Comparison of Factors toward the Changes of Composite Stock Price Index in LQ 45 and Jakarta Islamic Index. (Case Study in Indonesian Stock Exchange)

Transcription

1 DOI: /IPEDR V Comprison of Fctors towrd the Chnges of Composite Stock Price Index in LQ 45 nd Jkrt Islmic Index (Cse Study in Indonesin Stock Exchnge) Lely Fer Trini 1, Etty Puji Lestri 2 1,2 Universits Terbuk, Jkrt Indonesi Abstrct. The composite stock price index (CSPI) is reflection of cpitl mrket ctivities in generl. JCI movement which indictes incresed cpitl mrket conditions re bullish, on the contrry if the decline shown in cpitl mrket conditions re berish. These events re influenced by fctors, such s volume of trnsctions, exchnge rte, nd Interest Rtes Indonesi. The purpose of this reserch is to nlyze: the influence of fctors through volume of trnsctions, exchnge rtes, nd interest rtes of Indonesi (SBI) of the JCI in LQ45 nd Jkrt Islmic Index. The reserch smple of this study re volume of trnsctions, exchnge rte,nd interest rte (SBI) rte, nd Composite Stock Price Index in LQ45 nd Jkrt Islmic Index, with dt pooling method (dily dt of yer 2011), so tht the mount of observtions (n) = 247. Keywords: Composite Stock Price Index (CSPI), Volume of trnsctions, Exchnge Rtes, Interest Rtes (SBI), LQ45, Jkrt Islmic Index. 1. Introduction The economy of country is one of the most importnt spects for the survivl of country. The cpitl mrket is one of the mens to rise long-term economic funding vilble t bnks nd societies. As prt of country s economic system, especilly in the finncil sector, cpitl mrket provides two min functions for society who hs different interests, e.g. s n economics nd finncil function. As n economic function of the cpitl mrket, it is source of funds for investment in supporting the economic ctivities of the society. While the finnce function pplied by providing funds needed by the borrowers, in which funders give the money without hving to be involved directly in the form of ownership of rel ssets used in investment ctivities. Investment is ctully iming to get better life in the future, reducing infltionry pressure nd sve tx (Tndelilin: 2001). One of the forms of investment is by investing the equity in the form of shres in firms listed on the stock exchnge. These compnies re divided into number of sectors, rnging from griculture, mining, finnce to compnies incorported in LQ45 nd Jkrt Islmic Index (JII). The following tble shows how the fluctution of the stock mrket in LQ45 nd Jkrt Islmic Index during Deprtment of Mngement, Universits Terbuk Indonesi. Jl. Cbe Ry, Pondok Cbe, Pmulng Jkrt. Tel.: ext 2111 ; fx: E-mil ddress: lely@ut.c.id 2 Deprtment of Economics, Universits Terbuk Indonesi. Jl. Cbe Ry, Pondok Cbe, Pmulng Jkrt. Tel.: ext 2106 ; fx: E-mil ddress: ettypl@ut.c.id 72

2 Fig. 1: The Fluctution of Stock Mrket in Jkrt Islmic Index Yer 2011 Month Averge of dily trnsction Composite Stock Price Index Mrket Cpitlistion Volume Vlue Frequency Highest Lowest End (Rp trillion) (Million) (Rp Billion) (thousnd X) Jnury 509,9 1,747 24, ,016 Februry 636,8 1,500 25, ,057 Mrch 738,2 2,569 38, ,096 April 1,052 1,355 18, ,125 My 2,872 2,471 32, ,128 June 1,112 2,220 31, ,305 July 1,147 2,086 29, ,381 August 1,089 1,470 24, ,288 September 1,242 1,889 44, ,199 October 1,406 1,448 30, ,292 November 1,030 1,721 31, ,268 December 3,225 1,586 23, ,414 Bsed on the bove tble, Composite Stock Price Index (CSPI) in Jkrt Islmic Index (JII) shows n increse. In lte Jnury, CSPI ws still t the level of Although it hd declined by the end of September, but t the end of October CSPI hs incresed gin. Similrly, the volume of trnsctions in determining the vlue of securities (shres), in the bove tble shows tht the development of CSPI nd the volume of trnsctions re inconsistent, which t the end of June stock trding volume down when CSPI goes up. Menwhile trding volume rose t the end of September when CSPI went down. According to Krpoff (1987) opinions of few expert show n inconsistencies between CSPI nd trding volume reltionship s Ying, 1966; EPSS, 1975 Smirlock, 1985; Hrris, 1986, Jin, 1986 clim there is correltion between the volume of trnsctions with CSPI, while Wood, 1985 nd Grnger, 1963 stting there is no correltion between CSPI nd the volume of trnsctions. Similrly Gllnt, Rossi, nd Tuchen (1992); reserch shows tht there is strong correltion between volume nd bsolute vlue of the chnge in the equity mrket nd futures mrket. Some of the results of previous studies on the effects of mcroeconomic fctors on CSPI, such s: Lee (1992) hve found tht chnges in interest rte hs significnt impct on the stock price index. Menwhile, in n rticle written by Mordoglu, et l. (2000), it ws rgued tht reserch on the behvior of stock prices hs been done, especilly in terms of mcroeconomic vribles, such s Chen et l. (1986), Geske nd Roll (1983). Evidence of other empiricl studies conducted by Wnd (1970) nd Fm (1990) in Americn cpitl mrket showed the increse of rte which is followed by negtive stock mrket performnce. Interest rtes hve negtive reltionship with Composite Stock Price Index Problem Identifiction The problem in this study cn be formulted s follows: Is there n influence between stock trding volume ginst CSPI in LQ45 nd JII Is there n influence between exchnge rte ginst CSPI in LQ45 nd JII Is there n influence between interest rtes Indonesi (SBI) ginst CSPI in LQ45 nd JII Is there n influence simultneously between mcro-economic, stock trding volume, exchnge rte, nd interest rte Indonesi (SBI) ginst CSPI in LQ45 nd JII 1.2. Reserch Frmework nd Reserch Model The fluctution of CSPI cn be influenced by vrious fctors, such s politicl nd economic fctors. Economic fctors thought to gretly ffect the stock mrket include trding volume, exchnge rte, nd 73

3 interest rtes. The stock trding volume is used since the trding volumes re units of shres trded in given period. High interest rtes re negtive signl to the stock price, s investors tend to ttrct investment nd move it in the form of svings/deposits (Tndelilin: 2001). If interest rtes rise, investors will sell ll or prt of its shres to be trnsferred into other investments which is reltively more profitble nd risk-free, s result the index goes down. Conversely, if interest rtes go down, people will shift their investments in stocks tht re reltively more profitble nd s result the index will rise. Thus, interest rtes will negtively impct the stock index. Chnges in foreign currency exchnge rte (represented by U.S. $) will lso give effect to the stock mrket. If the exchnge rtes rise, the investor will sell ll or prt of its shres, nd trnsferred them to the foreign currency which then be invested elsewhere s svings, so the stock price will go down. Conversely, if the exchnge rte wekens, ll investors will buy the domestic currency to be invested in the stock, so the stock price will tend to rise. Exchnge rte vrible hs direct influence in the form of rising prices of exports nd imports goods in the country (Boediono: 1997). Model 1: CSPI LQ TV 2 ET 3 SBI e Model 2: CSPI JII b0 b1 TV b2 ET b3 SBI e Bsed on previous reserch phenomenon found in bckground indicte tht there re contrdictory results, therefore reserchers re interested in studying more bout the fctors; including trding volume, exchnge rte, nd interest rte nd their ffect towrd CSPI in LQ45 nd Jkrt Islmic Index. 2. Methodology The type of dt used is secondry dt for the yer 2011 in LQ45 nd Jkrt Islmic Index. The endogenous vrible dt is the compound stock price index. While exogenous vrible dt consists of stock trding volume, exchnge rte of Rupih to U.S. $, nd Indonesi interest rtes. The nlysis used in this study is the regression testing continued with the Hierrchy Multiple Regression Anlysis. The regression model is s follows: Where is: CSPI LQ CSPI JII 45 b0 b1 b2 b 0 1 TV 2 ET 3 SBI TV ET SBI 3 CSPI = Composite Stock Price Index TV = volume of stock trding Exchnge = The rupih exchnge rte ginst US$ Rte SBI = ndonesi interest rte Hypothesis testing consists of severl steps: The first step to test the clssicl ssumptions s follows: Multicollinerity Autocorreltion Heterocedstisity Normlity The second step is by using the F, t nd R2 test. F test is used to see the significnce of the results of the regression models. When the count vlue of F is greter thn F tble or significnt level of less thn 5% (α = 5%), this mens tht there is the influence of the independent vrible on the dependent vrible. 74 e e

4 t-test is used to prove the second hypothesis tht there is influence of the independent vrible on the dependent vrible prtilly. When the vlue of t count is greter thn the tble or significnt vlues <5%, it mens tht there is influence of independent vribles on the dependent vrible prtilly. Test R2 to determine the proportion of vrition in the independent vribles to the dependent vrible. 3. Result nd Discussion Bsed on tests nd dt nlysis it cn be concluded s follows: There is n influence of mcroeconomic fctors represented by the volume of trding stocks, nd SBI ginst CSPI. The vrible of SBI interest rtes does not ffect the CSPI significntly. Thus it is evident tht chnges in stock trding volume, exchnge rte, SBI interest rte, nd the money supply re simultneously effecting the CSPI significntly. Bsed on the conclusions bove, the suggestions tht cn be given, either to investors, compnies nd for the development of further reserch re s follows: Investors should consider the informtion on Stock Trding Volume, exchnge rtes of Rupih / U.S. $, nd SBI Interest Rtes relesed by the Bnk of Indonesi becuse the existence of such informtion cn be used to predict the CSPI in LQ45 nd JII nd then to tke n pproprite decision regrding investment. Before mking policies such s export or import, firms must first exmine the fctors tht ffect the size of the compny expenses which my result from Stock Trding Volume, exchnge rtes of Rupih / U.S. $, nd SBI Interest Rtes, so in prctice the compny cn tke policy tht cn ttrct investors in cpitl mrket. The limittions of mcroeconomic fctors tht re used s bsis for predicting the CSPI is limited to Volume Trding Stocks, exchnge rtes of Rupih / U.S. $, nd SBI Interest Rtes. Therefore it is expected in future studies to consider the influence of other fctors tht cn ffect the movement of CSPI in LQ45 nd JII. 4. Acknowledgements Author would like to thnks to Rector Universits Terbuk for finncil support in Interntionl Conference on Economic, Business nd Innovtion nd Dr. Zrin Zkri (University of Mly, Mlysi) s my supervisor for my PhD progrm. 5. References [1] Abdll, Issm S.A. nd Victor Murinde, 1997, Exchnge Rte nd Stock Price Interctions in Emerging Finncil Mrkets: Evidence on Indi, Kore, Pkistn nd the Philippines, Applied Finncil Economics, 7, [2] Aggrwl, Reen, Crl Incln, nd Ricrdo Lel, 2001,Voltility in Emerging Stock Mrkets, The Journl of Finncil nd Quntittive Anlysis, Vol. 34. [3] Ajyi, Richrd A nd Mbodj Mougoue, 1996, On the dynmic relption between stock prices nd exchnge rtes, The Journl of Finncil Reserch, Vol. XIX, No. 2, pges [4] Chen, N. F., Roll, R., & Ross, S. (1986). Economic forces nd the stock mrket. Journl of Business, 59, [5] Chirell C. nd Go S. (2004) The Vlue of The S&P 500 A Mcro View of The Stock Mrket Adjustment Process. Globl Finnce Journl. 15; [6] Ebert Ronld J., nd Griffin Ricky W., 2000, Business Essentils, Fourth Edition, Prentice Hll, New Jersey. [7] Gupt, Jyoti P., Alin Chevlier nd Frn Syekt The Cuslity Between Interest Rte, Exchnge Rte nd Stock Price in Emerging Mrket: The Cse Of The Jkrt Stock Exchnge. Working Pper Series. EFMA 2000.Athens. [8] Grnger, C. W. J nd O. Morgenstern Spectrl Anlysis of New York Stock Mrket Prices. 75

5 Kyklos, 16, [9] Grnger C. W., Hung B. nd Yng C. (1998) A Bivrite Cuslity Between Stock Prices And Exchnge Rtes: Evidence from Recent Asin Flu. The Qurterly Review Of Economics And Finnce. Volume 40: [10] Hooker, Mrk A. (2004) Mcroeconomic Fctors nd Emerging Mrket Equity Returns: A Byesin Model Selection Approch. Emerging Mrkets Review. 5: [11] Kndir, Serkn Yilmz (2008) Mcroeconomic Vribles, Firm Chrcteristics nd Stock Returns: Evidence from Turkey. Interntionl Reserch Journl of Finnce nd Economics ISSN Issue 16. [12] Krpoff, Jonthn, 1987, The Reltion between Price Chnges nd Trding Volume:A Survey, Journl of Finncil nd Qulittive Anlysis 22, [13] Lee, SB Cusl Reltions Among Stock Return, Interest Rte, Rel Activity, nd Infltion. Journl Of Finnce,47: [14] Mdur, Jeff Finncil Mngement. Florid University Express. [15] Murdoglu, G, Tskin F, dn Bign, (2000), Cuslity Between Stock Returns nd Mcroeconomic Vribles in Emerging Mrkets, Russin nd Est Europen nd Trde, Vol. 36, No.6, hlm [16] Mohsen Bhmni nd Ahmd Sohrbin, 1992, Stock prices nd the effective exchnge rte of the dollr, Applied Economics, Vol 24, [17] Mok, Henry MK (1993) Cuslity of Interest Rte, Exchnge rte, nd Stock price t Stock Mrket Open nd close in Hong Kong. Asi Pcific Journl of Mngement. Vol.X. Hl [18] Smuelson Pul & Willim Nordhus., Economics 19th edition, 2007 McGrw-Hill. [19] Sngkyun, Prk (1997) Rtionlity of negtive Stock Price Responses to Strong Economics Activity. Journl Finncil Anlyst, Sept/Oct [20] Solnik, Bruno, 1987, Using Finncil Price to Test Exchnge Rte Models: A Note, The Journl of Finnce, VOL. XLII, No. 1. [21] Wongbngpo, Prphn dn Subhsh C. Shrm (2002) Stock Mrket nd Mcroeconomic Fundmentl Dynmic Interction : ASEAN 5 Countries. Journl of Asin Economics 13: [22] Weston J.Fred nd Brighm F.Eugene, 1993, Essentil of Mngeril Finnce, Tenth Edition, The Dryden Press, USA. [23] Ying, C. C. Stock Mrket Prices nd Volumes of Sles. Econometric, 34 (July 1966),