PENGARUH VOLUME PERDAGANGAN SAHAM, DEPOSITO DAN KURS TERHADAP IHSG BESERTA PREDIKSI IHSG (MODEL GARCH DAN ARIMA)

https://doi.org/10.22146/jieb.6347

Etty Murwaningsari(1*)

(1) Universitas Trisakti
(*) Corresponding Author

Abstract


The objective of this research is to identify the influences of stock trading volume, deposits and exchange rate to the stock price index (IHSG). This research examines secondary data from Indonesia Stock Exchange Reference Center for monthly IHSG from 1992-2006 as well as deposit interest rate and exchange rate from Bank of Indonesia at the same period. The statistical modelings used to test the hypothesis are GARCH and ARIMA Model. Hypothesis test 1 and 3 shows that the stock trading volume has positive influence, while interest rate has negative influence to the stock price index. Test on hypothesis 2 indicates that exchange rate has no significant influence to stock trading volume. Based on the prediction obtained by ARIMA and GARCH method, it is shown that ARIMA provides the least differences between actual value and predicted value. It is concluded that for our data, ARIMA method is better than GARCH method.

 


Keywords


size, stock trading volume, deposits, exchange rate, stock price index

Full Text:

PDF PDF



DOI: https://doi.org/10.22146/jieb.6347

Article Metrics

Abstract views : 1562 | views : 1708 | views : 2344

Refbacks

  • There are currently no refbacks.




Copyright (c)



Journal of Indonesian Economy and Business

Journal

Editorial Team
Focus and Scope
Peer Review Process
Publication Ethics
Screening for Plagiarism

Authors

Author Guidelines
Submission Guidelines
Online Submissions
Copyright Notice
Privacy Statement
Author Fees

Download

Author Pack
Submission Form & Manuscript Template

 

Reviewer

Reviewer Guidelines
Reviewer Acknowledgement

 

Reader

General Search
Achieves
Author index
Title index

 

 

The Journal of Indonesian Economy and Business (print ISSN 2085-8272; online ISSN 2338-5847) is published by the Faculty of Economics and Business Universitas Gadjah Mada, Indonesia. The content of this website is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License

© 2019 Journal of Indonesian Economy and Business 
 Visitor Statistics