Analisis Faktor yang Memengaruhi Pergerakan Harga Indonesia Stock Exchange Industrial Classification
Abstract
Indonesia Stock Exchange Industrial Classification (IDX-IC) an investment
benchmark for investors to see sectoral stock movements are expected to move
stable to increase the amount of investment that can help increase the Company’s
Capital Stock to maximize the quantity and quality of production and ultimately
encourage Indonesia’s economic growth. However, uncertain economic conditions
are often a factor in unstable stock price movements, such as fluctuations in the
exchange rate, which illustrates the strenght of a country’s economy, world gold
price as an alternative investment when the stock market is volatile, world crude
oil an its derivative products which are still inouts and driving operations
companies. The Covid-19 case caused concern in the community, so it attracted
investment in the stock market.
This study aims to analyze (1) the factors that influence the IDX-IC price
movement, (2) the impact of factor shocks that affect the movements of the IDX-IC
sectoral stock price indeks in the coming period, (3) the contribution of factors in
influencing the movement of the IDX-IC sectoral stock price index in coming
period, and (4) structural breaks in the IDX-IC sectoral stock price index. The
method to analyze the influence of factors that influence IDX-IC price movements
is Vector Autoregression (VAR)/ Vector Error Correction Model (VECM). The
method to determine the impact of shocks in the future uses the Impulse Response
Function (IRF) test. The variable contribution is analyzed by the Forecast Error
Variance Decomposition (FEVD) test. The method to identify the presence of
structural breaks in the data uses the CUSUM tes tand the F-test.
The results of the analysis show that the exchange rate has a positive effect
on the movement of the stock price index in the industrial sector and the
transportation and logistics sector. The world gold price has a negative effect on
the movement of stock price indexes in the energy, industrial, health and financial
sectors. Positive confirmed cases of Covid-19 have a negative effect on stock price
movements in the transportation and logistics sectors. The factor variable shocks
were responded to differently by each sector. However, the shock response was the
same in the 2nd period, then returned to the equilibrium point in the 5th period and
was stable until the 10th period. IDX-IC's contribution is more dominant than other
factors in influencing its movement in the subsequent 10 periods, followed by the
contribution of world gold prices, exchange rates, Covid-19 cases and world crude
oil prices. The structural break occurred from June 4, 2021, to October 1, 2021,
due to restrictions on public mobility and the high stock price deemed
unreasonable.
Based on the results of the study, there are several recommendations. First,
paying attention to the optimization of monetary policy has implications for the
stability of the price index in the industrial sector and the transportation and
logistics sector by maintaining the stability of interest rates and inflation closely
related to the exchange rate. Second, the decision of investors to make safe havens
can be one of the focuses of the government to control the stock market when there
is turmoil. Government policies to mitigate the spread of the Covid-19 virus more
evenly can be a stimulus in increasing the stock price index of the transportation
and logistics sector.
Collections
- MT - Economic and Management [2878]