Impacts of US Monetary Policy, Domestic Micro and Macro Variables on the Indonesia Stock Market during Quantitative Easing Period in 2008-2020
Main Article Content
Abstract
This research is aimed to establish US (macro)as well as domestic (micro and macro)
determinants of the Indonesia stock market since the Federal Reserve started quantitative easing
(QE) policy in 2008 until end of 2020. Error Correction Model (ECM) is applied on models with
co-integrated variables and Vector Autoregression(VAR) in first differenceis applied on those
without co-integrated ones. This research finds that QE positively affects the Indonesia equity
market through the currency exchange rate. Another US macro determinant for the Indonesia
equity market is S&P 500 index. On local determinants, this research finds that Credit Default
Swaps (CDS) index and market volatility negatively affect the stock market, while Rupiah
exchange rate, stock market liquidity and valuation positively impact the Jakarta Composite
Index. To the author's knowledge, there has been no research on the influence of the CDS
index on stock markets in Indonesia since the QE policy was launched by the US central bank in
2008.
Downloads
Metrics
Article Details
Licensing
TURCOMAT publishes articles under the Creative Commons Attribution 4.0 International License (CC BY 4.0). This licensing allows for any use of the work, provided the original author(s) and source are credited, thereby facilitating the free exchange and use of research for the advancement of knowledge.
Detailed Licensing Terms
Attribution (BY): Users must give appropriate credit, provide a link to the license, and indicate if changes were made. Users may do so in any reasonable manner, but not in any way that suggests the licensor endorses them or their use.
No Additional Restrictions: Users may not apply legal terms or technological measures that legally restrict others from doing anything the license permits.
