Factors Affecting the Indonesia Stock Exchange: A Multi-Index Approach

Abstract

This study examines the influence of world and regional capital market conditions on the Indonesian capital market (Indonesia Stock Exchange) condition. The DJIA (Dow Jones Industrial Average) index was used as a representative of the international capital market while the Hang Seng index and the Nikkei 225 index were used as a representative of regional capital market conditions. These two indices were chosen because the Japanese capital market was one of the most advanced capital markets in the world and the Hong Kong capital market, although not as big as Japan, still played an important role in the world. The data were obtained from Yahoo Finance during the period of 2014-2018. The dependent variable was the change in the JCI (Jakarta Composite Index), while the independent variables were changes in the index of DJIA, Nikkei 225 and Hang Seng index. Using daily data analyzed by the ARIMA method (1,1), it was found that there was a significant positive effect of DJIA with lag 1 and Hang Seng index on the JCI, but no significant effect was found from the Nikkei 225 index on the JCI.

Do Macroeconomic Factors Affect the Composite Stock Price Index?

“…Several studies in Indonesia have also reported factors that affect the stock index. Susilo et al (2020) reported a significant positive impact of the Dow Jones Industrial Average (DJIA) and Hang Seng Index on IHSG, while the Nikkei 225 index did not. Other findings suggest that the BI rate also affects the stock index, but its influence may be complex and influenced by other factors (Yusuf et al, 2021).…”

What Drives the Stock Returns? Examining The Fundamental Factors on the Consumer Defensive Sector Companies

“…Financial statement analysis is an essential aspect in assessing the company's financial condition, which is carried out based on the company's financial ratio analysis conducted in a particular year. Ratio analysis can be grouped into 5 (five) categories: liquidity ratios, activity ratios, solvency ratios, market ratios, and profitability ratios (Susilo et al, 2020;Hamal & Gautman, 2021). The author intends to use an internal fundamental analysis approach in this study.…”