Interaksi Dinamis antara Harga Saham dengan Nilai Tukar Rupiah Terhadap Dolar Amerika Serikat  

Oleh:

Saadah, Siti ; Panjaitan, Yunia

Jenis: Article from Journal - ilmiah nasional - tidak terakreditasi DIKTI - atma jaya
Dalam koleksi: Jurnal Ekonomi dan Bisnis vol. 6 no. 1 (Feb. 2006), page 46-62.
Topik: Vector Autoregression; Stock Price; Exchange Rate
Fulltext: hal 46-62.pdf (337.22KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ100.6 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Fluctuations in exchange rates can affect the values of the firm in many aspects. For example, changes in competition, input prices, foreign currency-denominated asset value, and firm's and aggregate stock price. In contrast, changes in stock prices could also influence the movement in the exchange rate through firm's portfolio adjustment. This paper examines the dynamic interaction between exchange rates and stock prices in Indonesian financial market using daily data from January 2001 to December 2004 and uses Vector Autoregression model to undertake the analysis. The result shows that there is no significant interaction between variables under this study. Moreover, the variance decomposition analysis shows that the variation of each variable happens mainly due to its own innovation.

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