Effect of Macroeconomic Factors on the Composite Stock Price Index Using the Vector Auto Regression (VAR) Method

DOI

10.2991/aebmr.k.200305.081How to use a DOI?

Keywords

Composite Stock Price Index, Money Supply, Exchange Rate, Interest Rate

Abstract

This study aims to examine the effect of the exchange rate (ER), the money supply (M2) and interest rates (IR) to the composite stock price index (CSPI). The data used are monthly data from January 2010 to December 2017 and data collected from Bank Indonesia. In processing data using the Vector Auto Regression (VAR) method. From the results of this study it can be found that there is no reciprocal relationship between variables, but there is a one-way relationship between these variables. The variable that has the biggest contribution to the composite stock price index variable is the variable itself in Lag 1. There is a positive and significant relationship between each variable and there is also a negative and significant effect between each variable.

Copyright

© 2020, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Zul Azhar
AU  - Hari Setia Putra
AU  - Dika Saputra
PY  - 2020
DA  - 2020/03/10
TI  - Effect of Macroeconomic Factors on the Composite Stock Price Index Using the Vector Auto Regression (VAR) Method
BT  - Proceedings of the 4th Padang International Conference on Education, Economics, Business and Accounting (PICEEBA-2 2019)
PB  - Atlantis Press
SP  - 288
EP  - 294
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.200305.081
DO  - 10.2991/aebmr.k.200305.081
ID  - Azhar2020
ER  -