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Pengaruh Jangka Pendek dan Jangka Panjang Perubahan Suku Bunga dan Kurs Rupiah Terhadap Harga Saham : Studi Empiris di Indonesia (2000:1 – 2010:4)

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  • Maryatmo, Rogatianus

Abstract

The present study investigates the role of exchange rate and interest rate in stock price discovery in Indonesia. Indonesia is experiencing a kind of bubble which is indicated by surplus of current account accompanied by high capital inflow. Capital inflow simustaneusly influences exchange rate, and interest rate, and thus sequently affects stock prices. Employing cointegration approach and Engle Granger Error Corection Model (ECM), covering monthly time series data from January 2000 to April 2010, both short run and long run relationships are investigated. It is found out that there is cointegration relationship between stock price as dependent variable and exchange rate and interest rate, as independent variables. In the long run and in the short run, interest rate statisticaly significant negatively influences the stock prices. The impact of exchange rate on stock price is statistically significant, and changes in sign from negative in the short run effect to positive in the long run effect. In the long run, stock price is elastic to the changes in interest rate, and exchange rate. In the short run, the elasticity of stock price is decreasing in responding to the change in interest rate and exchange rate.

Suggested Citation

  • Maryatmo, Rogatianus, 2010. "Pengaruh Jangka Pendek dan Jangka Panjang Perubahan Suku Bunga dan Kurs Rupiah Terhadap Harga Saham : Studi Empiris di Indonesia (2000:1 – 2010:4)," MPRA Paper 25532, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:25532
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    References listed on IDEAS

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    1. M. Shabri Abd. Majid & Rosylin Mohd. Yusof, 2009. "Long-run relationship between Islamic stock returns and macroeconomic variables: An application of the autoregressive distributed lag model," Humanomics: The International Journal of Systems and Ethics, Emerald Group Publishing, vol. 25(2), pages 127-141, May.
    2. Cumhur Erdem & Cem Kaan Arslan & Meziyet Sema Erdem, 2005. "Effects of macroeconomic variables on Istanbul stock exchange indexes," Applied Financial Economics, Taylor & Francis Journals, vol. 15(14), pages 987-994.
    3. Ahmed Alhayky & Ndambendia Houdou, 2009. "Stock Prices and Exchange Rates: Empirical Evidence from Kuwait’s Financial Markets," The IUP Journal of Financial Economics, IUP Publications, vol. 0(3 & 4), pages 71-82, September.
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    More about this item

    Keywords

    Cointegration; ECM; stock price; economic model; exchange rate; interest rate;

    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
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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