Indonesian Stock Market Volatility: GARCH Model

Endri Endri · Zaenal Abidin · Torang Partogi Simanjuntak · Immas Nurhayati

53 citations0/0 files storedMONTENEGRIN JOURNAL OF ECONOMICS

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

Abstract

The purpose of this paper is to examine the effect of macroeconomic variables (interest rates, inflation and exchange rates) and global stock exchanges (STI, SSE, N225, DJIA, FTSE100) on the movement of the Indonesian stock exchange (IHSG).The research data analysis method uses the GARCH model for time series data for the period January 2012 to December 2018.The results show that the BIrate, Inflation, Exchange Rate, Straits Times Index (STI), Shanghai Stock Exhange (SSE), Shanghai Stock Exhange (SSE), Nikkei 225 (N225)), Dow Jones Industrial Average (DJIA) and Financial Times Stock Exchange 100 (FTSE100) together have a significant effect on the IHSG.Partially shows the BI-rate, Inflation, and SSE have a significant negative influence, negative N225 is not significant, while the Exchange, STI, DJIA has a significant positive effect and FTSE100 has a non-significant positive effect on the IHSG.

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References

1986Generalized autoregressive conditional heteroskedasticity 2002Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5 countries 2013Who moves East Asian stock markets? The role of the 2007–2009 global financial crisis 2015Stock prices and macroeconomic factors: Some European evidence 2010Financial liberalization, exchange rates and stock prices: Exogenous shocks in four Latin America countries 2012Empirical evidence on the relationship between stock market volatility and macroeconomics volatility in Malaysia 2011The Determinants of Stock Prices in Pakistan

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