Stock Price and Exchange Rate Interaction in Indonesia: An Empirical Inquiry

W.N.w Azman-Saini, Muzafar Shah Habibullah and M Azali
Authors registered in the RePEc Author Service: M. Azali

Economics and Finance in Indonesia, 2002, vol. 50, 311-320

Abstract: Tujuan utama dari tulisan ini adalah untuk menginvestigasi hubungan kausalitas antara stock price dan exchange rate di Indonesia. Setelah mengintegrasikan setiap series dengan menggunakan unit root test ADF, PP, dan KPSS, seperti hubungan kausalitas diuji dengan Granger non-causality test yang diperkenalkan oleh Toda dan Yamato (1995). Hasilnya menunjukkan bahwa ada kausalitas dua arah (bi-directional) antara exchange rate dan stock price sebelum terjadinya krisis keuangan di Asia. Namun, selama krisis, exchange rate mempengaruhi stock market di Indonesia.

Date: 2002
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