Indonesian Stock Market Volatility: GARCH Model

Endri Endri, Zaenal Abidin, Torang P. Simanjuntak and Immas Nurhayati

Montenegrin Journal of Economics, 2020, vol. 16, issue 2, 7-17

Abstract: The purpose of this paper is to examine the effect of macroeconom-ic variables (interest rates, inflation and exchange rates) and global stock exchanges (STI, SSE, N225, DJIA, FTSE100) on the movement of the Indonesian stock exchange (IHSG). The research data analy-sis method uses the GARCH model for time series data for the peri-od January 2012 to December 2018. The results show that the BI-rate, Inflation, Exchange Rate, Straits Times Index (STI), Shanghai Stock Exhange (SSE), Shanghai Stock Exhange (SSE), Nikkei 225 (N225)), Dow Jones Industrial Average (DJIA) and Financial Times Stock Exchange 100 (FTSE100) together have a significant effect on the IHSG. Partially shows the BI-rate, Inflation, and SSE have a sig-nificant negative influence, negative N225 is not significant, while the Exchange, STI, DJIA has a significant positive effect and FTSE100 has a non-significant positive effect on the IHSG.

Date: 2020
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