Effect of macroeconomic indicators on stock price indices with the vector error correction model approach
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Julia Safitri 
, Heffi Christya Rahayu , Jayadi Jayadi , Yuli Triastuti , Yoyo Indah Gunawan, Anik Ariyanti
This work is licensed under a Creative Commons Attribution 4.0 International License.
Abstract
The capital market as one of the important instruments in the economy requires indicators to determine growth in it. The Composite Stock Price Index (IHSG) is used as one of the capital market indicators with various influencing factors. This research was conducted to test and analyze the effect of inflation, exchange rate, the Bank Indonesia (BI) rate, and money supply (M2) on the Jakarta Composite Index (JCI) in the period from January 2017 to March 2022. In this study, quantitative descriptive research was carried out with JCI as the dependent variable and inflation, exchange rate, BI-rate, and money supply as independent variables. The research used the vector autoregression (VAR) method using the EViews 12 analysis tool. From the tests conducted it showed that between variables only had a one-way relationship, with the R squared value indicating that the independent variables in the model were able to explain changes in the dependent variable that occurred. The variables in the model are also indicated to have a simultaneous effect on the dependent variable; this is based on a high F-statistic value.
Keywords: Composite Stock Price Index, Macroeconomic, Vector Error Correction
Authors’ individual contribution: Conceptualization — J.S.; Methodology — J.S. and J.J.; Formal Analysis — H.C.R., Y.I.G., and A.A.; Writing — Original Draft — J.S., H.C.R., and Y.T.; Writing — Review & Editing — J.S. and H.C.R.; Supervision — J.S. and H.C.R.; Project Administration — J.J. and Y.T.
Declaration of conflicting interests: The Authors declare that there is no conflict of interest.
JEL Classification: A10, B22, B26
Received: 20.02.2023
Accepted: 24.11.2023
Published online: 28.11.2023
How to cite this paper: Safitri, J., Rahayu, H. C., Jayadi, J., Triastuti, Y., Gunawan, Y. I., & Ariyanti, A. (2023). Effect of macroeconomic indicators on stock price indices with the vector error correction model approach [Special issue]. Corporate & Business Strategy Review, 4(4), 288–294. https://doi.org/10.22495/cbsrv4i4siart10
