Factors Affecting the Indonesia Stock Exchange: A Multi-Index Approach

Didik Susilo, Sugeng Wahyudi and Irene Rini Demi Pangestuti

International Journal of Financial Research, 2020, vol. 11, issue 2, 196-204

Abstract: This study examines the influence of world and regional capital market conditions on the Indonesian capital market (Indonesia Stock Exchange) condition. The DJIA (Dow Jones Industrial Average) index was used as a representative of the international capital market while the Hang Seng index and the Nikkei 225 index were used as a representative of regional capital market conditions. These two indices were chosen because the Japanese capital market was one of the most advanced capital markets in the world and the Hong Kong capital market, although not as big as Japan, still played an important role in the world. The data were obtained from Yahoo Finance during the period of 2014-2018. The dependent variable was the change in the JCI (Jakarta Composite Index), while the independent variables were changes in the index of DJIA, Nikkei 225 and Hang Seng index. Using daily data analyzed by the ARIMA method (1,1), it was found that there was a significant positive effect of DJIA with lag 1 and Hang Seng index on the JCI, but no significant effect was found from the Nikkei 225 index on the JCI.

Keywords: capital market integration; multi-index model; Indonesia Stock Exchange; Dow Jones Industrial Average (DJIA); Nikkei 225; Hang Seng and ARIMA (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:jfr:ijfr11:v:11:y:2020:i:2:p:196-204

DOI: 10.5430/ijfr.v11n2p196

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