Respon Return Pasar Modal Indonesia terhadap Kebijakan Moneter Domestik dan Asing

JURNAL EKONOMI DAN KEBIJAKAN PEMBANGUNAN Pub Date : 2018-08-21 DOI:10.29244/jekp.7.1.1-20

Aulia Yulianti Wulandari, Noer Azam Achsani, Lukytawati Anggraeni

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Abstract

Understanding the impact of external shocks on the stock market return and volatility is crucial for market participants as volatility is synonymous with risk. This paper provides comprehensive evidence on the spillover effects of the change of monetary policies from inside country and foreign origins on Indonesia stock market in the period of the time from November 2, 2012 to May 15, 2017. Used symmetric (IGARCH) and asymmetric (EGARCH and APARCH) GARCH model analysis to evaluate the impact of surprise and anticipated changes of monetary policies from inside country and foreign policies (from another ASEAN countries and leading economies, in this paper are United States, Europe, and United Kingdom). Surprise change of monetary policy is proxied by one day change in 3 months interbank offered rate, while anticipated change of monetary policy is proxied by one day change in target interest rate or policy rate. The result shows that information of the monetary policy news and Indonesia stock return is asymmetric. Indonesia stock market is only affected by foreign monetary policies. Keywords: ASEAN stock market, GARCH, Monetary policy JEL classification: C01, C50, E50

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印尼资本市场回归对国内外货币政策的回应

了解外部冲击对股票市场回报和波动的影响对市场参与者来说至关重要，因为波动是风险的同义词。本文对2012年11月2日至2017年5月15日期间，国内外货币政策变化对印尼股市的溢出效应进行了全面的实证研究。使用对称(IGARCH)和非对称(EGARCH和APARCH) GARCH模型分析来评估来自国内和外交政策(来自另一个东盟国家和主要经济体，本文中是美国，欧洲和英国)的货币政策的意外和预期变化的影响。货币政策的意外变化用3个月银行间同业拆放利率的一天变化来表示，而货币政策的预期变化用目标利率或政策利率的一天变化来表示。结果表明，货币政策新闻与印尼股市收益的信息不对称。印尼股市只受外国货币政策的影响。关键词:东盟股市，GARCH，货币政策JEL分类:C01, C50, E50

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JURNAL EKONOMI DAN KEBIJAKAN PEMBANGUNAN

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