Open AccessAnalysis of The Influence of Exchange, Inflation, Gross Domestic Product, Interest Rate, and The Amount of Money Circulation On The LQ45 Index In The Indonesia Stock Exchange Between 2016-2020
Author(s) -
Abdul Rahman Nurmansyah,
Hakiman Thamrin
Publication year - 2022
Publication title -
jurnal syntax admiration
Language(s) - English
Resource type - Journals
eISSN - 2722-7782
pISSN - 2722-5356
DOI - 10.46799/jsa.v3i1.380
Subject(s) - economics , money supply , gross domestic product , exchange rate , variance decomposition of forecast errors , econometrics , monetary economics , capitalization weighted index , interest rate , stock (firearms) , stock exchange , inflation (cosmology) , error correction model , index (typography) , stock market index , stock market , macroeconomics , cointegration , biology , finance , mechanical engineering , physics , paleontology , horse , theoretical physics , world wide web , computer science , engineering
The objective of this research was to analyze the short and the long-run relationship between five macroeconomics variables such as exchange rate, inflation, Gross Domestic Product (GDP), SBI rate, and money supply to examine their influence on the LQ45 stock price index. The data sample used in this study is monthly time series data from January 2016 to December 2020. This study used Vector Error Correction Model to analyze the problem. The result shows that in the short run (1 month ago), exchange rate, inflation, Gross Domestic Product (GDP), SBI rate, and money supply do not influence the LQ45 stock price index. In the long run, the exchange rate has positive inflation, SBI rate, and money supply negatively influence the LQ45 stock price index. Therefore, Gross Domestic Product (GDP) does not influence the LQ45 stock price index. The results of the Impulse Response Function and Variance Decomposition, SBI rate, is a variable that provides the most significant contribution to the LQ45 stock price index