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All Journal Jurnal Aplikasi Bisnis dan Manajemen (JABM) E-Journal SEIKO : Journal of Management & Business BENING Indicators : Journal of Economic and Business Jurnal Industri Pariwisata JEBDEKER: Jurnal Ekonomi, Manajemen, Akuntansi, Bisnis Digital, Ekonomi Kreatif, Entrepreneur Jurnal Ilmiah Manajemen, Ekonomi dan Akuntansi International Business and Accounting Research Journal Journal of Artificial Intelligence and Digital Business Jurnal Pengabdian Masyarakat Ekonomi dan Bisnis Digital International Conference on Digital Advanced Tourism, Management, and Technology
Rahmat Budi Santoso
Program Studi Manajemen, Universitas AKI
Religion Humanities Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Electrical & Electronics Engineering Engineering Environmental Science Social Sciences

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The Integration of The Indonesian Stock Market With Developed Stock Markets: Pre- and Post-Covid-19 Pandemic Tri Purwani; Rahmat Budi Santoso; Ana Kadarningsih
Jurnal Aplikasi Bisnis dan Manajemen Vol. 11 No. 1 (2025): JABM, Vol. 11 No. 1, Januari 2025
Publisher : School of Business, Bogor Agricultural University (SB-IPB)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.17358/jabm.11.1.284

Abstract

Background: Stock portfolio management is essential for risk reduction and forecasting future stock market movements. When Covid-19 was declared a pandemic, stock markets worldwide, particularly the Indonesian stock market, faced significant declines. The Indonesian market dropped by 33%, mirroring a global trend of simultaneous declines, indicating a joint movement among stock markets.Purpose: This study aims to investigate the integration of the Indonesian stock market with the ten largest stock markets by market capitalization globally, comparing the periods before and after the Covid-19 pandemic.Design/Methodology/Approach: The study utilizes daily closing returns of stock market indices, divided into two periods: before the crisis (January 1, 2016 - December 31, 2019) and after the crisis (January 1, 2020 - December 31, 2023). Data is sourced from Yahoo Finance. The analysis combines Orthogonal Generalized Autoregressive Conditional Heteroscedasticity (OGARCH) and Principal Component Analysis (PCA).Findings/Results: The results show that integration between stock markets was higher in the post-crisis period, indicating an increase in market integration after the Covid-19 pandemic. The Indonesian stock market remained segmented in both periods, exhibiting low correlation with other markets. European and American stock markets showed higher integration, while Asian markets were generally segmented.Conclusion: Post-pandemic integration was higher than before, though the Indonesian stock market continued to have low correlation with other global markets, despite a slight increase in correlation over time.Originality/Value: This research offers a novel comparative analysis of stock market integration, highlighting Indonesia’s persistent market segmentation despite global shifts before and after the Covid-19 pandemic. Keywords: Covid-19, market capitalization, OGARCH, stock markets, PCA
Pengaruh Nilai Tukar, Suku Bunga, Inflasi dan Harga Emas Terhadap Indeks IDX Finance Rahmat Budi Santoso; Tri Purwani; Erawati Kartika; Ika Listyawati
Journal of Economics and Business Vol 6, No 2 (2024): November
Publisher : Ikatan Sarjana Ekonomi Indonesia Cabang Semarang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47729/indicators.v6i2.177

Abstract

Penelitian ini bertujuan untuk mencari tahu berbagai faktor yang memengaruhi pergerakan indeks IDX Finance. Sampel yang digunakan adalah indeks sektor keuangan, yaitu IDX Finance. Data yang digunakan adalah data bulanan. Periode waktu penelitian yang digunakan yaitu 31 Januari 2021 – 31 Maret 2024, sehingga data yang digunakan sebanyak 39 data deret waktu. Data suku bunga dan inflasi bersumber dari website Bank Indonesia (www.bi.go.id), sedangkan nilai tukar dan harga emas bersumber dari website Investing (www.investing.com). Teknik analisis yang digunakan adalah regresi berganda. Hasil penelitian menunjukan bahwa nilai tukar, inflasi dan harga emas berpengaruh positif terhadap indeks IDX Finance, sedangkan suku bunga memiliki pengaruh negatif terhadap indeks IDX Finance. Berdasarkan hasil tersebut dapat disimpulkan bahwa investor diharapkan tidak membeli saham perusahaan di sektor keuangan ketika suku bunga sedang tinggi.
Co-Authors Ana Kadarningsih Bunga Rosa Afilia Erawati Kartika Erawati Kartika Fauziah, Annisa Fitri Harjum Muharam Ika Listyawati Ika Listyawati Ika Listyawati  Karmelia Emi Trimiati Kartika, Erawati Mindrawati, Deny Nitalia Pamungkas, Fajar Raden Rara Ayu Widaningsih Samekto, Agus Aji Setyowati, Deliana Putri Sudarman Sudarman Suhaji Tri Purwani Tri Purwani Tri Purwani Tri Purwani, Tri Trimiati, Karmelia Emi Zebua, Martalena