Title of article :
The Impact of Macroeconomic Volatility on the Indonesian StockMarket Volatility
Author/Authors :
Abdul Karim, Bakri Universiti Malaysia Sarawak (UNIMAS) - Faculty of Economics and Business, Malaysia , Sea, Loke Phui Universiti Malaysia Sarawak (UNIMAS) - Faculty of Economics and Business, Malaysia , Abdul Karim, Zulkefly Universiti Kebangsaan Malaysia - School of Economics, Faculty of Economics and Management, Malaysia
Abstract :
This study examines the relationship between macroeconomic variablesvolatility (industrial production, exchange rate, inflation rate and money supply)and stock market volatility in Indonesia. Monthly data from January 1986 toDecember 2013 are employed in this study. Using GARCH (1, 1) and GrangerCausality test, the results show that the macroeconomic variables volatility hasno impact toward the Indonesian stock market volatility. However, there is onlyan unidirectional causal relationship running from stock market volatility toexchange rate volatility. Therefore, policy makers should take into account stockmarket volatility in making any policy related to exchange rate.
Keywords :
Macroeconomic , stock market , volatility , GARCH , GrangerCausality
Journal title :
International Journal of Business and Technopreneurship
Journal title :
International Journal of Business and Technopreneurship
