THE ANALYSIS OF INTEGRATION AND THE IMPACT OF MACROECONOMICS TOWARDS SECTOR STOCK INDEXES IN INDONESIA’S STOCK EXCHANGE: A CASE STUDY IN THE PERIOD OF 2009-2016

• Published in: Russian journal of agricultural and socio-economic sciences Vol. 85; no. 1; pp. 180 - 188
• Main Authors: Shafadina, R., Hartoyo, S., Sasongko, H.
• Format: Journal Article
• Language: English
• Published: iVolga Press 07.01.2019
• Subjects: integration; macroeconomics; Sectoral stock index; VAR/VECM
• ISSN: 2226-1184; 2226-1184
• DOI: 10.18551/rjoas.2019-01.21

This study will measure the level of integration that occurs between the Sectoral Index in Indonesia Stock Exchange. This research will also analyze the effect of macroeconomy effect covering exchange rate, inflation, world oil price, and interest rate on Sectorial Index in Indonesia Stock Exchange. The analysis method used is VAR and VECM. The data analysis uses VAR/VECM includes three major analysis tools namely Johannsen cointegration test, Impulse Response Function (IRF), and Forecast Error Variance Decomposition (FEVD). The research results show that there is integration between sectoral shares in Indonesia Stock Exchange. The nine sectors responded negatively to the inflationary shock and BI rate. Meanwhile, they responded positively on the world oil price shock. Exchange rate shock was responded positively by the basic and chemical industry sectors, consumer goods industry sector, property and real estate sectors, miscellaneous industry sector, consumer goods industry sector, property and real estate sectors, transportation and infrastructure sectors, financial and trade, services, and investments sectors. While the agricultural sector, mining sector, and various sectors of the industry responded negatively against the exchange rate shock.