Currency Crisis Effect on the Stock Market: A Case Study in Indonesia

Sanjoyo
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Sanjoyo: Staff, National Development Planning Agency (Bappenas), Jakarta

Economics and Finance in Indonesia, 2001, vol. 49, 259-293

Abstract: Studi ini menganalisa hubungan sebab akibat antara rupiah exchange rate dengan stock price market index di Indonesia selama Februari 1996 sampai dengan July 2000 dengan menggunakan Vector Autoregression (VAR) test. Data harian di bagi dalam tiga sub-periode: pre-crisis, peak-crisis dan post-crisis. Studi ini menunjukan bahwa ada hubungan yang kuat dari rupiah exchange rate pada stock price index dalam kurun waktu post-crisis; tendensi hubungan yang kuat dari stock price index pada rupiah exchange rate sebelum krisis; serta hubungan kausalitas yang lemah dalam kurun waktu peak-crisis

Date: 2001
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