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.