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Macroeconomic factors and LQ45 stock price index: evidence from Indonesia

This paper provides the relationship between macroeconomic variables, including exchange rate, BI rate and inflation, and stocks performance, particulary bluechip stocks listed in LQ45 index in Indonesia Stock Exchange. The study particularly gives insights on bluechip stocks listed in LQ45 stock p...

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Main Authors: Utomo, Sugeng Hadi, Dwi Wulandari, Narmaditya, Bagus Shandy, Handayati, Puji, Ishak, Suryati
Format: Article
Language:English
Published: Business Perspectives 2019
Online Access:http://psasir.upm.edu.my/id/eprint/81258/1/RATE.pdf
http://psasir.upm.edu.my/id/eprint/81258/
https://businessperspectives.org/journals/investment-management-and-financial-innovations/issue-327/macroeconomic-factors-and-lq45-stock-price-index-evidence-from-indonesia
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spelling my.upm.eprints.812582021-06-16T10:10:14Z http://psasir.upm.edu.my/id/eprint/81258/ Macroeconomic factors and LQ45 stock price index: evidence from Indonesia Utomo, Sugeng Hadi Dwi Wulandari Narmaditya, Bagus Shandy Handayati, Puji Ishak, Suryati This paper provides the relationship between macroeconomic variables, including exchange rate, BI rate and inflation, and stocks performance, particulary bluechip stocks listed in LQ45 index in Indonesia Stock Exchange. The study particularly gives insights on bluechip stocks listed in LQ45 stock price index in Indonesia Stock Exchange between 2015 and 2017. The data were obtained from various sources during the period, including the Indonesia Stock Exchange (IDX), the Central Bank of Indonesia (BI), and the Ministry of Trade. This study followed a Vector Error Correction Model (VECM) attempting to estimate the relationship between variables both in the short term and in the long term. The findings of the study showed that in the long run, exchange rate, BI rate and inflation have a negative impact on stock market performance, particularly on LQ45 index in Indonesia Stock Exchange. It implies that an increase in macroeconomic variables results in the decline of stock market performance. Meanwhile, in the short run, two variables, namely the exchange rate and inflation, positively affect stock market performance in Indonesia. On the contrary, the relationship between BI rate and stock market performance showed a negative correlation. These findings have significant implication for the understanding of how macroeconomic variables affect the stock market performance, particularly LQ45 price index in Indonesia Stock Exchange. Business Perspectives 2019 Article PeerReviewed text en http://psasir.upm.edu.my/id/eprint/81258/1/RATE.pdf Utomo, Sugeng Hadi and Dwi Wulandari and Narmaditya, Bagus Shandy and Handayati, Puji and Ishak, Suryati (2019) Macroeconomic factors and LQ45 stock price index: evidence from Indonesia. Investment Management and Financial Innovations, 16 (3). pp. 251-259. ISSN 1810-4967; ESSN: 1812-9358 https://businessperspectives.org/journals/investment-management-and-financial-innovations/issue-327/macroeconomic-factors-and-lq45-stock-price-index-evidence-from-indonesia 10.21511/imfi.16(3).2019.23
institution Universiti Putra Malaysia
building UPM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Putra Malaysia
content_source UPM Institutional Repository
url_provider http://psasir.upm.edu.my/
language English
description This paper provides the relationship between macroeconomic variables, including exchange rate, BI rate and inflation, and stocks performance, particulary bluechip stocks listed in LQ45 index in Indonesia Stock Exchange. The study particularly gives insights on bluechip stocks listed in LQ45 stock price index in Indonesia Stock Exchange between 2015 and 2017. The data were obtained from various sources during the period, including the Indonesia Stock Exchange (IDX), the Central Bank of Indonesia (BI), and the Ministry of Trade. This study followed a Vector Error Correction Model (VECM) attempting to estimate the relationship between variables both in the short term and in the long term. The findings of the study showed that in the long run, exchange rate, BI rate and inflation have a negative impact on stock market performance, particularly on LQ45 index in Indonesia Stock Exchange. It implies that an increase in macroeconomic variables results in the decline of stock market performance. Meanwhile, in the short run, two variables, namely the exchange rate and inflation, positively affect stock market performance in Indonesia. On the contrary, the relationship between BI rate and stock market performance showed a negative correlation. These findings have significant implication for the understanding of how macroeconomic variables affect the stock market performance, particularly LQ45 price index in Indonesia Stock Exchange.
format Article
author Utomo, Sugeng Hadi
Dwi Wulandari
Narmaditya, Bagus Shandy
Handayati, Puji
Ishak, Suryati
spellingShingle Utomo, Sugeng Hadi
Dwi Wulandari
Narmaditya, Bagus Shandy
Handayati, Puji
Ishak, Suryati
Macroeconomic factors and LQ45 stock price index: evidence from Indonesia
author_facet Utomo, Sugeng Hadi
Dwi Wulandari
Narmaditya, Bagus Shandy
Handayati, Puji
Ishak, Suryati
author_sort Utomo, Sugeng Hadi
title Macroeconomic factors and LQ45 stock price index: evidence from Indonesia
title_short Macroeconomic factors and LQ45 stock price index: evidence from Indonesia
title_full Macroeconomic factors and LQ45 stock price index: evidence from Indonesia
title_fullStr Macroeconomic factors and LQ45 stock price index: evidence from Indonesia
title_full_unstemmed Macroeconomic factors and LQ45 stock price index: evidence from Indonesia
title_sort macroeconomic factors and lq45 stock price index: evidence from indonesia
publisher Business Perspectives
publishDate 2019
url http://psasir.upm.edu.my/id/eprint/81258/1/RATE.pdf
http://psasir.upm.edu.my/id/eprint/81258/
https://businessperspectives.org/journals/investment-management-and-financial-innovations/issue-327/macroeconomic-factors-and-lq45-stock-price-index-evidence-from-indonesia
_version_ 1703962153102344192
score 13.211869

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