OECD Business Cycle Method Leading Indicator Analysis of Miscellaneous Industry Sector in Indonesia Stock Exchange


Authors : Widodo Prasetyo; Abitur Asianto

Volume/Issue : Volume 5 - 2020, Issue 12 - December

Google Scholar : http://bitly.ws/9nMw

Scribd : https://bit.ly/37ozIlb

Abstract : This research aims to analyze those leading indicator data transformation, leading indicator candidate’s selection and its determined of leading indicator candidates. Monthly price of Miscellaneous Industry Index as the reference series. While the proxy of leading indicator candidates in form of several indexes for other sectors at IDX, financial sector and other economic indicators that fills the criteria of Organization for Economic Cooperation and Development (OECD) started during January 2008 - December 2019. OECD business cycle method aims to analyze these leading indicator (LI) that moved ahead from the main index movement. Analysis shows that Nasdaq Composite Index, New York Stock Exchange, German Stock Index, French Stock Market Index, Euro Stoxx 50, Nikkei 225, Shanghai Composite Index, Natural Gas Future Price, BI Rate, US Dollar Exchange Rate, & Money Supply (M2) as the most optimal Composite Leading Indicator with cyclical opposite character from this Miscellaneous Industry Index.

Keywords : Reference Series, Leading Indicator, Miscellaneous Industry Sector, OECD.

This research aims to analyze those leading indicator data transformation, leading indicator candidate’s selection and its determined of leading indicator candidates. Monthly price of Miscellaneous Industry Index as the reference series. While the proxy of leading indicator candidates in form of several indexes for other sectors at IDX, financial sector and other economic indicators that fills the criteria of Organization for Economic Cooperation and Development (OECD) started during January 2008 - December 2019. OECD business cycle method aims to analyze these leading indicator (LI) that moved ahead from the main index movement. Analysis shows that Nasdaq Composite Index, New York Stock Exchange, German Stock Index, French Stock Market Index, Euro Stoxx 50, Nikkei 225, Shanghai Composite Index, Natural Gas Future Price, BI Rate, US Dollar Exchange Rate, & Money Supply (M2) as the most optimal Composite Leading Indicator with cyclical opposite character from this Miscellaneous Industry Index.

Keywords : Reference Series, Leading Indicator, Miscellaneous Industry Sector, OECD.

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