Respon Return Pasar Modal Indonesia terhadap Kebijakan Moneter Domestik dan Asing
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Published
21 August 2018
Abstract
Understanding the impact of external shocks on the stock market return and volatility is crucial for market participants as volatility is synonymous with risk. This paper provides comprehensive evidence on the spillover effects of the change of monetary policies from inside country and foreign origins on Indonesia stock market in the period of the time from November 2, 2012 to May 15, 2017. Used symmetric (IGARCH) and asymmetric (EGARCH and APARCH) GARCH model analysis to evaluate the impact of surprise and anticipated changes of monetary policies from inside country and foreign policies (from another ASEAN countries and leading economies, in this paper are United States, Europe, and United Kingdom). Surprise change of monetary policy is proxied by one day change in 3 months interbank offered rate, while anticipated change of monetary policy is proxied by one day change in target interest rate or policy rate. The result shows that information of the monetary policy news and Indonesia stock return is asymmetric. Indonesia stock market is only affected by foreign monetary policies.
Keywords: ASEAN stock market, GARCH, Monetary policy
JEL classification: C01, C50, E50
References
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Febrian E, Aldrin H. 2009. Volatility Forecasting Models And Market Co-Integration: A Study On South-East Asian Markets. Indonesian Capital Market Review 1(1): 27-42.
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Karim BA, M Shabri A, Samsul Arifin AK. 2009. Integration of Stock Markets Between Indonesia and Its Major Trading Partners. Gadjah Mada International Journal of Business 11(2): 229-252.
Kim Suk-Joong, Do Quoc Tho Nguyen. 2009. The Spillover Effect of Target Interest RateNews From The U.S Fed and The European Central Bank on The Asia-Pacific Stock Markets. Journal of International Financial Markets, Institution & Money 19(1): 415-431.
Krieger K, Nathan M, Joseph V. 2015. Comparing U.S. and European Market Volatility Responses to Interest Rate Policy Announcements. International Review of Financial Analysis 39(1): 127–136.
Marfatia HA. 2014. Impact of Uncertainty on High Frequency Response of The U.S. Stock Markets to The Fed's Policy Surprises. The Quarterly Review of Economics and Finance 54(8): 382–392.
Mishkin FS. 1996. The Channels of Monetary Transmission: Lessons for Monetary Policy. Banque de France Bull. Dig 27(1): 33–44.
Mishkin FS. 2008. The Economics of Money, Banking, and Financial Market. New Jersey (US): Pearson Education.
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Pennings S, Arief R, Hsiao CT. 2015. The Impact of Monetary Policy in Financial Markets in Small Open Economies: More or Less Effective During The Global Financial Crisis?. Journal of Macroeconomics 44(6): 60–70.
Putri NA, Lukytawati A, Syamsul HP. 2017. Analysis of Federal Fund Rate and BI Rate Announcement to Abnormal Return In Indonesia Stock Market. International Journal of Business and Management Review 5(9): 65-77.
Ravn SH. 2014. Asymmetric Monetary Policy Towards The Stock Market: A DSGE Approach. Journal of Macroeconomics 39(1): 24–41.
Ricci O. 2015. The Impact of Monetary Policy Announcements on The Stock Price of Large European Banks During The Financial Crisis. Journal of Banking & Finance 52(3): 245–255.
Ruiz J. 2015. Response of Spanish Stock Market to ECB Monetary Policy During Financial Crisis. Spanish Review of Financial Economics 13(2): 41-47.
Salvatore D. 1996. International Economics, Fifth Edition. New Jersey(US): Prentice Hall.
Tillmann P. 2016. Unconventional Monetary Policy and The Spillovers to Emerging Markets. Journal of International Money and Finance 66(9): 136–156.
Tamisari MD, Rina O, Dedi BD. 2016. Stock Market Integration of Asean+6 on Indonesia Composite Stock Price Index (Jkse). International Journal of Business and Management Invention 5(2): 1-7.
Tsai, CL. 2014. The Effects of Monetary Policy on Stock Returns: Financing Constraints and “Informative” and“Uninformative” FOMC Statements. International Review of Economics and Finance 29(1): 273 –290.
Vithessonthi C, Yaowaluk T. 2012. The Impact of Monetary Policy Decisions on Stock Returns: Evidence from Thailand. Journal of International Financial Markets, Institutions & Money 22(1): 487 –507.
Vithessonthi C , Yaowaluk T. 2013. Do Monetary Policy Announcements Affect Stock Prices in Emerging Market Countries? The case of Thailand. Journal of Multinational Financial Management 23(1): 446 –469.
Wang S, David G M. 2012. Monetary Policy Announcements and Stock Reactions: An International Comparison. North American Journal of Economics and Finance 23(1): 145 –164.
Wuryandani G. 2011. The Behavior and Determinants of Stock Market Index in
Indonesia. Indonesian Capital Market Review 3(2): 101 -116.
Yang L, Shigeyuki H. 2014. Spillover effect of US Monetary Policy to ASEAN Stock Markets: Evidence from Indonesia, Singapore, and Thailand. Pacific Basin Finance Journal 26(1):145 -155.
Zare R, M Azali, MS Habibullah. 2013. Monetary Policy and Stock Market Volatility in the ASEAN5: Asymmetries over Bull and Bear Markets. Procedia Economics and Finance 7(1):18 – 27.
Ali H. 2014. Impact of Interest Rate on Stock Market; Evidence from Pakistani Market. Journal of Business and Management 16(1): 64-6.
Awartani BMA, Corradi V. 2005. Predicting the volatility of the S&P-500 stock index via GARCH Models: The role ofasymmetries. International Journal of Forecasting. 21: 167-183.
Bakara MYV, Bambang H. 2009. Are South East Asia Countries Capital Markets Characterized by Nonlinear Structures? An Investigation from Indonesia, Philippine and Singapore Capital Market Indices. Indonesian Capital Market Review 1(1): 43-65.
Belke A, Joscha B. 2014. Monetary Policy and Stock Prices – Cross-Country Evidence from Cointegrated VAR Models. Journal of Banking & Finance 54(1): 254-265.
Bernanke B, Kenneth NK. 2003. What explains the stock market's reaction to Federal Reserve policy?. Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
Bernanke B, Kenneth K. 2005. What Explains the Stock Market's Reaction to Federal Reserve Policy?. Journal of Finance 60(1): 1221-1257.
Dornbusch R, Stanley F, Richard S. 2008. Macroeconomics 10th Edition. New York (US): McGraw-Hill Companies.
Dufour JM, D Tessier. 2006. ShortRun and Long-Run Causality between Monetary Policy Variables and Stock Prices. Bank of Canada Working paper.
Fama EF. 1969. Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance 25(2): 383- 417.
Febrian E, Aldrin H. 2009. Volatility Forecasting Models And Market Co-Integration: A Study On South-East Asian Markets. Indonesian Capital Market Review 1(1): 27-42.
Firdaus M. 2011. Aplikasi Ekonometrika: Untuk Data Panel dan Time Series. Bogor (ID): IPB Press.
Fischbacher U, T Hen, S Zeisberger. (2013). The Impact of Monetary Policy on Stock Market Bubbles and Trading Behavior: Evidence From The Lab. Journal of Economic Dynamics and Control 37(10): 2104-2122.
Gali J, L Gambetti. 2013. The Effects of Monetary Policy on Stock Market Bubbles Some Evidence. Nber Working Paper Series.
Global Business Guide Indonesia. 2017. Indonesia’s Capital Market: Growing Beyond Expectations [internet]. [diacu 2018 April 11]. Tersedia dari:http://www.gbgindonesia.com/en/finance/article/2017/indones ia_s_capital_market_growing_ beyond_expectations_11764.p hp
Gokbulut RI, Pekkaya M. 2014. Estimating and Forecasting Volatility of Financial Markets Using Asymmetris GARCH Models: An Application on Turkish 42 Financial Markets. International Journal of Economics and Finance. 6(4): 23-35.
Karim BA, M Shabri A, Samsul Arifin AK. 2009. Integration of Stock Markets Between Indonesia and Its Major Trading Partners. Gadjah Mada International Journal of Business 11(2): 229-252.
Kim Suk-Joong, Do Quoc Tho Nguyen. 2009. The Spillover Effect of Target Interest RateNews From The U.S Fed and The European Central Bank on The Asia-Pacific Stock Markets. Journal of International Financial Markets, Institution & Money 19(1): 415-431.
Krieger K, Nathan M, Joseph V. 2015. Comparing U.S. and European Market Volatility Responses to Interest Rate Policy Announcements. International Review of Financial Analysis 39(1): 127–136.
Marfatia HA. 2014. Impact of Uncertainty on High Frequency Response of The U.S. Stock Markets to The Fed's Policy Surprises. The Quarterly Review of Economics and Finance 54(8): 382–392.
Mishkin FS. 1996. The Channels of Monetary Transmission: Lessons for Monetary Policy. Banque de France Bull. Dig 27(1): 33–44.
Mishkin FS. 2008. The Economics of Money, Banking, and Financial Market. New Jersey (US): Pearson Education.
Nguyen TTTLD, Van Duy Nguyen. 2016. Impacts of Monetary Policy and Information Shock on Stock Market: Case Study in Vietnam. International Journal of Economics and Finance 8(7): 132-139.
Oxford Business Review. 2018. Room for Growth on Indonesia's Stock Exchange [internet]. [diacu 2018 April 11]. Tersedia dari: https://oxfordbusinessgroup.co m/overview/all-here-large-andactive-bourse-still-has-roomgrow
Pennings S, Arief R, Hsiao CT. 2015. The Impact of Monetary Policy in Financial Markets in Small Open Economies: More or Less Effective During The Global Financial Crisis?. Journal of Macroeconomics 44(6): 60–70.
Putri NA, Lukytawati A, Syamsul HP. 2017. Analysis of Federal Fund Rate and BI Rate Announcement to Abnormal Return In Indonesia Stock Market. International Journal of Business and Management Review 5(9): 65-77.
Ravn SH. 2014. Asymmetric Monetary Policy Towards The Stock Market: A DSGE Approach. Journal of Macroeconomics 39(1): 24–41.
Ricci O. 2015. The Impact of Monetary Policy Announcements on The Stock Price of Large European Banks During The Financial Crisis. Journal of Banking & Finance 52(3): 245–255.
Ruiz J. 2015. Response of Spanish Stock Market to ECB Monetary Policy During Financial Crisis. Spanish Review of Financial Economics 13(2): 41-47.
Salvatore D. 1996. International Economics, Fifth Edition. New Jersey(US): Prentice Hall.
Tillmann P. 2016. Unconventional Monetary Policy and The Spillovers to Emerging Markets. Journal of International Money and Finance 66(9): 136–156.
Tamisari MD, Rina O, Dedi BD. 2016. Stock Market Integration of Asean+6 on Indonesia Composite Stock Price Index (Jkse). International Journal of Business and Management Invention 5(2): 1-7.
Tsai, CL. 2014. The Effects of Monetary Policy on Stock Returns: Financing Constraints and “Informative” and“Uninformative” FOMC Statements. International Review of Economics and Finance 29(1): 273 –290.
Vithessonthi C, Yaowaluk T. 2012. The Impact of Monetary Policy Decisions on Stock Returns: Evidence from Thailand. Journal of International Financial Markets, Institutions & Money 22(1): 487 –507.
Vithessonthi C , Yaowaluk T. 2013. Do Monetary Policy Announcements Affect Stock Prices in Emerging Market Countries? The case of Thailand. Journal of Multinational Financial Management 23(1): 446 –469.
Wang S, David G M. 2012. Monetary Policy Announcements and Stock Reactions: An International Comparison. North American Journal of Economics and Finance 23(1): 145 –164.
Wuryandani G. 2011. The Behavior and Determinants of Stock Market Index in
Indonesia. Indonesian Capital Market Review 3(2): 101 -116.
Yang L, Shigeyuki H. 2014. Spillover effect of US Monetary Policy to ASEAN Stock Markets: Evidence from Indonesia, Singapore, and Thailand. Pacific Basin Finance Journal 26(1):145 -155.
Zare R, M Azali, MS Habibullah. 2013. Monetary Policy and Stock Market Volatility in the ASEAN5: Asymmetries over Bull and Bear Markets. Procedia Economics and Finance 7(1):18 – 27.
Authors
WulandariA. Y., AchsaniN. A., & AnggraeniL. (2018). Respon Return Pasar Modal Indonesia terhadap Kebijakan Moneter Domestik dan Asing. JURNAL EKONOMI DAN KEBIJAKAN PEMBANGUNAN, 7(1), 1-20. https://doi.org/10.29244/jekp.7.1.2018.1-20
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