Proceedings of the 4th Padang International Conference on Education, Economics, Business and Accounting (PICEEBA-2 2019)

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An Analysis of Relationship Between Domestic and Global Variables and Indonesia Composite Index for the Period of January 2011-January 2019

Authors
Erly Mulyani, Fajar Akbari, Mai Celvin Riyosef
Corresponding Author
Erly Mulyani
Available Online 10 March 2020.
DOI
10.2991/aebmr.k.200305.071How to use a DOI?
Keywords
ICI, BI Rate, inflation, money supply M2, the Fed
Abstract

Indonesia Composite Index (ICI) is a lump of stocks traded on the Indonesian Stock Exchange. In some literature, it was found that the movement of ICI was influenced by domestic factors and global factors. This study used monthly time series secondary data 2011M01-2019M01, consisting of ICI, BI rate, inflation, JUBM2 and the Fed interest rate. This study used Vector Autoregression (VAR) method by Johansen Cointegration test, followed by an estimation of Vector Error Correction Model (VECM) and forecasted by Impulse Response Function (IRF) and Forecast Error Variance Decomposition (FEVD) analyses. The results showed that in the long term there were two variables that negatively affected ICI in Indonesia, namely inflation and money supply M2. The IRF analysis (Impulse Response Function) indicated BI rate shock response and that money supply M2 reached a balance point in the long run, while ICI, inflation and the Fed variables always experienced shock. FEVD analysis showed that each variable contributed the most to the variable itself

Copyright
© 2020, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 4th Padang International Conference on Education, Economics, Business and Accounting (PICEEBA-2 2019)
Series
Advances in Economics, Business and Management Research
Publication Date
10 March 2020
ISBN
10.2991/aebmr.k.200305.071
ISSN
2352-5428
DOI
10.2991/aebmr.k.200305.071How to use a DOI?
Copyright
© 2020, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

risenwbib
TY  - CONF
AU  - Erly Mulyani
AU  - Fajar Akbari
AU  - Mai Celvin Riyosef
PY  - 2020
DA  - 2020/03/10
TI  - An Analysis of Relationship Between Domestic and Global Variables and Indonesia Composite Index for the Period of January 2011-January 2019
BT  - Proceedings of the 4th Padang International Conference on Education, Economics, Business and Accounting (PICEEBA-2 2019)
PB  - Atlantis Press
SP  - 219
EP  - 229
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.200305.071
DO  - 10.2991/aebmr.k.200305.071
ID  - Mulyani2020
ER  -