| Author | Fran Sayekti |
| Call Number | AIT RSPR no.SM-98-77 |
| Subject(s) | Stock exchanges--Indonesia--Jakarta
|
| Note | A research study submitted in partial fulfillment of the requirements for the degree of Master of Business Administration. School of Management |
| Publisher | Asian Institute of Technology |
| Abstract | South East Asian economies, specially the Indonesian economy is undergoing difficult period
with many dramatic changes. In this dynamic and highly complex period we have being
observing conflicting reports on the effect of interest rate and exchange rate fluctuations on
the stock market price. Hence it was felt that systematic examination on the causality
relationship between the interest rate, exchange rate and stock price will provide much
needed insight in to the stock market behaviour. Using powerful time series model, ARIMA the
causality of weekly and daily interest rate, exchange rate and stock price in Jakarta were
explored for the period 1993 to 1997.
Depending on the subperiods being considered, sporadic unidirectional causality from closing
stock prices to interest rates and vice versa and weak unidirectional causality from exchange
rate to stock price were found. The overall evidence, however, failed to establish any
consistent causality relationships between any of the economic variables under study. Hence it
seems that Jakarta market efficiently incorporated much of the interest rate and exchange rate
information in its price changes at closing stock market index. These result can be used as a
measure of stock market efficiency, however with caution as there are many other dimension
that has to be studies before arriving at definite conclusion about the efficiency. |
| Year | 1998 |
| Type | Research Study Project Report (RSPR) |
| School | School of Management |
| Department | Other Field of Studies (No Department) |
| Academic Program/FoS | Master of Business Administration (MBA) (Publication code=SM) |
| Chairperson(s) | Gupta, J.P.; |
| Examination Committee(s) | Tang, J.C.S. ;Do Ba Khang ; |
| Scholarship Donor(s) | Government of Austria; |
| Degree | Research Studies Project Report (M. Sc.) - Asian Institute of Technology, 1998 |