Analysis of Macroeconomic Indicators Against the Composite Stock Price Index (CSPI) in Indonesia: Vector Error Correction Model (VECM) Approach

Abstract

The Composite Stock Price Index (CSPI) is one indicator to determine economic growth. The Composite Stock Price Index (CSPI) is formed by counting the stocks listed on the Indonesia Stock Exchange (IDX). Macroeconomic conditions can influence the movement of the CSPI in a country. Macroeconomic indicators that affect the CSPI include inflation, exchange rates, and interest rates represented by the BI rate. This study aimed to determine how much influence the selected macroeconomic indicators had on the CSPI and determine the CSPI movement forecast. This study uses the Vector Error Correction Model (VECM) as an estimation method. The research shows that the inflation, exchange rate, and BI rate variables do not affect the CSPI in the short term, and only the exchange rate variable affects the long term. Forecasting performed on variables shows an over-optimistic forecast for the exchange rate and BI rate variables.

Prediksi Spot Price Komoditas Emas Berjangka dengan Pendekatan Vector Error Correction Model

“…Sebagai contoh pada kasus stock prices, Winarno, et al [20] menunjukkan bahwa diantara 4 (empat) harga saham memiliki hubungan kointegrasi dan dapat dimodelkan menggunakan VECM. Selanjutnya, topik tentang macroeconomics indicators against the composite stock price index dengan model VECM menunjukkan bahwa inflasi, nilai tukar dan BI rate tidak berpengaruh pada CSPI dalam jangka pendek, dan hanya variabel nilai tukar yang berpengaruh dalam jangka panjang [21]. Lebih lanjut, tentang fixed investment and economic growth , ditunjukkan bahwa dengan menggunakan model VECM, fluktuasi investasi tetap dalam jangka panjang mendorong pertumbuhan GDP [22].…”

Structural Analysis of Import Oil and Gas in Indonesia

“…The use of time-series data in this study also applies cointegration analysis to identify macroeconomic conditions' long-and short-term effects on oil and gas imports in Indonesia. The advantages of applying cointegration to time-series data as stated in the study by Johansen (1988), Panagiotidis & Rutledge (2007), and Aminarta & Kurniawan (2021) as a correction of short-term errors to find its balance in the long term.…”