Analysis of the Influence of Inflation Fluctuations, BI Rate, Money Supply, and Exchange Rate on the Composite Stock Price Index of the Indonesian Stock Exchange in the Period 2014-2019

  • Aminatus Zahriyah University of Jember
  • Ahmad Musthofa Lutfiyanto UIN KH Siddiq

Abstract

Economic growth is one of the indicators of successful development in an economy. One indicator of economic growth is the stock market. The stock market is a place where people with excess funds (investors) meet companies that need funds (issuers). The purpose of this research is: 1) To determine whether the inflation variable has a significant influence on the Composite Stock Price Index in 2014-2019. 2) To determine whether the BI Rate variable has a significant influence on the Composite Stock Price Index in 2014-2019. 3) To determine whether the Money Supply variable has an influence on the Composite Stock Price Index in 2014-2019. 4) To determine whether the exchange rate variable has a significant influence on the Composite Stock Price Index in 2014-2019. 5) To describe the magnitude of the shock generated by the variables of inflation, BI Rate, Money Supply, and exchange rate on the Composite Stock Price Index in 2014-2019. To identify these issues, this study is a quantitative research and uses the Vector Error Correction Model (VECM) method to examine short-term relationships and employ cointegration tests to identify indications of long-term relationships. Based on the research results, it can be concluded that: 1) Based on the short-term VECM test, the estimated inflation variable has a positive but insignificant effect. Then, the long-term estimation results show that the inflation variable has a negative but insignificant effect on the IHSG variable. 2) The short-term estimation results for the BI Rate variable have a negative but insignificant effect on the IHSG. Then, the long-term estimation results show that the BI Rate variable has a negative but insignificant effect on the IHSG variable. 3) The Money Supply variable has a significant negative effect on the IHSG in the short term. The long-term estimation results show that the Jumlah Uang Beredar variable has a significant negative effect on the IHSG. 4) The short-term estimation results for the nilai tukar variable have a positive but insignificant effect on the IHSG. Then, the long-term estimation results show that the nilai tukar variable has a positive and significant effect on the IHSG. 5) Based on the IRF test to determine shocks on each variable, the BI Rate variable shows a tendency for thin shocks above the horizontal line, indicating that the BI Rate variable has a permanent positive impact.

Published
2023-07-13