Macroeconomic and Commodity Prices Determinant of Agricultural Sector Stock Price Index in Indonesia


Authors : Timoria Sani Priyoko; Hakiman Thamrin

Volume/Issue : Volume 7 - 2022, Issue 1 - January

Google Scholar : http://bitly.ws/gu88

Scribd : https://bit.ly/3rqgvJK

Abstract : This study aims to examine and analyze the contribution and shock of , interest rates, inflation rates, foreign exchange rates (USD), world oil prices, and CPO prices to the stock price index of the agricultural sector on the Indonesia Stock Exchange. The data used is monthly time series data with a period starting from January 2011 to December 2020. The data processing and analysis method uses the Vector Error Correction Model (VECM). The results showed that in the short term period currency exchange and CPO price variables has significant effect to the stock price index of the agricultural sector. In the long term period currency exchange, oil price and CPO price variables has significant effect to the stock price index of the agricultural sector. Meanwhile, inflation and interest rate variables have not significant effect. From the results of the response and variance decomposition of CPO prices are the main variables that provide the largest contribution to the stock price index of the agricultural sector in Indonesia. The results of the forecasting test with the MAPE value on the agricultural sector stock price index variable of 7.7%, it can be concluded that the forecasting results are accurate for the next 4 month period.

Keywords : Macroeconomics Variable, Commodity Price, Indonesia Stock Exchange Agriculture Index, VECM

This study aims to examine and analyze the contribution and shock of , interest rates, inflation rates, foreign exchange rates (USD), world oil prices, and CPO prices to the stock price index of the agricultural sector on the Indonesia Stock Exchange. The data used is monthly time series data with a period starting from January 2011 to December 2020. The data processing and analysis method uses the Vector Error Correction Model (VECM). The results showed that in the short term period currency exchange and CPO price variables has significant effect to the stock price index of the agricultural sector. In the long term period currency exchange, oil price and CPO price variables has significant effect to the stock price index of the agricultural sector. Meanwhile, inflation and interest rate variables have not significant effect. From the results of the response and variance decomposition of CPO prices are the main variables that provide the largest contribution to the stock price index of the agricultural sector in Indonesia. The results of the forecasting test with the MAPE value on the agricultural sector stock price index variable of 7.7%, it can be concluded that the forecasting results are accurate for the next 4 month period.

Keywords : Macroeconomics Variable, Commodity Price, Indonesia Stock Exchange Agriculture Index, VECM

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