Open AccessMENGKAJI PERUBAHAN NILAI TUKAR RUPIAH DAN PASAR SAHAM
Author(s) -
Untoro Untoro,
Priyo R. Widodo
Publication year - 2008
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.505
H-Index - 4
ISSN - 1410-8046
DOI - 10.21098/bemp.v10i4.230
Subject(s) - stock market index , stock exchange , stock market , index (typography) , autoregressive model , exchange rate , stock (firearms) , economics , financial economics , econometrics , monetary economics , geography , finance , computer science , context (archaeology) , archaeology , world wide web
This paper analyzes the relationship between the Exchange rate and the stock market in Jakarta, Singapore, Malaysia, Thailand, Philippine and Hongkong using a high frequency data. We applied the Vector Autoregressive method on the daily data covering 1 July 1997 to 30 June 2006.The analysis provides several results as follows: (i) the exchange rate movements is influenced by the regional and the Hongkong stock market index, except Thailand, (ii) Jakarta stock market index is influenced by the regional stock market except Thailand, (iii) the Rupiah rate influence the regional and Hongkong stock index, (iv) the Jakarta's stock market index is integrated to the regional stock market index. These results may be a usefull as an additional guidance to evaluate the Rupiah's exchange rate and the regional stock market movement in general.JEL Classification: C32, F31, G15Keywords: Stock, Vector Autoregressive, exchange rate.