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Minor Thesis Presentation
Minor Thesis Presentation
Minor Thesis Presentation
THE INFLUENCE OF
MACROECONOMIC VARIABLES
TOWARDS
INDONESIAN SHARIA STOCK INDEX (ISSI)
by
Tasnima Nur Azizah
125020107121016
INTRODUCTION
Research Gap
The Sharia stock market index
ISSI vs JCI
ISSI.
300
ISSI VS JCI
JCI.
6000
250
5000
200
4000
150
3000
100
50
0
ISSI
JCI
2000
1000
0
Relationship
Between
Macroeconomic
Fundamentals and
Stock Market
Indices in Selected
CEE Countries
The Researchers
Research Variables
General Conclusion
Methods:
Johansens Co-integration
Vector Error Correction Model (VECM)
Granger Causality
Dependent Variable:
BSE Sensex (Indian Stock Market Index)
Independent Variables:
Industrial Production Index (IIP)
Wholesale Price Index (WPI)
Money Supply
Exchange Rate
Short-Run Interest Rate
Tajana Barbi
Iva ondi-Jurki
(2011)
Methods:
Johansens Co-integration
Granger Causality
Dependent Variable:
Croatian, Czech, Hungarian, Polish, and
Slovenian stock market (CROBEX, PX, BUX,
WIG, and SVSM)
Independent Variables:
Broad Money Supply (M3)
Foreign Exchanges Reserves (FXR)
Money Market Interest Rates (MMIR)
Harmonized Index of Consumer Prices
Impact of
Macroeconomic
Variables on Stock
Market Prices of the
Stockholm Stock
Exchange (OMXS30)
Causal Relationship
between MacroEconomic Indicators
and Stock Market in
India
The Researchers
Research Variables
General Conclusion
Methods:
Unit Root Test
Multivariate Regression Model on OLS
Granger Causality
Dependent Variable:
Stockholms Stock Market Index (OMXS30)
Independent Variables:
Consumer Price Index (CPI)
Interest Rate (IR)
Exchange Rate (ER)
Money Supply (MS)
Methods:
Ljung-Box Q Test
Breusch-Godfrey LM Test
Unit Root Test
Granger Causality Test
Dependent Variable:
BSE Sensex
Independent Variables:
91-days Treasury Bill Rate (Interest Rate)
Exchange Rate
Wholesale Price Index (Inflation Rate)
S&P 500 Return (International Market Index)
BSE Trading Volume
The role of
Macroeconomic
Variables on Stock
Market Index in China
and India
An Empirical Study
of Macroeconomic
Factors and Stock
Market: An Indian
Perspective
The Researchers
Research Variables
General Conclusion
Methods:
Augmented Dickey-Fuller Unit Root Test
Multivariate Co-integration
Vector Error Correction Model (VECM)
Dependent Variables:
Bombay Stock Exchange (BSE)
Shanghai Stock Exchange (SSE)
Independent Variables:
Crude Oil Price (COP)
Money Supply (M2)
Industrial Production (IP)
Inflation Rate (IR)
BSE:
Negative influence from COP and MS
Positive influence from IP and IR
SSE:
Negative influence from IP
Positive influence from COP, MS, and IR
Saurabh Yadav
(2012)
Methods:
Unit Root Test
Co-integration
Ljung-Box Q Test
Multivariate VAR Analysis
Dependent Variables:
BSE Sensex
Independent Variables:
Money Supply (M1)
Consumer Price Index
Producer Price Index
Industrial Production
Exchange Rate
Macroeconomic
Activity and the
Malaysian Stock
Market: Empirical
Evidence of
Dynamic Relations
Macroeconomic
Factors and Stock
Market Movement:
Evidence from Ghana
The Researchers
Research Variables
R. Ratneswary V.
Rasiah
(2010)
Method:
Johansens Co-integration
Vector Error Correction Model
Dependent Variable:
Stock Price Index (KLCI)
Independent Variables:
Industrial Production (Real Output)
Consumer Price Index (CPI)
Money Supply (M1)
Real Exchange Rates (RER)
Anokye M. Adam
George Tweneboah
(2008)
Methods:
Johansens Multivariate Co-integration Test
VECM
Dependent Variable:
Databank Stock Index
Independent Variables:
Net Foreign Direct Investments
Treasury Bill (proxy for Interest Rate)
CPI (proxy for Inflation)
Exchange Rate
General Conclusion
Can Macroeconomic
Variables Explain
Long Term Stock
Market Movements? A
Comparison of the US
and Japan
The Researchers
Research Variables
Andreas Humpe
Peter Macmillan
(2007
Method:
Johansens Co-integration
Dependent Variable:
Stock Prices in US and Japan
Independent Variables:
Industrial Production
Consumer Price Index
Money Supply
Interest Rates
Komain Jiranyakul
(2009)
Method:
Johansens Co-integration
Granger Causality
Dependent Variable:
Stock Market Index
Independent Variables:
Real GDP
Money Supply (M1)
Nominal Effective Exchange Rate (NEER)
Consumer Price Index (CPI)
General Conclusion
US:
Significantly positive influenced by IP
Significantly negative influenced by
CPI and IR
Insignificantly positive influenced by
MS
JP:
Significantly positive influenced by IP
Significantly negative influenced by
CPI, MS, and IR
HYPOTHESIS
1
Where,
Y
= ISSI
X1 = CPI
X2 = interest rate
X3 = exchange rate
X4 = money supply
METHOD
ADF Unit Root Test
Data must be stationary
VECM
Wald Test
Granger Causality
RESULT
ADF Unit Root Test
Null Hypothesis
Results
0.0000* Reject
Y is stationary
0.0000* Reject
X1 is stationary
0.0151* Reject
X2 is stationary
0.0003* Reject
X3 is stationary
0.0000* Reject
X4 is stationary
RESULT
Johansens Co-integration Test
Hypothesized
No. of CE(s)
Trace
Statistic
Critical Value
= 5%
Prob.
Max-Eigen
Statistic
Critical Value
= 5%
Prob.
None*
82.75457
69.81889
0.0033
37.34908
33.87687
0.0185
At most 1
45.40550
47.85613
0.835
21.90812
27.58434
0.2251
At most 2
23.49737
29.79707
0.2225
17.77579
21.13162
0.1385
At most 3
5.721588
15.49471
0.7281
5.415418
14.26460
0.6887
At most 4
0.005985
3.841466
0.5800
0.306170
3.841466
0.5800
RESULT
VECM
RESULT
Wald Test
Variables
Null Hypothesis
Chi-Square
P-Value
X1
C(4)=C(5)=0
0.0641
X2
C(6)=C(7)=0
0.2845
X3
C(8)=C(9)=0
0.4100
X4
C(10)=C(11)=0
0.8071
RESULT
Granger Causality Test
Null Hypothesis
F-Statistic
Prob.
7.65405
0.0013
3.63716
0.0340
3.38301
0.0424
6.19831
0.0041
3.41082
0.0414
6.58025
0.0030
ECONOMIC ANALYSIS
CPI, interest rate, exchange rate, and money
supply have long-run relationship with ISSI
However, they do not influence ISSI in the shortrun
CPI gives negative impact to ISSI insignificatly
Significantly, ISSI follows the movement of interest
rate and money supply positively, while it follows
exchange rate negatively
ISSI might be used as the leading indicators for
interest rate and exchange rate respectively.
CONCLUSION
Thank you