Document Type
Article
Abstract
This paper analyzes the relationship between the Exchange rate and the stock market in Jakarta, Singapore, Malaysia, Thailand, Philippine and Hongkong using a high frequency data. We applied the Vector Autoregressive method on the daily data covering 1 July 1997 to 30 June 2006.The analysis provides several results as follows: (i) the exchange rate movements is influenced by the regional and the Hongkong stock market index, except Thailand, (ii) Jakarta stock market index is influenced by the regional stock market except Thailand, (iii) the Rupiah rate influence the regional and Hongkong stock index, (iv) the Jakarta's stock market index is integrated to the regional stock market index. These results may be a usefull as an additional guidance to evaluate the Rupiah's exchange rate and the regional stock market movement in general.JEL Classification: C32, F31, G15 Keywords: Stock, Vector Autoregressive, exchange rate.
Recommended Citation
Untoro, Untoro and Widodo, Priyo R.
(2008)
"MENGKAJI PERUBAHAN NILAI TUKAR RUPIAH DAN PASAR SAHAM,"
Bulletin of Monetary Economics and Banking: Vol. 10:
No.
4, Article 2.
DOI: https://doi.org/10.21098/bemp.v10i4.230
Available at:
https://bulletin.bmeb-bi.org/bmeb/vol10/iss4/2
First Page
337
Last Page
360
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License
Country
Indonesia
Affiliation
Bank Indonesia
