Model Vector Autoregressive (VAR) Hubungan Dinamis Antara Harga Saham dan Nilai Tukar Rupiah: Penerapan pada IHSG dan Indeks Sektoral di Bursa Efek Jakarta Tahun 1990-2001

Vector Autoregressive (VAR) Model of Dynamic Linkage between Stock Indices and Rupiah's Exchange Rate: Application to Composite and Sectoral Indices on Jakarta Stock Exchange in 1990-2001

Andriansyah Andriansyah

MPRA Paper from University Library of Munich, Germany

Abstract: This study examines the dynamic linkage between stock indices (e.g., composite and sectoral indices on the Jakarta Stock Exchange) and Rupiah's exchange rate at three different periods. Granger causality testing technique is used, based on VAR model if data have no cointegration relationship and VEC model if they do. The Jakarta composite index and Rupiah show no causality relationship during the pre-crisis period but unidirectional and feedback causality at the crisis and recovery period, respectively. However, the portfolio approach is more dominant than the traditional approach at the crisis and recovery period but not at the pre-crisis period. Feedback causality that does not happen at pre-crisis is dominant with the portfolio approach at crisis and recovery periods.

Keywords: The Jakarta Stock Exchange; stock indices; Rupiah; dynamic relationship (search for similar items in EconPapers)
JEL-codes: C58 E44 (search for similar items in EconPapers)
Date: 2003
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Published in Jurnal Keuangan dan Moneter 6.1(2003): pp. 69-84

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:111641

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