Open AccessAnalisis Dinamis Hubungan Antara Harga Saham dan Variabel Makroekonomi
Author(s) -
Paulina Harun
Publication year - 2021
Publication title -
jurnal manajemen strategi dan aplikasi bisnis
Language(s) - English
Resource type - Journals
ISSN - 2655-237X
DOI - 10.36407/jmsab.v4i1.278
Subject(s) - economics , cointegration , distributed lag , balance of trade , exchange rate , interest rate , stock (firearms) , econometrics , industrial production index , monetary economics , industrial production , term (time) , inflation (cosmology) , macroeconomics , production (economics) , geography , physics , archaeology , quantum mechanics , theoretical physics
Previous research has proven the influence between interest rates, inflation, exchange rate, trade balance, industrial production index on stock prices. By using the Autoregressive Distributed Lag (ARDL) model approach and the 13 companies listed on the IDX, in this study, we will look deeper into the dynamics of long-term and short-term relationships for the aforementioned variables. The research period starts from January 2015 to December 2019, during which time there were many global upheavals that had a considerable impact on the Indonesian economy, through the ARDL model of interest rates, inflation, exchange rate, trade balance, industrial production index, and stock prices are proven to have long-term cointegration or move together in the long term. But not only in the long run, but these seven variables also have a dynamic short-term relationship that has a sufficient speed of adjustment towards equilibrium per month.