Determinants JCI of the Indonesian Stock Exchange (Comparison of IHSG Projection of OLS Method and ARIMA and GARCH Methods for the Period 2015-2023)
Journal Title: Journal of Economics, Finance and Management Studies - Year 2024, Vol 7, Issue 10
Abstract
This study aims to examine the effect of interest rate, exchange rate, inflation, gross domestic product and LQ-45 index variables on the movement of the Composite Stock Price Index using the ordinary least square method. Comparison in predicting the movement of the stock price index through three models, and then compared with the projection results with OLS, ARIMA and GARCH methods. This research was conducted using monthly data on JCI, interest rates, exchange rates, inflation, gross domestic product and the LQ-45 index for the period May 2015 - December 2023. From the results it can be concluded that interest rates have a significant negative effect on JCI, exchange rates have a significant negative effect on JCI, inflation has a significant negative effect on the value of JCI, gross domestic product has a significant negative effect on JCI and the LQ-45 index has a positive effect on JCI. The results of the comparison of JCI projections with 3 models showed that the OLS model offers more accurate results and has the lowest MAPE value in predicting stock price movements.
Authors and Affiliations
Reza Relita , Sri Hasnawati , Irham Lihan,
Keywords
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- EP ID EP747878
- DOI 10.47191/jefms/v7-i10-15
- Views 43
- Downloads 0
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