Why A One-Way Relationship Between Capital Market and Foreign Exchange Market in Indonesia?

DOI

10.2991/aebmr.k.211115.009How to use a DOI?

Keywords

stock market; foreign exchange market; causality test

Abstract

This study aims to examine the causal relationship between the stock market and the foreign exchange market in Indonesia. This study uses the value of the IDX Composite (IHSG) as an indicator of the stock market and the middle value of the exchange rate of IDR to USD as an indicator of the money market. This study uses the period 2008-2018 with a daily and monthly time period. Data collection uses secondary data by documentation techniques. Tests of data performed are stationary test, optimum Lag test, cointegration test, and causality test. The results of this study indicate the existence of one-way causality from the value of the IDX Composite (IHSG) to the exchange rate of the rupiah to the US dollar. IDX Composite (IHSG) will affect the movement of the exchange rate of the rupiah to US dollar. This is because the value of the IDX Composite (IHSG) is still used as one of Indonesia’s economy indicator.

Copyright

© 2021 The Authors. Published by Atlantis Press International B.V.

Open Access

This is an open access article under the CC BY-NC license.

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TY  - CONF
AU  - Yusuf Arianto
AU  - Ely Siswanto
PY  - 2021
DA  - 2021/11/23
TI  - Why A One-Way Relationship Between Capital Market and Foreign Exchange Market in Indonesia?
BT  - Proceedings of the BISTIC Business Innovation Sustainability and Technology International Conference (BISTIC 2021)
PB  - Atlantis Press
SP  - 64
EP  - 69
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.211115.009
DO  - 10.2991/aebmr.k.211115.009
ID  - Arianto2021
ER  -