The Effect of Foreign Stock Indexes and Indonesia’s Macroeconomics Variables Toward Jakarta Composite Stock Price Index (JCI)

摘要

The purpose of this study was to analyze the influence of some foreign stock indexes and Indonesia’s macroeconomic indicators toward Jakarta Composite Stock Price Index (JCI). This study used some foreign stock indexes that were Dow Jones Industrial Average (DJIA), Shanghai CompositeIndex (SSEC), and Strait Times Index (STI), also several macroeconomics variables such as the exchange rates of USD/IDR, the interest rates and inflation in Indonesia. The monthly data were taken from January 2013 to August 2015. To find out whether some foreign indexes and macroeconomic indicatorsof Indonesia have positive or negative influence to JCI, this study employed multiple linear regression analysis. The results obtained from this study indicated that only the exchange rates of USD/IDR which have the negative significant impact toward JCI, while the other macroeconomics variablessuch as the interest rates and inflation do not have a significant impact toward JCI. Surprisingly, the foreign stock indexes do not have a significant impact toward JCI. This finding showed that Indonesian capital market was more segmented rather than integrated with foreign stock marketsstudied.