108/S1571-03862023000033A001/full/pdf?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1108/S1571-03862023000033A001?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Macroeconomic risk; business risk; volatility; financial friction; Indonesian stock market; cross-sectional risk; E0; G1; G32;
    All these keywords.

    JEL classification:

    • E0 - Macroeconomics and Monetary Economics - - General
    • G1 - Financial Economics - - General Financial Markets
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eme:isetez:s1571-03862023000033a001. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Emerald Support (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.