Macroeconomic Factors and Jakarta Stock Exchange: A Comparative Analysis Pre- and Until the COVID-19 Pandemic

Netti Natarida Marpaung and Irene Rini Demi Pangestuti

SAGE Open, 2024, vol. 14, issue 2, 21582440241247894

Abstract: The COVID-19 pandemic outbreak has caused disruptions in various aspects of life and the economy, including the movement of stock indexes. The objective of this study is to examine the influence of macroeconomic factors on the volatility of the Jakarta Composite Index both before and after the COVID-19 pandemic. Monthly secondary data from June 2007 to December 2019 were analyzed to identify pre-COVID trends, while data from June 2007 to December 2021 were used to identify post-COVID-19 patterns. The analysis incorporated the Granger causality test, Cointegration test, Vector Error Correction Model, and Augmented Dickey-Fuller. The results of the causality analysis revealed variations in the impact of interest rates, global oil prices, inflation, and exchange rates on the Jakarta Composite Index before and following the COVID-19 pandemic. These findings hold significance for investors as they enable the identification of potential risks associated with investments during global crises.

Keywords: cointegration test; COVID-19; Granger causality; stock index; macroeconomics; VECM (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:sae:sagope:v:14:y:2024:i:2:p:21582440241247894

DOI: 10.1177/21582440241247894

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