RELATIONSHIP BETWEEN MACROECONOMIC VARIABLES VOLATILITY AND STOCK MARKET VOLATILITY IN INDONESIA
The aim of this study is to examine the relationship between macroeconomic variables volatility and stock market volatility in Indonesia. There are four macroeconomic variables selected, including industrial production, exchange rate, inflation rate and money supply in this paper. The stock market a...
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Universiti Malaysia Sarawak, (UNIMAS)
2014
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Online Access: | http://ir.unimas.my/id/eprint/37569/1/Loke%20Phui%20Sea%2024pgs.pdf http://ir.unimas.my/id/eprint/37569/4/Loke%20Phui%20Sea%20ft.pdf http://ir.unimas.my/id/eprint/37569/ |
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my.unimas.ir.375692024-03-01T03:20:49Z http://ir.unimas.my/id/eprint/37569/ RELATIONSHIP BETWEEN MACROECONOMIC VARIABLES VOLATILITY AND STOCK MARKET VOLATILITY IN INDONESIA LOKE, PHUI SEA HG Finance The aim of this study is to examine the relationship between macroeconomic variables volatility and stock market volatility in Indonesia. There are four macroeconomic variables selected, including industrial production, exchange rate, inflation rate and money supply in this paper. The stock market and macroeconomic variables are carried out from January 1986 to December 2013 which contains a monthly data set of 336 observations. Data of all the variables are obtained from the DataStream. This paper employs GARCH (1, 1) model to estimate the conditional volatility. The results showed all variables exhibit volatility clustering. Based on VAR Granger Causality test, the result indicates that there is only an unidirectional causal relationship from stock market volatility to exchange rate volatility in the short run. In addition from the multiple regression analysis, exchange rate volatility is found to be significant with stock market volatility. However, the findings concluded that there is a weak relationship between macroeconomic variables volatility and stock market volatility in Indonesia. Policy makers should take into account the stock market volatility in making any policy related to exchange rate and vice versa. Universiti Malaysia Sarawak, (UNIMAS) 2014 Final Year Project Report NonPeerReviewed text en http://ir.unimas.my/id/eprint/37569/1/Loke%20Phui%20Sea%2024pgs.pdf text en http://ir.unimas.my/id/eprint/37569/4/Loke%20Phui%20Sea%20ft.pdf LOKE, PHUI SEA (2014) RELATIONSHIP BETWEEN MACROECONOMIC VARIABLES VOLATILITY AND STOCK MARKET VOLATILITY IN INDONESIA. [Final Year Project Report] (Unpublished) |
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HG Finance LOKE, PHUI SEA RELATIONSHIP BETWEEN MACROECONOMIC VARIABLES VOLATILITY AND STOCK MARKET VOLATILITY IN INDONESIA |
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The aim of this study is to examine the relationship between macroeconomic variables volatility and stock market volatility in Indonesia. There are four macroeconomic variables selected, including industrial production, exchange rate, inflation rate and money supply in this paper. The stock market and macroeconomic variables are carried out from January 1986 to December 2013 which contains a monthly data set of 336 observations. Data of all the variables are obtained from the DataStream. This paper employs GARCH (1, 1) model to estimate the conditional volatility. The results showed all variables exhibit volatility clustering. Based on VAR Granger Causality test, the result indicates that there is only an unidirectional causal relationship from stock market volatility to exchange rate volatility in the short run. In addition from the multiple regression analysis, exchange rate volatility is found to be significant with stock market volatility. However, the findings concluded that there is a weak relationship between macroeconomic variables volatility and stock market volatility in Indonesia. Policy makers should take into account the stock market volatility in making any policy related to exchange rate and vice versa. |
format |
Final Year Project Report |
author |
LOKE, PHUI SEA |
author_facet |
LOKE, PHUI SEA |
author_sort |
LOKE, PHUI SEA |
title |
RELATIONSHIP BETWEEN MACROECONOMIC VARIABLES VOLATILITY AND STOCK MARKET VOLATILITY IN INDONESIA |
title_short |
RELATIONSHIP BETWEEN MACROECONOMIC VARIABLES VOLATILITY AND STOCK MARKET VOLATILITY IN INDONESIA |
title_full |
RELATIONSHIP BETWEEN MACROECONOMIC VARIABLES VOLATILITY AND STOCK MARKET VOLATILITY IN INDONESIA |
title_fullStr |
RELATIONSHIP BETWEEN MACROECONOMIC VARIABLES VOLATILITY AND STOCK MARKET VOLATILITY IN INDONESIA |
title_full_unstemmed |
RELATIONSHIP BETWEEN MACROECONOMIC VARIABLES VOLATILITY AND STOCK MARKET VOLATILITY IN INDONESIA |
title_sort |
relationship between macroeconomic variables volatility and stock market volatility in indonesia |
publisher |
Universiti Malaysia Sarawak, (UNIMAS) |
publishDate |
2014 |
url |
http://ir.unimas.my/id/eprint/37569/1/Loke%20Phui%20Sea%2024pgs.pdf http://ir.unimas.my/id/eprint/37569/4/Loke%20Phui%20Sea%20ft.pdf http://ir.unimas.my/id/eprint/37569/ |
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1792658557831741440 |
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13.159267 |