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All Journal Pedagogi: Jurnal Ilmu Pendidikan Media Ekonomi dan Manajemen
Agung Nusantara
Universitas Stikubank
Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Industrial & Manufacturing Engineering

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Journal : Media Ekonomi dan Manajemen

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Data Driven Perspective on Stock Price - Macroeconomic Variables: Indonesia Economy 2016-2020 Agung Nusantara; Sri Nawatmi; Agus Budi Santosa
Media Ekonomi dan Manajemen Vol 37, No 2 (2022): July 2022
Publisher : Fakultas Ekonomika dan Bisnis UNTAG Semarang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24856/mem.v37i2.2818

Abstract

AbstractThe use of a theory-driven perspective is very common, especially in economics research, and even becomes an inevitable approach. Problems arise when data, as a form of reality, does not synergize with theory. The resulting conclusion is very likely to be different from the theoretical statement. One method that refers to data-driven is the Vector Auto-Regressive (VAR) model, which puts all the variables involved in a position as endogenous variables. This study seeks to identify a statistically more accurate relationship in the relationship between variables, stock prices, consumer price index, Jakarta Inter-Bank Over rate, exchange rate, and Net Balance Trade. Observations were made from January 2016 to December 2020. This study found evidence that there is a recursive relationship between stock price variables and macroeconomic variables. The VAR model identifies the Net Balance Trade variable as an endogenous variable in 3 types of sectoral stocks and only manufacturing sector stocks that resemble it. These results have two theoretical consequences: first, setting stock prices without differentiating sectors carries the risk of generalization errors. Second, setting stock prices as the endogenous variable means assuming that the market is perfect, and efficient and market participants have rational behavior.
Co-Authors Agus Budi Santosa Febri Sebastian Sri Nawatmi