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All Journal International Journal of Multidisciplinary Research and Literature (IJOMRAL) International Journal of Science and Environment
Sianipar, Makmur
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Short-Run Relationships Between Indonesia’s Capital Market And BRICS Countries Using Granger Causality Sianipar, Makmur; Indrayono, Yohanes; Sasongko, Hendro
International Journal of Science and Environment (IJSE) Vol. 5 No. 2 (2025): May 2025
Publisher : CV. Inara

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.51601/ijse.v5i2.117

Abstract

This study investigates the short-term causal relationships between Indonesia’s capital market and the stock markets of BRICS countries, Brazil, Russia, India, China, and South Africa, using the Granger Causality Test on daily data from June 2023 to May 2025. Following Indonesia’s formal membership in BRICS in January 2025, understanding these financial linkages becomes increasingly vital for portfolio diversification, risk management, and macroeconomic policy. The analysis reveals significant short-term causal interactions, particularly between the Jakarta Stock Exchange (JSX) and markets such as FTSEJSE (South Africa), BOVESPA (Brazil), MOEX (Russia), and SHANGHAI (China). South Africa emerges as a central transmitter of volatility, while Indonesia demonstrates both influence and sensitivity to BRICS markets. The findings highlight asymmetric integration within BRICS, indicating that while some markets exert predictive influence, others remain relatively independent in the short term. This research contributes to the literature by focusing on Indonesia’s strategic role post-membership and offering practical insights for investors and policymakers. Recommendations include enhancing real-time cross-country market surveillance and further research incorporating macroeconomic variables and nonlinear models to assess long-term integration. The study underlines the growing interdependence among emerging markets in an era of intensified globalization.
THEORETICAL MODEL EVALUATION OF STOCK PRICE AND EXCHANGE RATE RELATIONSHIPS IN BRICS COUNTRIES Sianipar, Makmur; Indrayono, Yohanes; Sasongko, Hendro
International Journal of Multidisciplinary Research and Literature Vol. 4 No. 4 (2025): INTERNATIONAL JOURNAL OF MULTIDISCIPLINARY RESEARCH AND LITERATURE
Publisher : Yayasan Education and Social Center

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.53067/ijomral.v4i4.354

Abstract

This study investigates the theoretical and empirical relationships between stock prices and exchange rates within the BRICS countries (Brazil, Russia, India, China, South Africa, and Indonesia), particularly focusing on Indonesia following its official inclusion in BRICS on January 6, 2025. Using a daily time series dataset from June 2023 to May 2025, this research applies the Granger Causality Test to evaluate the direction of causality between capital and foreign exchange markets. The study is grounded in four major theoretical frameworks: flow-oriented, stock-oriented, portfolio balance, and asset market models. The analysis reveals a heterogeneous structure of interdependence across BRICS countries, encompassing both unidirectional and bidirectional causalities. Notably, Indonesia’s capital market (JSX) demonstrates predictive influence over the domestic exchange rate (IDR), supporting the stock-oriented hypothesis. Moreover, the South African Rand (ZAR) exhibits dominant influence across multiple BRICS markets, while China’s Yuan (CNY) significantly affects the South African stock index, confirming China’s pivotal economic role. The study also identifies feedback loops between several country pairs, indicating strong financial integration and information transmission. This research contributes to the literature by incorporating daily data analysis and exploring the impact of Indonesia’s BRICS membership, an area previously underexplored. It offers theoretical enrichment by mapping empirical findings onto established models and provides policy insights for enhancing macro-financial coordination and volatility risk management among BRICS nations.
Co-Authors Hendro Sasongko Indrayono, Yohanes