Macroeconomic Variables on Indonesia Stock Market Return: Quantile Regression Approach
The main objective of this paper is to find the relationship between the changes in selected macroeconomic variables with Indonesia Stock Market (Jakarta Composite Index) return. In order to determine the relationship, several tests are conducted such as unit root test, Ordinary Least Square (OLS) r...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2017
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| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/45269/ |
| _version_ | 1848797101595557888 |
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| author | Lavi, Evan Wiranata |
| author_facet | Lavi, Evan Wiranata |
| author_sort | Lavi, Evan Wiranata |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | The main objective of this paper is to find the relationship between the changes in selected macroeconomic variables with Indonesia Stock Market (Jakarta Composite Index) return. In order to determine the relationship, several tests are conducted such as unit root test, Ordinary Least Square (OLS) regression, Quantile Regression, and F-Test on the slope of the coefficient. The time period of the test is from 1996 to 2016 and conducted on a monthly basis. The final result of this test shows that the result from Quantile Regression does not differ from OLS regression’s result. Thus, the use of OLS regression is sufficient. From the evidence, we can conclude that the negative relationship between change in inflation rate and JCI return is insignificant. However, the result will be significant when lagged value of inflation rate is being used. Significant negative relationship can be seen between change in the exchange rate and JCI return. As for the change in money supply and change in crude oil price, both of them show a significant positive relationship with JCI return. |
| first_indexed | 2025-11-14T19:58:31Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-45269 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T19:58:31Z |
| publishDate | 2017 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-452692018-04-17T14:37:19Z https://eprints.nottingham.ac.uk/45269/ Macroeconomic Variables on Indonesia Stock Market Return: Quantile Regression Approach Lavi, Evan Wiranata The main objective of this paper is to find the relationship between the changes in selected macroeconomic variables with Indonesia Stock Market (Jakarta Composite Index) return. In order to determine the relationship, several tests are conducted such as unit root test, Ordinary Least Square (OLS) regression, Quantile Regression, and F-Test on the slope of the coefficient. The time period of the test is from 1996 to 2016 and conducted on a monthly basis. The final result of this test shows that the result from Quantile Regression does not differ from OLS regression’s result. Thus, the use of OLS regression is sufficient. From the evidence, we can conclude that the negative relationship between change in inflation rate and JCI return is insignificant. However, the result will be significant when lagged value of inflation rate is being used. Significant negative relationship can be seen between change in the exchange rate and JCI return. As for the change in money supply and change in crude oil price, both of them show a significant positive relationship with JCI return. 2017-08-30 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/45269/1/Lavi%2C%20Evan%20Wiranata%20%284278927%29.pdf Lavi, Evan Wiranata (2017) Macroeconomic Variables on Indonesia Stock Market Return: Quantile Regression Approach. [Dissertation (University of Nottingham only)] Macroeconomic variables Indonesia stock market return Quantile regression |
| spellingShingle | Macroeconomic variables Indonesia stock market return Quantile regression Lavi, Evan Wiranata Macroeconomic Variables on Indonesia Stock Market Return: Quantile Regression Approach |
| title | Macroeconomic Variables on Indonesia Stock Market Return: Quantile Regression Approach |
| title_full | Macroeconomic Variables on Indonesia Stock Market Return: Quantile Regression Approach |
| title_fullStr | Macroeconomic Variables on Indonesia Stock Market Return: Quantile Regression Approach |
| title_full_unstemmed | Macroeconomic Variables on Indonesia Stock Market Return: Quantile Regression Approach |
| title_short | Macroeconomic Variables on Indonesia Stock Market Return: Quantile Regression Approach |
| title_sort | macroeconomic variables on indonesia stock market return: quantile regression approach |
| topic | Macroeconomic variables Indonesia stock market return Quantile regression |
| url | https://eprints.nottingham.ac.uk/45269/ |