Stability Analysis of Macroeconomic Effect on The Jakarta Composite Index (JCI) During 2006-2021

Stability Analysis of Macroeconomic Effect on The Jakarta Composite Index (JCI) During 2006-2021

JakartaComposite Index (JCI), Macroeconomics, Change in Regression Stability

This researchaims to provide empirical evidence of macroeconomic effects on the Jakarta Composite Stock Price Index (JCI), precisely the exchange rate, GDP, gold prices, oil prices, and U.S.interest rates, as well as whether there are changes in the structure or stability of the regression during2006-2021. The study employs quantitative research techniques such as panel data regression and dummy regression analysis with EViews 12. The results show that: (1) The exchange rate significantly negatively affectsthe JCI. (2) GDPsignificantly positivelyaffect the JCI. (3) Gold prices significantly positivelyaffect the JCI. (4) Oil prices significantly positivelyaffect the JCI. (5) U.S. interest rates significantly positivelyaffect the JCI. (6). The structure or stability regression of the macroeconomic effect on the JCI varies yearly. It means there is a change in the structure or stability of the regression during2006-2021.

Mersa Lestari Ningrum1, Matrodji H Mustafa2

https://dinastipub.org/DIJEFA/article/view/1535/1082

Universitas Mercu Buana

8 January 2023

Mersa Lestari Ningrum

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English

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