Handaya, Felicia and Bustaman, Yosman (2014) The Analysis of Macroeconomic Variables on DJIM25, JII, and Their Impact on DJIM ASEAN Index. Bachelor thesis, Swiss German University.

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Abstract

The purpose of this research is to analyze and identify the correlation between macroeconomic variables namely exchange rate and interest rate on Islamic stock return in Indonesia, Malaysia and ASEAN. Moreover, this study also wants to find which countries have more impact on ASEAN. The data are treated daily (five days per week) from period January 2009 to January 2014. This research use Vector Autoregression and Granger Causality Analysis method. JII and DJIM25 show a similar result on the relationship with macroeconomic variables. The stock indexes have a negative and not significance relationships toward interest rate, positive and significance relationships toward exchange rate. Between JII and DJIM25 show significant impact on ASEAN. However, Malaysia has bigger shock fluctuation towards DJIM ASEAN.

Item Type:	Thesis (Bachelor)
Uncontrolled Keywords:	Exchange Rate, Interest Rate, Islamic Index, JII, DJIM25, DJIM ASEAN, VAR, Granger Causality
Subjects:	H Social Sciences > HB Economic Theory H Social Sciences > HF Commerce > HF5001 Business H Social Sciences > HG Finance > HG4551 Stock exchanges
Divisions:	Faculty of Business Administration and Communication > Department of Business Administration
Depositing User:	Faisal Ifzaldi
Date Deposited:	25 Jul 2021 16:07
Last Modified:	25 Jul 2021 16:07
URI:	http://repository.sgu.ac.id/id/eprint/2114

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