Comparative Analysis of Economic Forces and Stock Market Movements: The U.S. and Indonesia
1Yuvi Putri Septiana, 2Muhammad Izaz Al Atsari, 3Nora Ria Retnasih
1,2,3UIN Maulana Malik Ibrahim Malang
https://doi.org/10.47191/jefms/v7-i9-64ABSTRACT:
The economies of many developed and developing countries are experiencing instability, characterized by a decline in economic performance. In a macroeconomic context, global instability affects several key indicators such as production indices, exchange rates, interest rates, and inflation rates. The occurrence of shocks to macroeconomic indicators certainly increases the volatility of a country's capital markets. This quantitative research examines the correlation of shocks to each key indicator of capital market performance in Indonesia and the United States. This research uses the VECM method. The research shows that the influence of macroeconomic indicators tends to fluctuate in the short term and is stable in the long term. Where the production and inflation indices have a positive and significant effect on the IDX Composite and the DJI, this is different from interest rates, which negatively impact the IDX Composite and DJI. Meanwhile, the exchange rate indicator has no significant effect on IDX Composite or DJI. The research also found that the IDX Composite was predominantly influenced by exchange rates and inflation, while the DJI was predominantly influenced by production index indicators, inflation, and interest rates.
KEYWORDS:
Macroeconomics Indicator, IDX Composite, Dow Jones Industrial Average (DJI)
REFERENCES:
1) Afandi, A. R., & Kurnia, H. (2023). Revolusi Teknologi: Masa Depan Kecerdasan Buatan (AI) dan Dampaknya Terhadap Masyarakat. Academy of Social Science and Global Citizenship Journal, 3(1), 9–13. \ a. https://doi.org/10.47200/aossagcj.v3i1.1837
2) Algaeed, A. H. (2021). Capital market development and economic growth: An ardl approach for saudi arabia, 1985–2018. Journal of Business Economics and Management, 22(2), 388–409. https://doi.org/10.3846/jbem.2020.13569
3) Alvian, L. A., Azari, C., & Herman, H. (2019). Pengaruh Inflasi, Nilai Tukar dan Tingkat Suku Bunga terhadap Indeks Harga Saham Gabungan (Studi pada Bursa Efek Indonesia Periode 2015-2017). Aplikasi Administrasi: Media Analisa Masalah Administrasi, 22(2), 18. https://doi.org/10.30649/aamama.v22i2.128
4) Annur, C. M. (2023). IHSG Ditutup Anjlok, Imbas Perang Israel-Hamas (Senin, 16 Oktober 2023). https://databoks.katadata.co.id/datapublish/2023/10/16/ihsg-ditutup-anjlok-imbas-perang-israel-hamas-senin-16-oktober-2023%0A
5) Ansofino, Jolianis, Yolamalinda, & Arfilindo, H. (2016). Buku Ajar Ekonometrika. Deepublish.
6) Antwi, F., & Kong, Y. (2023). Investigating the impacts of digital finance technology on financial stability of the banking sector: New insights from developing market economies. Cogent Business and Management, 10(3). https://doi.org/10.1080/23311975.2023.2284738
7) Bank, W. (2022). As Global Growth Slows, Developing Economies Face Risk of ‘Hard Landing.’ a. https://www.worldbank.org/en/news/feature/2022/01/11/developing-economies-face-risk-of-hard-landing-as-global-growth-slows
8) Board, F. S. (2017). Financial stability implications from fintech: Supervisory and regulatory issues that merit authorities’ attention.
9) Boediono. (2014). Seri Sinopsis Pengantar Ilmu - No. 5 Ekonomi Makro. BPFE.
10) Chasan, L. A. dan. (2017). Pengaruh Inflasi, Nilai Tukar dan Tingkat Suku Bunga terhadap Indeks Harga Saham Gabungan (Studi pada Bursa Efek Indonesia Periode 2015-2017). 49(2), 147–156.
11) Chinoracky, R., Kurotova, J., & Janoskova, P. (2021). Measuring the impact of digital technologies on transport industry - Macroeconomic perspective. Transportation Research Procedia, 55, 434–441. a. https://doi.org/10.1016/j.trpro.2021.07.092
12) Dewi, R. (2022). ANALISIS KOINTEGRASI PASAR MODAL INDONESIA DENGAN PASAR MODAL REGIONAL. UNIVERSITAS ISLAM NEGERI AR-RANIRY BANDA ACEH.
13) Emy Widyastuti, & Nena Arinta, Y. (2020). Perbankan Syariah dan Pertumbuhan Ekonomi Indonesia: Bagaimana Kontribusinya? Al-Muzara’Ah, 8(2), 129–140. https://doi.org/10.29244/jam.8.2.129-140
14) Fahmi, I. (2014). Analisis Laporan Keuangan. Alfabeta.
15) Fauji, D. A. S. (2016). Faktor-Faktor yang Mempengaruhi Nilai Tukar Rupiah Periode 2013-Triwulan I 2015. Jurnal Online Mahasiswa (JOM) Bidang Ekonomi, 1(2), 64–77.
16) Febrina, R. S., Sumiati, S., & Ratnawati, K. (2018). Pengaruh Variabel Makroekonomi Dan Harga Saham Asing Terhadap Indeks Harga Saham Gabungan. Jurnal Bisnis Dan Manajemen, 5(1), 118–126. https://doi.org/10.26905/jbm.v5i1.2321
17) Fuad, F., & Yuliadi, I. (2021). Determinants of the Composite Stock Price Index (IHSG) on the Indonesia Stock Exchange. Journal of Economics Research and Social Sciences, 5(1), 27–41. https://doi.org/10.18196/jerss.v5i1.11002
18) Heriyanto, M. (2023). IHSG menguat jelang keputusan suku bunga Federal Reserve. https://www.antaranews.com/berita/3867051/ihsg-menguat-jelang-keputusan-suku-bunga-federal-reserve%0A
19) Hernadi Moorcy, N., Alwi, M., & Yusuf, T. (2021). Pengaruh Inflasi, Suku Bunga, Dan Nilai Tukar Terhadap Indeks Harga Saham Gabungan Di Bursa Efek Indonesia. Jurnal GeoEkonomi, 12(1), 67–78. a. https://doi.org/10.36277/geoekonomi.v12i1.146
20) Hidayat, K. (2023). Wall Street Menguat Terdorong Optimisme Penurunan Bunga The Fed. a. https://investasi.kontan.co.id/news/wall-street-menguat-terdorong-optimisme-penurunan-bunga-the-fed%0A
21) Hijrianti, I., Fadilah, F. M., Shamurti, J. S., Junaedi, & Kustina, L. (2024). Pengaruh Inflasi, Suku Bunga, dan Nilai Tukar Terhadap IHSG di BEI. Jurnal Lentera Manajemen Keuangan, 02(01), 2986–5654. www.yahoofinance.com
22) Immanuel, R., & Satria, D. (2015). ANALISIS PENGARUH INDIKATOR MAKROEKONOMI DAN INDEKS SAHAM REGIONAL ASEAN TERHADAP PASAR SAHAM INDONESIA (IHSG) PERIODE PADA TAHUN 2009-2014.
23) Intan Nurkhikmatul Aini, Kusuma, W. M., Rika Amalia, & Afridayani, Z. (2020). Pengaruh Inflasi, Nilai Tukar Rupiah dan Tingkat Suku Bunga terhadap Indeks Harga Saham Gabungan. PROSIDING WEBINAR “Insentif Pajak Untuk WP Terdampak Covid-19,” 135–145.
24) Isnan, A. (2017). Analisis Pengaruh Ekspor Netto, Kurs, Dan Indeks Produksi Industri Terhadap Pertumbuhan Ekonomi Indonesia Tahun 2005 – 2015. Skripsi Ekonomi.
25) Ivena, J. (2023). PENGARUH NILAI SUKU BUNGA DAN INFLASI TERHADAP INDEKS HARGA SAHAM GABUNGAN (IHSG) DI BURSA EFEK INDONESIA (BEI) (STUDI PADA IHSG DI BEI PERIODE 2017-2021). ECO-BUILD JOURNAL, 7(2).
26) Kemenperin, & SIINas. (2023). Laporan Informasi Industri 2023. 1–23.
27) Kurniawati, A. (2021). Pengaruh Kurs, Inflasi dan BI Rate terhadap Harga Saham pada Perusahaan Perbankan yang Terdaftar di OJK. Universitas Muhammadiyah.
28) Kusnandar, V. B. (2022). Ini Data Inflasi AS yang Jadi Alasan The Fed Naikkan Suku Bunga. a. https://databoks.katadata.co.id/datapublish/2022/02/23/ini-data-inflasi-as-yang-jadi-alasan-the-fed-naikkan-suku-bunga
29) Mahmood, M., & Rehman, K. U. (2019). Did Capital Market Development and Financial Depth Contribute to Growth? Evidence from European Financial Integration. European Review, 27(4), 506–518. a. https://doi.org/10.1017/S1062798719000164
30) Mahyus, E. (2014). Ekonomi Internasional. Erlangga.
31) Manuela Langi Theodores , Masinambow Vecky, S. H. (2014). Analisis Pengaruh Suku Bunga Jml Uang Beredar Kurs Thdp Inflasi Indonesia. 14(2).
32) Megaravalli, A. V., & Sampagnaro, G. (2018). Macroeconomic indicators and their impact on stock markets in ASIAN 3: A pooled mean group approach. Cogent Economics and Finance, 6(1), 1–14. a. https://doi.org/10.1080/23322039.2018.1432450
33) Murtadho, M. (2016). Pengaruh Suku Bunga Terhadap Nilai Tukar Serta Pengaruhnya Terhadap Indeks Harga Saham (Studi Sasus Indonesia, China dan Australia). E-Journal Manajemen Kinerja, 2(2), 1–10.
34) Nugroho, I., Hidayatullah, M. S., & Jayanti, A. A. (2023). The Effect of Inflation, Exchange Rate, and BI Rate on the Indonesian Sharia Stock Index. Journal of Islamic Economics and Finance Studies, 4(1), 114–132. https://doi.org/10.47700/jiefes.v4i1.5804
35) Nwaolisa, E. F., & Chijindu, A. A. (2016). The Relationship between Index of Industrial Production and Stock Market Liquidity: A Co-integration Evidence from Stock Exchange of Nigeria ’ s Value of Stock Traded Ratio. Frontiers of Accounting and Finance, 1(1), 29–39. https://doi.org/10.20936/FAF/160104
36) Pentinger, T. (2020). Causes of Economic Instability. https://www.economicshelp.org/blog/43/economics/causes-of-economic-instability/
37) Purnamasari, D., & Sukmana, R. (2017). Pengaruh Harga Emas Dunia, Harga Minyak Mentah Dunia Dan Indeks Produksi Industri Terhadap Indeks Saham Di Jakarta Islamic Index (JII) dalam Jangka Panjang Dan Jangka Pendek (Periode Januari 2005-Desember 2015). Jurnal Ekonomi Syariah Teori Dan Terapan, 4(7), 515–530.
38) Pushkar. (2023). How to Choose the Right Model: A Guide to Model Selection in Machine Learning. https://medium.com/codersarts/how-to-choose-the-right-model-a-guide-to-model-selection-in-machine-learning-d253ad98e619
39) Roman, F. F., & Kartiko. (2020). Penerapan Kausalitas Granger Dan Kointegrasi Johansen Trace Statistic Test Untuk Indeks Pembangunan Manusia Terhadap Pertumbuhan Ekonomi, Inflasi Dan Kemiskinan Di Nusa Tenggara Timur. Jurnal Statistika Industri Dan Komputasi, 05(02), 73–83.
40) Samsul, M. (2015). Pasar Modal Dan Manajemen Portofolio Edisi 2. Erlangga.
41) Saputra, A., & Mirtawati. (2020). Vector Autoregressive Integrated (VAR) Menggunakan Software R. Jurnal Baut Dan Manufaktur, 02(01), 9–16.
42) Septiarini, T., Taufik, M., Afif, M., & Masrifah, A. (2020). Analysis of Macroeconomics Factor Affecting Jakarta Islamic Index. 19–22. https://doi.org/10.5220/0009864700190022
43) Sihombing, I. R., Irsad, & Tanjung, A. A. (2021). Analysis of the Effect of Macro Economic Indicators and Dow Jones Index on IDX Composite in Indonesia Stock Exchange. International Journal of Research and Review, 8(9), 294–310. https://doi.org/10.52403/ijrr.20210940
44) Sri Rahayu, P. S. P., & Diatmika, I. P. G. (2023). Pengaruh Inflasi, Harga Minyak Dunia, Dan Dow Jones Industrial Average Terhadap Indeks Harga Saham Gabungan Di Bursa Efek Indonesia (Periode Januari 2019-Agustus 2022). JIMAT (Jurnal Ilmiah Mahasiswa Akuntansi) Undiksha, 14(04), 1104–1120. https://doi.org/10.23887/jimat.v14i04.61121
45) Suteja, J., & Gunardi, A. (2016). Manajemen investasi dan portofolio. PT. Refika Aditama.
46) Theodora, A. (2022). Biaya Produksi Terus Naik, Waspadai Inflasi Lebih Tinggi. https://www.kompas.id/baca/ekonomi/2022/08/14/biaya-produksi-terus-naik-waspadai-inflasi-lebih-tinggi
47) Tripuspitorini, F. A. (2021). Analisis Pengaruh Inflasi, Nilai Tukar Rupiah, dan BI-Rate terhadap Harga Indeks Saham Syariah Indonesia. Jurnal Maps (Manajemen Perbankan Syariah), 4(2), 112–121. a. https://doi.org/10.32627/maps.v4i2.172
48) Twomey, B. (2024). The Taylor Rule: An Economic Model for Monetary Policy. a. https://www.investopedia.com/articles/economics/10/taylor-rule.asp
49) United Nations, D. of E. and S. A. (2024). Global outlook 2024: Tight monetary policy and geopolitical uncertainty weigh on growth. 178.
50) Vives, X. (2016). Competition and stability in banking. Competition and Stability in Banking, p. 106.
51) Widarjono, A. (2018). Ekonometrika Pengantar Dan Aplikasinya Disertai Panduan Eviews. UPP STIM YKPN Yogyakarta.
52) Wu, Z., & Chong, T. T. L. (2021). Does the macroeconomy matter to market volatility? Evidence from US industries. Empirical Economics, 61(6), 2931–2962. https://doi.org/10.1007/s00181-020-02001-3
53) Yuspita, R., Pebruary, S., & Kamala, A. Z. H. (2019). The society’s perceptions on the use of fintech services in sharia financial institutions. Jurnal Ekonomi & Keuangan Islam, 5(2), 87–92. https://doi.org/10.20885/jeki.vol5.iss2.art6
