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Analysis Factors Affecting Indonesia Stock Market (Case Studies on Consumer Goods Index)

Author

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  • Vietha Devia Sagita Sumantri

    (Huazhong University of Science and Technology)

Abstract

This study aims to examine the effect of exchange rate and inflation on the stock market. The exchange rate used is the Rupiah against the US Dollar and the Consumer Price Index as a measure of inflation. While the sector used as a stock market case study is the Consumer Goods Index Sector. The study period during 2010–2017. The method used multiple linear regression with R software. The classic assumption test results show the existence of autocorrelation problems, but can be correcting by the Cochrane-Orcutt method on Eviews after 8 model iterations. The results of multiple linear regression tests showed that the exchange rate has a significant negative effect, while inflation has no significant effect on the Consumer Goods Index.

Suggested Citation

  • Vietha Devia Sagita Sumantri, 2020. "Analysis Factors Affecting Indonesia Stock Market (Case Studies on Consumer Goods Index)," ACTA VSFS, University of Finance and Administration, vol. 14(1), pages 10-23.
    • Handle: RePEc:prf:journl:v:14:y:2020:i:1:p:10-23
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    References listed on IDEAS

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    More about this item

    Keywords

    exchange rate; inflation; stock market; consumer goods index;
    All these keywords.

    JEL classification:

    • E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Investment; Capital; Intangible Capital; Capacity
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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