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Model Vector Autoregressive (VAR) Hubungan Dinamis Antara Harga Saham dan Nilai Tukar Rupiah: Penerapan pada IHSG dan Indeks Sektoral di Bursa Efek Jakarta Tahun 1990-2001
[Vector Autoregressive (VAR) Model of Dynamic Linkage between Stock Indices and Rupiah's Exchange Rate: Application to Composite and Sectoral Indices on Jakarta Stock Exchange in 1990-2001]

Author

Listed:
  • Andriansyah, Andriansyah

Abstract

This study examines the dynamic linkage between stock indices (e.g., composite and sectoral indices on the Jakarta Stock Exchange) and Rupiah's exchange rate at three different periods. Granger causality testing technique is used, based on VAR model if data have no cointegration relationship and VEC model if they do. The Jakarta composite index and Rupiah show no causality relationship during the pre-crisis period but unidirectional and feedback causality at the crisis and recovery period, respectively. However, the portfolio approach is more dominant than the traditional approach at the crisis and recovery period but not at the pre-crisis period. Feedback causality that does not happen at pre-crisis is dominant with the portfolio approach at crisis and recovery periods.

Suggested Citation

  • Andriansyah, Andriansyah, 2003. "Model Vector Autoregressive (VAR) Hubungan Dinamis Antara Harga Saham dan Nilai Tukar Rupiah: Penerapan pada IHSG dan Indeks Sektoral di Bursa Efek Jakarta Tahun 1990-2001 [Vector Autoregressive (V," MPRA Paper 111641, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:111641
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    References listed on IDEAS

    as
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    3. Geweke, John, 1984. "Inference and causality in economic time series models," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 19, pages 1101-1144, Elsevier.
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    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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