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
