Home > WORKING PAPERS > HUBUNGAN VALUTA ASING DAN PASAR SAHAM: Pendekatan Kausalitas dan Kointegrasi

HUBUNGAN VALUTA ASING DAN PASAR SAHAM: Pendekatan Kausalitas dan Kointegrasi

CORPORATE WORKING PAPER 01Intellectual Finance Club

 

Corporate Finance Working Papers No.001

Rowland B.F.P

 

Relationship between stock market and four currency return is discussed in light of linearity, causality, and cointegration model. It is argued that the negative sentiment in stock market making the participant move to finance market. The objective of this study is to analyze the pattern of between market return and four currency return using ordinary least square, cointegration, and causality approach. The final samples are member of LQ-45 public companies. By using cointegration test and error correction model, the results show that the return of four currencies significantly affect the Indonesian Stock Exchange market return both short term and long term.

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