Determinant Factors of Jakarta Composite Index with Garch Model
Published: 1 January 2020
Proceedings of the Tarumanagara International Conference on the Applications of Social Sciences and Humanities (TICASH 2019) pp 15-22; doi:10.2991/assehr.k.200515.004
Abstract: This research was aimed to finding out whether it’s related to the Exchange Rate of Rp/USD, Net Foreign Fund (NFF), Consumer Price Index (CPI) to the Jakarta Composite Index (JCI). The population are all data on the exchange rate of Rp/USD, data on all share purchases by foreign investors, all data on the Consumer Price Index on BPS and data on the JCI on the IDX. The sample selection method is a purposive using two kinds of data (daily and monthly). The results of this study are that there is a significant difference in the IDR / USD exchange rate against the JCI, and there is no influence on the NFF and CPI on the JCI on monthly data using the OLS model, while the research studies on daily data are associated with significant IDR / USD, and NFF towards the JCI using the GARCH model. The results of by using GARCH (1,1) indicate that the NFFF variable is the most important determinant for JCI. This is based on observations testing various variations of the GARCH model, the t-test value of NFFF is always higher than the KURS. This finding confirms that the IDX is still driven by foreign investors.
Keywords: exchange rate, net foreign fund flow, Consumer Price Index (CPI), Jakarta Composite Index (JCI)
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