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All Journal Grimsa Journal of Business and Economics Studies
Gebrina Rezeki
Department of Accounting, Faculty of Economics and Business, Universitas Syiah Kuala, Banda Aceh 23111, Indonesia
Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Energy Environmental Science Social Sciences

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Examining the Static and Dynamic Relationship Between Policy Rates and Stock Prices: A Panel Data Analysis Natasha Athira Keisha Hardia; Gebrina Rezeki
Grimsa Journal of Business and Economics Studies Vol. 1 No. 1 (2024): January 2024
Publisher : Graha Primera Saintifika

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.61975/gjbes.v1i1.16

Abstract

This study aims to examine the impact of the central bank’s interest rate on the stock price of the top five largest capitalization companies in Indonesia from January 2009 to December 2022. The research method employs both static and dynamic approaches, including Ordinary Least Squares (OLS), Robust Least Squares (RLS), Dynamic Ordinary Least Squares (DOLS), and Fully-Modified Ordinary Least Squares (FMOLS) methods. The results of econometric estimation align with the theory and this study's hypothesis, indicating that the increase of the central bank's interest rate negatively impacts company stock prices, especially in the long term. This valuable empirical evidence suggests that investors with a long-term perspective may need to reassess their portfolios in light of anticipated changes in monetary policy. Proactively monitoring these developments can help companies and investors make timely and well-informed decisions.
Co-Authors Natasha Athira Keisha Hardia