Macroeconomic Analysis of Mining Stock Index Volatility in Indonesia
Abstract
The purpose of this study is to analyze the influence of macroeconomic variables, such as, exchange rates, interest rates, inflation rates, and consumer price index on mining stock volatility. The unit of analysis is the mining stock index volatility in Indonesia from January 2010 to December 2019. The analytical method used in the study is the econometric model ARCH/GARCH using EViews software. The test results show the exchange rate of the dollar against the rupiah (USD/IDR) and the inflation rate has a negative and significant effect while the interest rate and the consumer price index have a positive and significant effect on mining stock index volatility in Indonesia. In addition, based on the ARCH/GARCH coefficient is found that the mining stock index in Indonesia is influenced by the volatility of the current and past stock indexes. The mining stock index volatility in Indonesia is persistent volatile, which is high volatility and occurs continuously.
Keywords: Macroeconomic Analysis, Minix Stock Index, Index Volatility
References
Abdalla, I. S. A., & Murinde, V. (1997). Exchange Rate and Stock Price Interactions in Emerging Financial Markets: Evidence on India, Korea, Pakistan and The Philippines. Applied Financial Economics, 7(1), 25–35. https://doi.org/10.1080/096031097333826
Abdalla, S. Z. S., & Winker, P. (2012). Modelling Stock Market Volatility Using Univariate GARCH Models: Evidence from Sudan and Egypt. International Journal of Economics and Finance, 4(8), 161–176. https://doi.org/10.5539/ijef.v4n8p161
Alfuadi, M. U. A. (2019). Analisis Dampak Harga Emas Dunia, Harga Minyak Dunia, Kurs, Indeks Harga Konsumen (IHK), dan BI Rate terhadap Jakarta Islamic Index (JII). Journal of Enterprise and Development, 1(2).
Ardana, Y. (2016). Pengaruh Variabel Makroekonomi terhadap Indeks Saham Syariah di Indonesia: Model ECM. Esensi, 6(1), 17–30. https://doi.org/10.15408/ess.v6i1.3118
Coleman, A. K., & Tettey, K. F. A. (2008). Impact of Macroeconomic Indicators on Stock Market Performance: The Case of the Ghana Stock Exchange. The Journal of Risk Finance, 9(4), 365–378. https://doi.org/10.1108/15265940810895025
Damayanti, S. M. (2014). Analisis Pengaruh Variabel-Variabel Makroekonomi terhadap Tingkat Pengembalian di Pasar Modal Periode 2000-2011 dengan Membandingkan Hasil Estimasi OLS, GLS, dan MLE. Binus Business Review, 5, 267–277.
Erbaykal, E., & Okuyan, H. A. (2007). The Relationship Between Stock Prices and Exchange Rates: An Empirical Study on Emerging Markets. 77–89.
Evbayiro-Osagie, E. I., & Emeni, F. K. (2015). Inflation rates, Financial openness, Exchange rates and stock market returns volatility in Nigeria. In Ican Journal Of Accounting & Finance. /citations?view_op=view_citation&continue=/scholar%3Fhl%3Den%26as_sdt%3D0,5%26scilib%3D1032%26scioq%3Dstock%2Bprice%2Band%2Binflation&citilm=1&citation_for_view=YswnxTQAAAAJ:PELIpwtuRlgC&hl=en&oi=p
Fama, F. E. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383–417. https://doi.org/10.1016/0002-8703(53)90182-3
Fitriyani, Ika & Herlambang, L. (2016). Analisis Pengaruh Variabel Makroekonomi dan Harga Komoditas terhadap Jakarta Islamic Index (JII). Journal of Chemical Information and Modeling, 53(9), 1689–1699. https://doi.org/10.1017/CBO9781107415324.004
Hazlina, Selamat, Z., Masuga, T., & Taudi, R. (2011). Predictability Power of Interest Rate and Exchange Rate Volatility on Stock Market Return and Volatility : Evidence from Bursa Malaysia. International Conference on Economics and Finance Research, 4, 199–202.
Heriyanto, & Chen, M. (2014). Analisis Pengaruh Indeks Harga Konsumen, Jumlah Uang Beredar (M1), Kurs Rupiah, dan Indeks S&P 500 terhadap Indeks Harga Saham Gabungan. Jurnal Nominal, 3(2), 25–54.
Husin, M. Y. M., Muhammad, F., Abu, M. fauzi, & Awang, S. A. (2012). Macroeconomic Variables and Malaysian Islamic Stock Market: A Time Series Analysis. The Journal of Business Studies Quarterly (JBSQ), 3(4), 1–13.
Khairudin; Wandita. (2017). Analisis Pengaruh Rasio Profitabilitas, Debt To Equity Ratio (DER) Dan Price To Book Value (PBV) Terhadap Harga Saham Perusahaan Pertambangan Di Indonesia. Jurnal Akuntansi Dan Keuangan, 8(1).
Kuwornu, J. K. M., & Victor, O.-N. (2011). Macroeconomic Variables and Stock Market Returns: Full Information Maximum Likelihood Estimation. 2(4), 49–64.
Lucey, B. M., & Dowling, M. (2005). The Role of Feelings in Investor Decision-Making. Journal of Economic Surveys, 19(2), 211–237. https://doi.org/10.2139/ssrn.346302
Menike, L. M. C. S. (2006). The Effect of Macroeconomic Variables on Stock Prices in Emerging Sri Lanka Stock Market. Sabaragamuwa University Journal, 6(1), 50. https://doi.org/10.4038/suslj.v6i1.1689
Murwaningsari, E. (2008). Pengaruh Volume Perdagangan Saham, Deposito, dan Kurs terhadap Ihsg beserta Prediksi IHSG (Model GARCH dan ARIMA). Jurnal Ekonomi & Bisnis Indonesia (Fakultas Ekonomi Dan Bisnis Universitas Gadjah Mada), 23(2), 178–195. https://doi.org/10.22146/jieb.6347
Nasir, M., Fakriah, & Ayuwandirah. (2016). Analisis Variabel Makroekonomi terhadap Indeks Saham Syariah Indonesia dengan Metode Pendekatan Vector Autoregression. Jurnal Ekonomi Dan Bisnis, 15(1), 53–63. https://doi.org/10.1093/oseo/instance.00196643
Olasunkanmi, I., & Corresponding, O. (2011). Stock Market Volatility and Macroeconomic Variables Volatility in Nigeria : An Exponential GARCH Approach. 3(12), 43–54.
Onafowora, O. A., & Owoye, O. (2011). Exchange Rate Volatility and Export Growth in Nigeria. Applied Economics, 40(12), 1547–1556. https://doi.org/10.1080/00036840600827676
Reilly, F. K., & Brown, K. C. (2012). Analysis of Investments and Management of Portfolios (Tenth Edit). South-Western Cengage Learning. https://www.cengage.co.in/category/higher-education/business-economics/finance/investment/analysis-of-investments-and-management-of-portfolios-pn
Sudarsono, H. (2018). Indikator Makroekonomi dan Pengaruhnya Terhadap Indeks Saham Syariah Indonesia. 8(April), 115–132. https://doi.org/10.15408/ess.v8i2.7219
Toly, A. A. (2009). Analyzing Accounting Ratios as Determinants of the LQ45 Stock Prices Movements in Indonesia Stock Exchange During the Period of 2002-2006. Jurnal Akuntansi Dan Keuangan, 11(2), 76–87. https://doi.org/10.9744/jak.11.2.pp.76-87
Yaya, O., & Shittu, O. (2010). On the impact of inflation and exchange rate on conditional stock market volatility: a re-assessment. American Journal of Scientific and Industrial Research, 1(2), 115–117. https://doi.org/10.5251/ajsir.2010.1.2.115.117
Zakaria, Z., & Shamsuddin, S. (2012). Empirical Evidence on the Relationship between Stock Market Volatility and Macroeconomics Volatility in Malaysia. Journal of Business Studies Quarterly, 4(2), 61–71.
Copyright (c) 2021 Asterina Anggraini, Gatot Nazir Ahmad, Rida Prihatni
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.