Hubungan Jk Pendek dan Panjang antara Ekonomi Makro dan Pasar Modal

Paper yang saya tulis dengan Suyanto dengan menggunakan model ECM (Error Correction Model).

This paper examines the relationship among macroeconomic variables and the Jakarta Stock Exchange (JSE) of Indonesia using cointegration analysis. Our result shows that the exchange rate is not stationary at the same level with stock prices and other selected macroeconomic variables. Export, consumer price index (CPI), inflation, interest rate, and money supply are cointegrated with the stock prices. By applying Engle-Granger Error Correction Model (EGECM), we found that the interest rate, inflation, and export give a longrun effect to the stock prices in JSE, while CPI and money supply only give a shortrun effect. In general, the behaviour of JSE is indeed influenced by the macroeconomic variables.

Link:
www.isei.or.id/data/materi_jurnal/Artikel%20Suyanto.pdf