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All Journal E-Jurnal Ekonomi dan Bisnis Universitas Udayana Jurnal Manajemen dan Bisnis Sriwijaya Media Ekonomi dan Manajemen UNEJ e-Proceeding Jurnal Manajemen dan Kewirausahaan (JMDK) EKONOMIS : Journal of Economics and Business JOURNAL OF APPLIED BUSINESS ADMINISTRATION Ultima Management : Jurnal Ilmu Manajemen Madaniya International Journal on Social Science, Economics and Art Study & Management Research
Gusni .
Universitas Widyatama
Religion Humanities Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Industrial & Manufacturing Engineering Languange, Linguistic, Communication & Media Law, Crime, Criminology & Criminal Justice Library & Information Science Social Sciences

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Volatility Composite Index and Exchange Rates in Indonesia: EGARCH/TARCH Model for VAR Estimation Lia Amaliawiati; Gusni Gusni; Eristy Minda Utami; Farida Nursjanti; Siti Komariah
Ekonomis: Journal of Economics and Business Vol 7, No 2 (2023): September
Publisher : Universitas Batanghari Jambi

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33087/ekonomis.v7i2.1348

Abstract

Composite index and exchange rate are important indicators that represent a country's economic performance, where there is a relationship between the two. In this study, the ideal model to capture the volatility of the composite index and exchange rate will be determined. to investigate the dynamic dependency relationship between the composite index and the exchange rate, first use a Vector Autoregressive (VAR) model. The best model in describing the volatility of the composite index is the EGARCH model while the exchange rate is using the TARCH model. According to research, there is an asymmetry relationship between the volatility of stock returns and the exchange rate, which means that the market will react to bad news more quickly than good news. According to the VAR model, the present volatility is influenced by the volatility of the prior period and there is a one-way causal relationship between the composite index and the exchange rate.
Market capitalization growth and leverage level on the performance of automotive and component sub-sector shares Suskim Riantani; Gusni Gusni; Siti Komariah
International Journal on Social Science, Economics and Art Vol. 13 No. 3 (2023): Nov: Social Science, Economics
Publisher : Institute of Computer Science (IOCS)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.35335/ijosea.v13i3.403

Abstract

The performance of stocks, as measured by stock return, is a crucial factor and often a primary consideration for investors when making investment decisions. The potential for profit in investing is attainable when investments are made for the long term and in the right instruments. The objective of this research is to analyze the influence of market capitalization growth, measured by the value of stock price and tradable shares, and leverage level, measured using the debt to equity ratio, on stock performance measured by stock returns. The research methodology employs descriptive verification analysis with a quantitative approach. The study focuses on the manufacturing industry, specifically the automotive and component sub-sector, listed on the Indonesian Stock Exchange (IDX). Observations were carried out over the period 2015-2020, involving 12 stock issuers. The sampling method utilized was purposive sampling. Data analysis was conducted using panel data regression, with the application of an F-test to examine the research model and a t-test to evaluate the research hypotheses at a significance level of 5% alpha. The results of the model test demonstrate a good fit, allowing for the subsequent testing of research hypotheses. The research findings reveal that market capitalization growth (market cap) has a positive and significant correlation with stock performance, as measured by stock returns. On the other hand, the leverage level measured using the debtto equity ratio has not impacted stock performance.
Co-Authors Agnes Vinelda Disman Disman Eristy Minda Utami Farida Nursjanti Hesty Juni Tambuati Subing Lia Amaliawiati NILA DEWI W Nugraha Nugraha Puspo Dewi Dirgantari Ratih Hurriyati Siti Komariah Suskim Riantani Suskim Riantani, Suskim Syamsu Yusuf Tomas Chochole Wahyu Panji Nugrahani Yuliani, Reva