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All Journal CALYPTRA : Jurnal Ilmiah Mahasiswa Universitas Surabaya Management Studies and Entrepreneurship Journal (MSEJ) Management Science Research Journal Tsaqofah: Jurnal Penelitian Guru Indonesia
Dwi Winarno, Dwi
Universitas Surabaya
Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Social Sciences

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Journal : Management Science Research Journal

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The impact of macroeconomic variables and the volatility index (VIX) on the Indonesian Composite Index Winarno, Dwi; Manurung, Adler Haymans; Sembel, Roy; Hardiyanti, Siti Epa
Management Science Research Journal Vol. 2 No. 3 (2023): August 2023
Publisher : PT Larva Wijaya Penerbit

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.56548/msr.v2i3.61

Abstract

This study investigates the relationship and influence between variables in the context of the Indonesian Composite Stock Price Index (IHSG). The Vector Error Correction Model (VECM) is estimated using a dataset with a complete sample size of 32 and a final sample size of 27. The results of the study show that the IHSG has a significant influence on its own movement in each period, indicating a self-reinforcing pattern. The VIX index shows a significant negative influence on changes in IHSG in the previous period, indicating the impact of market volatility on the IHSG. On the other hand, variables such as Gross Domestic Product (GDP), Inflation, and Bank Indonesia's Middle Exchange Rate (Middle Rate BI) do not show a significant influence on changes in IHSG in the previous period. Furthermore, the analysis of long-term influence indicates that changes in IHSG in the previous period have a significant negative influence on changes in IHSG in the current period, reflecting a tendency towards long-term equilibrium. The VIX index also shows a significant positive influence on changes in IHSG in the current period, indicating short-term volatility effects. However, GDP, Inflation, and Middle Rate BI do not have a significant influence on changes in IHSG in the current period
Co-Authors Adler Haymans Manurung Anshory, Muhammad Isa Hardiyanti, Siti Epa Meti Fatimah Mujahid, Kasori Puspabhuana, Adam Putri, Putri Sarah Olivia Ridha, Ahmad Rasyid Roy Sembel Siti Rohimah Soleha, Zachro Sukari Sukari, Sukari Tisnawati, Tin Wakhidah Kurniawati Yenny Sugiarti