Statistical analysis on the effect of exchange rate on stock price in Indonesia: an application of ARDL and IGARCH models-Reference-Cited by-同舟云学术

Statistical analysis on the effect of exchange rate on stock price in Indonesia: an application of ARDL and IGARCH models

Published:2021-05-01 Issue:1 Volume:1899 Page:012117
ISSN:1742-6588
Container-title:Journal of Physics: Conference Series
language:
Short-container-title:J. Phys.: Conf. Ser.

Author:

Adam P,Cahyono E,Mukhsar ,Millia H,Abapihi B,Mukhtar N,Ome Lilis La

Abstract

Abstract This study aimed to examine the influence of the IDR/USD exchange rate on stock prices in Indonesia. The data used were the IDR/USD exchange rate and the monthly composite price index that spanned from January 2004 to October 2017. To test the effect of the IDR/USD exchange rate on stock prices, the distributed lag (ARDL) autoregressive model and integrated general autoregressive conditional heteroskedasticity (IGARCH) were used. The result of analysis showed that there was influence of IDR/USD rate to stock prices either in short term and in long term. In the long term, every 1% decrease in the exchange rate of IDR/USD, the change in stock price rise.

Publisher

IOP Publishing

Subject

General Physics and Astronomy

Link

https://iopscience.iop.org/article/10.1088/1742-6596/1899/1/012117/pdf

Reference33 articles.

1. Volatility of stock market returns and the Naira exchange rate;Kpughur;Global Finance Journal,2018

2. Exchange rates and the current account;Dornbusch;The American Economic Review,1980

3. Exchange Rates and Stock Markets: A Cointegrated Vector Autoregressive Approach to Model the ynamics of the U. S Exchange Rate and the Swedish Stock Market;Fathi,2013

4. On exchange rate changes and stock price reactions;Ma;Journal of Business Finance & Accounting,1990

5. The relationship between exchange rates and stock prices: the case of Mexico;Kutty;North American Journal of Finance and Banking Research,2010

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Stock price prediction based on Weighted Meta-Extreme Learning Machine;2024 39th Youth Academic Annual Conference of Chinese Association of Automation (YAC);2024-06-07

2. Quantitative Modeling of Financial Contagion: Unraveling Market Dynamics and Bubble Detection Mechanisms;Risks;2024-02-08