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All Journal Jurnal Manajemen Strategi dan Aplikasi Bisnis BERDAYA: Jurnal Pendidikan dan Pengabdian Kepada Masyarakat Jurnal Ekonomi, Manajemen dan Perbankan (Journal of Economics, Management and Banking) Jurnal Ilmu Manajemen & Ekonomika MDP Student Conference
Paulina Paulina
STIE Indonesia Banking School
Humanities Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Electrical & Electronics Engineering Public Health Social Sciences

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Journal : Jurnal Manajemen Strategi dan Aplikasi Bisnis

 1 
Analisis Dinamis Hubungan Antara Harga Saham dan Variabel Makroekonomi Paulina Harun
Jurnal Manajemen Strategi dan Aplikasi Bisnis Vol 4 No 1 (2021)
Publisher : Lembaga Pengembangan Manajemen dan Publikasi Imperium

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.36407/jmsab.v4i1.278

Abstract

Previous research has proven the influence between interest rates, inflation, exchange rate, trade balance, industrial production index on stock prices. By using the Autoregressive Distributed Lag (ARDL) model approach and the 13 companies listed on the IDX, in this study, we will look deeper into the dynamics of long-term and short-term relationships for the aforementioned variables. The research period starts from January 2015 to December 2019, during which time there were many global upheavals that had a considerable impact on the Indonesian economy, through the ARDL model of interest rates, inflation, exchange rate, trade balance, industrial production index, and stock prices are proven to have long-term cointegration or move together in the long term. But not only in the long run, but these seven variables also have a dynamic short-term relationship that has a sufficient speed of adjustment towards equilibrium per month.
Analisis Volatilitas Variabel Makroekonomi dan Harga Saham Menggunakan Generalized Autoregressive Conditonal Heteroscedasticity (Garch Model) Paulina Paulina
Jurnal Manajemen Strategi dan Aplikasi Bisnis Vol 5 No 1 (2022)
Publisher : Lembaga Pengembangan Manajemen dan Publikasi Imperium

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.36407/jmsab.v5i1.533

Abstract

Macroeconomic variables often have an impact on stock price volatility and this is needed especially to determine stock price policies in the future. The approach used to see the extent of the volatility of macroeconomic variables on stock prices is the ARCH/GARCH model. This study aims to analyze the nature of stock price volatility in the food and beverage industry in Indonesia using ARCH/GARCH. The data used in this study is secondary data, namely the stock prices of food and beverage industry companies during the period January 2015 to May 2021. The analysis of stock price volatility was carried out with the help of the Eviews 9 software. The results showed the characteristics of the stock price volatility of food and beverage companies based on the ARCH model. /GARCH is quite risky in the short term but not in the long term (indicated by macroeconomic variables of exchange rates, short-term interest rates), so that stock price movements can be anticipated as an early warning system of an increase or decrease in stock prices in the sector. In addition, it can be estimated that the volatility of stock prices in the future is moderate with changes in macroeconomic variables. For policy makers to anticipate changes in macroeconomic variables in certain situations, such as during the current Covid 19 pandemic.
Co-Authors Anindya Prihandini Antyo Pracoyo Atman Poerwokoesoemo Brigitta Kintan Dan Gunnard Lebang Devita Meliana R Dhea Asyifa Salma Erric Wijaya, Erric Farizka Dinda Marsyandi Gita Chairunnisa Hazrilia Putri Fanida Margaretha Yosilia Michelle Pamela Muhammad Irfa Muhammad Rasyid Ridho Priska C. Hatta Raynaldo Free Altiro Rika Septafani Syifa Malona Wasi Bagasworo Whony Rofianto