The impact of macroeconomic volatility on the Indonesian stock market volatility
Link to publisher's homepage at http://ijbt.unimap.edu.my/
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School of Business Innovation and Technopreneurship, Universiti Malaysia Perlis (UniMAP)
2015
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my.unimap-400402016-07-21T02:10:44Z The impact of macroeconomic volatility on the Indonesian stock market volatility Bakri, Abdul Karim Loke Phui, Sea Zulkefly, Abdul Karim Macroeconomic Stock market Volatility GARCH Granger Causality Link to publisher's homepage at http://ijbt.unimap.edu.my/ This study examines the relationship between macroeconomic variables volatility (industrial production, exchange rate, inflation rate and money supply) and stock market volatility in Indonesia. Monthly data from January 1986 to December 2013 are employed in this study. Using GARCH (1, 1) and Granger Causality test, the results show that the macroeconomic variables volatility has no impact toward the Indonesian stock market volatility. However, there is only an unidirectional causal relationship running from stock market volatility to exchange rate volatility. Therefore, policy makers should take into account stock market volatility in making any policy related to exchange rate. 2015-05-28T07:48:06Z 2015-05-28T07:48:06Z 2014-10 Article International Journal of Business and Technopreneurship, vol.4(3),2014, pages 467-476 2231-7090 http://ijbt.unimap.edu.my/ http://dspace.unimap.edu.my:80/xmlui/handle/123456789/40040 en School of Business Innovation and Technopreneurship, Universiti Malaysia Perlis (UniMAP) |
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Universiti Malaysia Perlis |
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UniMAP Library |
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| continent |
Asia |
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Malaysia |
| content_provider |
Universiti Malaysia Perlis |
| content_source |
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http://dspace.unimap.edu.my/ |
| language |
English |
| topic |
Macroeconomic Stock market Volatility GARCH Granger Causality |
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Macroeconomic Stock market Volatility GARCH Granger Causality Bakri, Abdul Karim Loke Phui, Sea Zulkefly, Abdul Karim The impact of macroeconomic volatility on the Indonesian stock market volatility |
| description |
Link to publisher's homepage at http://ijbt.unimap.edu.my/ |
| format |
Article |
| author |
Bakri, Abdul Karim Loke Phui, Sea Zulkefly, Abdul Karim |
| author_facet |
Bakri, Abdul Karim Loke Phui, Sea Zulkefly, Abdul Karim |
| author_sort |
Bakri, Abdul Karim |
| title |
The impact of macroeconomic volatility on the Indonesian stock market volatility |
| title_short |
The impact of macroeconomic volatility on the Indonesian stock market volatility |
| title_full |
The impact of macroeconomic volatility on the Indonesian stock market volatility |
| title_fullStr |
The impact of macroeconomic volatility on the Indonesian stock market volatility |
| title_full_unstemmed |
The impact of macroeconomic volatility on the Indonesian stock market volatility |
| title_sort |
impact of macroeconomic volatility on the indonesian stock market volatility |
| publisher |
School of Business Innovation and Technopreneurship, Universiti Malaysia Perlis (UniMAP) |
| publishDate |
2015 |
| url |
http://dspace.unimap.edu.my:80/xmlui/handle/123456789/40040 |
| _version_ |
1643799244929236992 |