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Emperical study of the interaction between monetary policy and the Jakarta stock exchange : heteroscedasticity identification approach

Yudha Permana; Sembel, Roy Hendra Michael, supervisor (Fakultas Ekonomi dan Bisnis Universitas Indonesia, 2004)

 Abstract

This paper provides evidence on the reactions of an emerging financial market to monetary policy announcements. We employ an instrumental variable estimation approach based on the "identification through heteroscedasticity" technique to estimate the impact of a change in the official interest rate and its surprise component on asset prices in Indonesia. The new methodology controls for possible feedback relationships between financial variables and official interest rate changes. Data study objects that I used in this thesis are samples of the stock price indexes of JSX, foreign exchanges and SBI rates. Data samples are daily rctums from JSX database and Bloomberg, respectively. Study period covers from August 03, 1998 to January 02, 2004, a total one thousand and fifteen (1415) observations based on trading dates. In our analysis, official interest rates have a smaller significant impact on stock market movements, driving them in the same direction as the change in stock prices. The results suggest that daily interest rates have a smaller significant impact on stock market movements within the period after the Bank Indonesia Act |999 to year 2004, driving them in the same direction as the change in stock prices. On the other hand before Bank Indonesia Act I999, I observe an influence of official interest MIC changes on short-term stock indices.

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Collection Type : UI - Tesis Membership
Call Number : T34499
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Publishing : Depok: Fakultas Ekonomi dan Bisnis Universitas Indonesia, 2004
Cataloguing Source LibUI ind rda
Content Type text
Media Type computer
Carrier Type online resource
Physical Description vi, 70 pages : illustration ; 28 cm
Concise Text
Holding Institution Universitas Indonesia
Location Perpustakaan UI, Lantai 3
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Call Number Barcode Number Availability
T34499 15-19-874648686 TERSEDIA
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No review available for this collection: 20342360
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