Dynamic Movement of Indonesian Stock Exchanges: Analysis of Global Stock Exchanges and Macroeconomic Variables

Abstract

This study aims to study the effect of global markets and macroeconomics on joint stock price movements. This research was conducted at the Indonesia Stock Exchange with the period 2014-2018. The model used in this study uses the VAR/VECM method with the results of the DJIA Variable there is a significant influence on the movement of the CSPI, this means that an increase in the Dow Jones index will have an effect on increasing the value of the CSPI. Significantly, there was no influence between the NIKKEI225 variable on the movement of the CSPI because t-statistics were greater than t-tables at the coefficient level. The results of the STI index influence, the value of t-statistics in the short term the effect of the STI shows that the STI has a significant effect on the CSPI, this is indicated by t-statistics smaller than the t-table. Inflation research results, in the short term, there is a significant influence between inflation variables on the movement of the CSPI. BiRate has a significant influence on the CSPI with the t-statistic value in the short term is smaller than the t-table, meaning that in the short term the BiRate increase of 1% will affect the movement of the Composite Stock Price Index (CSPI). The t-statistic value in the short term variable USD/IDR exchange rate has a positive effect on the movement of the CSPI. This means that an increase in the exchange rate (IDR/USD) will have an effect on increasing the value of the CSPI and conversely a decrease in the exchange rate (IDR/USD) will have an effect of reducing the value of the CSPI.