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All Journal Proceeding of The International Conference on Economics and Business
Oyyappan Duraipandi
Lincoln University College
Economics, Econometrics & Finance

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Economic Risk and Stock Market Development: Evidence from Indonesia Stock Exchange Elmira Siska; Oyyappan Duraipandi
Proceeding of The International Conference on Economics and Business Vol. 2 No. 1 (2023): Proceeding of The International Conference on Economics and Business
Publisher : Universitas Kristen Indonesia Toraja

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.55606/iceb.v2i1.267

Abstract

The main objective of current research is to examine the long-run relationship between several economic risk factors which include the exchange rate, rates of interest, inflation, and the stock market capitalization in Indonesia. This study utilized secondary data from the first quarter of 2000 until the fourth quarter of 2020. This study employs a quantitative research design with a descriptive approach. Before processing the data using the Johansen Cointegration test and Vector Error Correction Model (VECM), the stationary of the data was checked by employing the Ng-Perron unit root test. The Eviews-10 program is used to process the data. Ng-Perron unit root test indicated that the time series is stationary at the first difference. Results of the Johansen Cointegration test confirmed that there is a long-term relationship between economic risk which consists of the USD exchange rate against the Rupiah, interest rates, inflation figures, and stock market capitalization. The VECM results indicate that this economic risk indicator has a negative effect on the development of the capital market in Indonesia. The study recommends that the government and policy maker should implement economic risk mitigation through monetary policy instruments to enhance the Indonesia capital market development
Effect of Systematic Risk on Stock Market Development in Indonesia: Moderating Role of Political Stability Elmira Siska; Oyyappan Duraipandi
Proceeding of The International Conference on Economics and Business Vol. 2 No. 1 (2023): Proceeding of The International Conference on Economics and Business
Publisher : Universitas Kristen Indonesia Toraja

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.55606/iceb.v2i1.268

Abstract

The objective of this study is to examine the effect of systematic risk which includes the exchange rate, rates of interest, inflation, and the stock market capitalization in Indonesia linked with political stability as moderating variable. This study is based on secondary data from the first quarter of 2000 until the last quarter of 2020. A quantitative research design with a descriptive approach was employed in this study. To avoid spurious regression, the stationary of the time series was checked by utilizing the Ng-Perron unit root test. To process the data, SPSS-25 and Eviews-10 programs were applied. According to the result of Ng-Perron test, the research’s variable is stationary at the first difference. The regression result confirmed that systematic risk, which consists of the USD exchange rate against the rupiah, interest rates, and inflation level have a negative impact on stock market development in Indonesia. Second, political stability plays an important role on the weakened negative impact of exchange rates, interest rates, and inflation on stock market development in Indonesia. The study recommends that the Indonesian government along with the public people must be able to maintain domestic political stability
Co-Authors Elmira Siska