Stefan, Yonatan Alvin
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The Influence of Exchange Rate, World Oil Price, and BI Rate on Airline Companie’s Return in Indonesian Stock Market Stefan, Yonatan Alvin; Robiyanto, Robiyanto
International Journal of Social Science and Business Vol 3, No 3 (2019)
Publisher : Universitas Pendidikan Ganesha

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (506.549 KB) | DOI: 10.23887/ijssb.v3i3.21059

Abstract

In an effort to support the economic growth of Indonesia, an infrastructure development is carried out to achieve the national development. It brings positive influences on transportation companies in Indonesia. Many companies list their shares to Indonesia Stock Exchange, including PT. Garuda Indonesia (Persero) Tbk (IDX code: GIAA) and PT. AirAsia Indonesia Tbk (IDX code: CMPP), aiming to have additional capital sources. The two companies can be such a reference for investors to make investments, but they still need to consider the macro factors attached. This study examines the influende of exchange rate, world oil price, and Bank Indonesia (BI) rates on the GIAA and CMPP stock returns. The analysis technique used was Generalize Autoregressive Conditional Heteroscedasticity (GARCH) and daily data starting from their IPO to February 28th, 2019. The results showed that the exchange rate negatively affected the GIAA and CMPP stock returns, while the world oil prices only negatively affected the CMPP stock return, and the BI rates only negatively affected the GIAA stock return. In general, the investors are suggested not to buy the GIAA and CMPP shares when the IDR exchange rate weakens against the US dollar exchange rate.
KORELASI DINAMIS PASAR SAHAM ASEAN DENGAN NILAI TUKAR DOLLAR AMERIKA SERIKAT (USD) DI ERA DONALD TRUMP Stefan, Yonatan Alvin; Robiyanto, Robiyanto
Jurnal Ilmu Sosial dan Humaniora Vol 8, No 2 (2019)
Publisher : Universitas Pendidikan Ganesha

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (476.302 KB) | DOI: 10.23887/jish-undiksha.v8i2.21380

Abstract

Pasca terpilihnya Donald Trump menjadi Presiden Amerika Serikat memberikan pengaruh terhadap perekonomian dunia dengan berbagai kebijakan yang ditetapkan, salah satunya memberi dampak pada pasar saham negara-negara ASEAN, oleh karena itu peneliti ingin mencari tahu korelasi dinamis antara nilai tukar USD dengan Pasar Saham ASEAN seperti di Indonesia, Malaysia, Singapura, Filipina, Thailand, dan Vietnam dengan menggunakan teknik analisis Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroscedasticity (DCC-GARCH), dikarenakan penelitian-penelitian terdahulu masih banyak menggunakan pendekatan statis. Penelitian ini menunjukkan bahwa korelasi antara nilai tukar USD dengan Pasar Saham ASEAN tidak statis, namun berubah secara dinamis sesuai dengan kondisi pasar yang terjadi. Dalam kondisi normal, nilai DCC-GARCH cenderung sangatlah lemah. Ditemukan juga korelasi dinamis negatif di pasar saham di negara Indonesia, Malaysia, Singapura, dan Thailand. Secara singkat dapat disimpulkan bahwa kebijakan yang diambil Donald Trump tidak memberi efek yang signifikan terhadap Pasar Saham ASEAN.Kata kunci  :   Pasar Saham ASEAN: Nilai tukar USD: Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroscedasticity (DCC-GARCH)