Mengkaji Perubahan Nilai Tukar Rupiah dan Pasar Saham

Untoro () and Priyo R. Widodo ()
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Untoro: Bank Indonesia
Priyo R. Widodo: Bank Indonesia

Bulletin of Monetary Economics and Banking, 2008, vol. 10, issue 4, 337-360

Abstract: This paper analyzes the relationship between the Exchange rate and the stock market in Jakarta, Singapore, Malaysia, Thailand, Philippine and Hongkong using a high frequency data. We applied the Vector Autoregressive method on the daily data covering 1 July 1997 to 30 June 2006. The analysis provides several results as follows: (i) the exchange rate movements is influenced by the regional and the Hongkong stock market index, except Thailand, (ii) Jakarta stock market index is influenced by the regional stock market except Thailand, (iii) the Rupiah rate influence the regional and Hongkong stock index, (iv) the Jakarta»s stock market index is integrated to the regional stock market index. These results may be a usefull as an additional guidance to evaluate the Rupiah»s exchange rate and the regional stock market movement in general.

Keywords: Stock; Vector Autoregressive; exchange rate (search for similar items in EconPapers)
JEL-codes: C32 F31 G15 (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:idn:journl:v:10:y:2008:i:4b:p:337-360

DOI: 10.21098/bemp.v10i4.230

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