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Aurora, T., & Riyadi, and A. (2013). Effect of Inflation, Interest Rates, and Exchange Rates Against the LQ-45 Index in Indonesia Stock Exchange Period 2007-2011. Journal of Management Dynamics, 1 (3), 184.
Beaulieu, M., Cosset, J., & Essaddam, N. (2005). The Impact of Political Risk on the Volatility of Stock Returns: The Case of Canada. Journal of International Business Studies, 701-718.
Clark, J., & Berko, E. (1996). Foreign Investment fluctuations and Emerging Market Stock Returns: The Case of Mexico. Staff Reports (Reserve Bank of New York).
Damodaran, A. (2003). Country risk and Company Exposure: Theory and Practice. Exposure, 13 (September), 63-77.
Égly, PV, Johnk, DW, & Liston, DP (2010). Foreign Portfolio Investment Inflows to the United States: The Impact of Investor risk aversion and US Stock Market Performance. North American Journal of Finance and Banking Research, 4.
Elfarij, A., Wahyudi, S., & Raharjo, T. (2015). Analysis of Factors Affecting the Flow of Foreign Investment in the Stock Exchange Indonesia Year 2004-2015, 1-20.
Eliza, M. (2013). Analysis of Effect of Macroeconomic Variables Against Foreign Investment in Indonesia in 2000-2011.
French, JJ (2011). The Dynamic Interaction Between Foreign Equity Flows and Returns: Evidence From the Johannesburg Stock Exchange. The International Journal of Business and Finance Research, 5 (4), 45-56.
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Hikmah, NL, and Miyasto. (2014). Difference Analysis of Effect Return Dow Jones, Eurosotoxx50 Return, Exchange Rate, Inflation and Interest Rates on Return Composite Index Before and After US Subprime Mortage Crisis and European Debt Crisis Years 2003-2014.
Hismendi, Hamzah, A., & Musnadi, S. (2013). Analysis of Effect of Exchange Rate, SBI, Inflation and GDP Growth Movement Against Composite Stock Price Index in Indonesia Stock Exchange. Journal of Economic Studies, 1 (2), 16-28.
Kananlua, PS (2014). Cointegration and Causality Composite Stock Price Index and the Dow Jones Industrial Index. Ekombis Review, 120-135.
Karolyi, GA, & Stulz, RM (2012). Why Do Markets Move Together? An Investigation of US-Japan Stock Return Comovements. The Journal of Finance, 51 (3), 951-986.
Kasim, MY (2010). Influence Against Regional Stock Index Composite Stock Price Index in Indonesia Stock Exchange. Media Journal of Accounting Research, 3 (1), 27-32.
Kewal, SS (2012). Effect of Inflation, Interest Rates, Exchange Rate, and GDP growth Against Composite Stock Price Index. Economy Journal, 8 (1), 53-64.
Listriono, K., & Nuraina, E. (2015). Role Inflation BI Rate, Exchange Rate Dollar (USD / IDR) in Effecting Composite Stock Price Index. Journal of Management Dynamics, 6 (1), 73-83.
Maharani, S., & Witiastuti, RS (2015). Market overreaction phenomenon in Indonesia Stock Exchange. Analysis Management Journal, 1 (2), 120-128.
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Manullang, P. (2008). Effect of Currency Exchange Rupiah Up Dollar and Shareholding By Foreign Investors Against Composite Stock Price Index (CSPI). Journal of Economics and Business, 2.
Muharram, H., & Nurafni, Z. (2008). Analysis of Effect of Exchange Rate and Stock Index Dow Jones Industrial Average Against the Indonesian Jakarta Composite Index on the JSE. Maksi Journal, 8, 24-42.
Nasir, A., & Mirza, A. (2011). Effect of Exchange Value, Inflation, Interest Rate Deposit And Share Trading Volume Stock Return Of The Banking Companies Listed in Indonesia Stock Exchange. Journal of Economics, Business.
Pramudia, R. (2014). ASEAN Capital Market Integration -5 + 3 Method Using Dynamic Conditional Correlation Multivariate Garch-Year Period 2006-2014. Diponegoro University.
Purwaningsih & Khoiruddin, M. (2016). Market Reaction To Announcement Issuance of Mudaraba Sukuk and conventional bonds. Analysis Management Journal, 5 (4), 299-313.
Reis, L., Meurer, R., & Da Silva, S. (2008). Stock Returns And Foreign Investment In Brazil. Munich Personal RePEc Arcive, 237 (23028), 1-17.
Srianingsih, & Khoiruddin, M. (2015). Influence Announcement Sukuk Rating on Market Reaction. Analysis Management Journal, 4 (2), 120-128.
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Widagdo, SB (2009). Analysis of the Indonesian Capital Market Integration With the ASEAN-5 Post-Ratification of the Kyoto Protocol period 2001-2009.
Widarjono, Agus. (2013) Econometrics Introduction and Application Accompanied Free E-views. UPP STIM YKPN: Yogyakarta.
Vitello, A. (2010). Influence anlisis ROA, EPS, Financial Leverage, Proceed Against Initial Return. Journal of Management Dynamics, 1 (1), 68-78.
Witiastuti, RS (2012). Portfolio Performance Analysis: Testing Single Index Model and Naive Diversication. Management Dynamics Journal, 4 (2), 184-191.
Yendrawati, R., & Pratiwi, RSI (2014). Relevance Value Profit and Cash Flow Information Share Price. Management Dynamics Journal, 5 (2), 161-170.
Yulianto, Arief., Kiswanto., Widiyanto., & Yulianto, Agung. (2014). Linear and Non-Linear Approaches in Testing Managerial Ownership on the Firm Value: Evidence Indonesian Firms. IOSR Journal of Business and Management. Vol 16, 01-05.
Yulianto, Arief., Suseno, Deki Aji., & Widiyanto. (2016). Testing Pecking Order Theory and the Trade-Off Models in Public Companies in Indonesia. International Journal of Economic Perspectives. Vol 10, 21-28.
Zaretta, B. (2015). Effect of Foreign Investment Return To The Market With Autoreggresion Vector (VAR): A Study on the Indonesia Stock Exchange Period January 2008-December 2013.
Agustina, C., & Ardiansari, A. (2015). Influence of Macroeconomic Factors and Financial Performance Of Manufacturing Company Values. Analysis Management Journal, 4 (1), 10-21.
Anayochukwu, OB (2012). The Impact of Stock Market Returns on Investment Portfolio Foreifgn in Nigeria. IOSR Journal of Business and Management 2 (4), pp: 10-19
Arfinto, Erman Denny 2005, "Indonesian Capital Market Integration: Observations Against Multiple Exchanges in Asia Pacific and the United States", Media Economics and Business Undip, Vol.XVII 2.
Astuti, Praise 2004, "Indonesian Capital Market Integration with World Capital Markets and Equity Implications Individuals", Compact FE University of Technology in Yogyakarta, 10.
Aurora, T., & Riyadi, and A. (2013). Effect of Inflation, Interest Rates, and Exchange Rates Against the LQ-45 Index in Indonesia Stock Exchange Period 2007-2011. Journal of Management Dynamics, 1 (3), 184.
Beaulieu, M., Cosset, J., & Essaddam, N. (2005). The Impact of Political Risk on the Volatility of Stock Returns: The Case of Canada. Journal of International Business Studies, 701-718.
Clark, J., & Berko, E. (1996). Foreign Investment fluctuations and Emerging Market Stock Returns: The Case of Mexico. Staff Reports (Reserve Bank of New York).
Damodaran, A. (2003). Country risk and Company Exposure: Theory and Practice. Exposure, 13 (September), 63-77.
Égly, PV, Johnk, DW, & Liston, DP (2010). Foreign Portfolio Investment Inflows to the United States: The Impact of Investor risk aversion and US Stock Market Performance. North American Journal of Finance and Banking Research, 4.
Elfarij, A., Wahyudi, S., & Raharjo, T. (2015). Analysis of Factors Affecting the Flow of Foreign Investment in the Stock Exchange Indonesia Year 2004-2015, 1-20.
Eliza, M. (2013). Analysis of Effect of Macroeconomic Variables Against Foreign Investment in Indonesia in 2000-2011.
French, JJ (2011). The Dynamic Interaction Between Foreign Equity Flows and Returns: Evidence From the Johannesburg Stock Exchange. The International Journal of Business and Finance Research, 5 (4), 45-56.
Ghozali, Imam. (2013). Anaisis multivariant and Econometric Theory, Concepts and Applications with E-views 8. Diponegoro University, Semarang.
Gordon, James and Poonam Gupta. (2003). Portfolio Flows into India: Do Domestic Fundamentals Matter ?. IMF Working Paper No.03 / 02. Washington, DC: International Monetary Fund.
Herwany, Aldrin, and Hidalgo, Erie., 2013. Global Stock Price Linkages Around The US Financial Crisis: Evidence from Indonesia. Global Journal of Business Research, vol.7, # 5.
Hikmah, NL, and Miyasto. (2014). Difference Analysis of Effect Return Dow Jones, Eurosotoxx50 Return, Exchange Rate, Inflation and Interest Rates on Return Composite Index Before and After US Subprime Mortage Crisis and European Debt Crisis Years 2003-2014.
Hismendi, Hamzah, A., & Musnadi, S. (2013). Analysis of Effect of Exchange Rate, SBI, Inflation and GDP Growth Movement Against Composite Stock Price Index in Indonesia Stock Exchange. Journal of Economic Studies, 1 (2), 16-28.
Kananlua, PS (2014). Cointegration and Causality Composite Stock Price Index and the Dow Jones Industrial Index. Ekombis Review, 120-135.
Karolyi, GA, & Stulz, RM (2012). Why Do Markets Move Together? An Investigation of US-Japan Stock Return Comovements. The Journal of Finance, 51 (3), 951-986.
Kasim, MY (2010). Influence Against Regional Stock Index Composite Stock Price Index in Indonesia Stock Exchange. Media Journal of Accounting Research, 3 (1), 27-32.
Kewal, SS (2012). Effect of Inflation, Interest Rates, Exchange Rate, and GDP growth Against Composite Stock Price Index. Economy Journal, 8 (1), 53-64.
Listriono, K., & Nuraina, E. (2015). Role Inflation BI Rate, Exchange Rate Dollar (USD / IDR) in Effecting Composite Stock Price Index. Journal of Management Dynamics, 6 (1), 73-83.
Maharani, S., & Witiastuti, RS (2015). Market overreaction phenomenon in Indonesia Stock Exchange. Analysis Management Journal, 1 (2), 120-128.
Mailangka, J. (2013). Indonesian Capital Market Integration and Multiple Exchanges in the World (period January 2013 - March 2013). EMBA Journal, 1 (9), 722-731.
Mansur, M. (2005). Global Stock Index Influence on Stock Price Index (CSPI) on the Jakarta Stock Exchange (JSX) for the Period of 2000-2002. Sosiohumaniora, 7, 203-219.
Manullang, P. (2008). Effect of Currency Exchange Rupiah Up Dollar and Shareholding By Foreign Investors Against Composite Stock Price Index (CSPI). Journal of Economics and Business, 2.
Muharram, H., & Nurafni, Z. (2008). Analysis of Effect of Exchange Rate and Stock Index Dow Jones Industrial Average Against the Indonesian Jakarta Composite Index on the JSE. Maksi Journal, 8, 24-42.
Nasir, A., & Mirza, A. (2011). Effect of Exchange Value, Inflation, Interest Rate Deposit And Share Trading Volume Stock Return Of The Banking Companies Listed in Indonesia Stock Exchange. Journal of Economics, Business.
Pramudia, R. (2014). ASEAN Capital Market Integration -5 + 3 Method Using Dynamic Conditional Correlation Multivariate Garch-Year Period 2006-2014. Diponegoro University.
Purwaningsih & Khoiruddin, M. (2016). Market Reaction To Announcement Issuance of Mudaraba Sukuk and conventional bonds. Analysis Management Journal, 5 (4), 299-313.
Reis, L., Meurer, R., & Da Silva, S. (2008). Stock Returns And Foreign Investment In Brazil. Munich Personal RePEc Arcive, 237 (23028), 1-17.
Srianingsih, & Khoiruddin, M. (2015). Influence Announcement Sukuk Rating on Market Reaction. Analysis Management Journal, 4 (2), 120-128.
Sugiyono (2001). Quantitative Research Methods, Qualitative and R & D. Alfabeta: Bandung.
Tandelilin, Eduardus. (2010). Portfolio and Investment Theory and Applications. First Edition. Canisius: Yogyakarta.
Tastaftiani, M., & Khoiruddin, M. (2015). Analysis Pengeruh Dividend Announcement Against Abnormal Return and Variability Profitability Shares. Management Analysis Journal, 2 (2), 1-7.
Widagdo, SB (2009). Analysis of the Indonesian Capital Market Integration With the ASEAN-5 Post-Ratification of the Kyoto Protocol period 2001-2009.
Widarjono, Agus. (2013) Econometrics Introduction and Application Accompanied Free E-views. UPP STIM YKPN: Yogyakarta.
Vitello, A. (2010). Influence anlisis ROA, EPS, Financial Leverage, Proceed Against Initial Return. Journal of Management Dynamics, 1 (1), 68-78.
Witiastuti, RS (2012). Portfolio Performance Analysis: Testing Single Index Model and Naive Diversication. Management Dynamics Journal, 4 (2), 184-191.
Yendrawati, R., & Pratiwi, RSI (2014). Relevance Value Profit and Cash Flow Information Share Price. Management Dynamics Journal, 5 (2), 161-170.
Yulianto, Arief., Kiswanto., Widiyanto., & Yulianto, Agung. (2014). Linear and Non-Linear Approaches in Testing Managerial Ownership on the Firm Value: Evidence Indonesian Firms. IOSR Journal of Business and Management. Vol 16, 01-05.
Yulianto, Arief., Suseno, Deki Aji., & Widiyanto. (2016). Testing Pecking Order Theory and the Trade-Off Models in Public Companies in Indonesia. International Journal of Economic Perspectives. Vol 10, 21-28.
Zaretta, B. (2015). Effect of Foreign Investment Return To The Market With Autoreggresion Vector (VAR): A Study on the Indonesia Stock Exchange Period January 2008-December 2013.
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Affiliations
Fajar Setiaji
Universitas Negeri Semarang
Andhi Wijayanto
Universitas Negeri Semarang
How to Cite
1.
Setiaji F, Wijayanto A. Effect of Foreign Investment Flow, World Capital Market, Foreign Exchange and Country Risk to the Capital Market Return in Indonesia. MAJ [Internet]. 10Mar.2019 [cited 19Nov.2024];8(1):1-2. Available from: http://journal.unnes.ac.id/sju/maj/article/view/24137
Effect of Foreign Investment Flow, World Capital Market, Foreign Exchange and Country Risk to the Capital Market Return in Indonesia
Vol 8 No 1 (2019): Management Analysis Journal
Submitted: Jul 26, 2018
Published: Mar 10, 2019
Abstract
This study aims to determine the effect of foreign investment flow, World capital market (MSCI-World Index), rupiah exchange rate against US dollar and country risk (EMBI +) on Indonesia capital market return. The test is done by using multiple linear regression models. The test also uses stationery test data using Augmented Dicky Fuller Test (ADF) method. Then the Classic Assumption Test (Normality Test, Multicollinearity Test, Heteroscedasticity Test, and Autocorrelation Test), Hypothesis Testing includes Partial Test (t-test statistic), Goodness of Fit Test, and simulation test (statistic F test). The test result of this research by using multiple linear regression shows that the variable of foreign investment flows have a positive and significant effect on the return of Indonesian capital market, the variable risk country has no significant negative effect on the return of Indonesian capital market, while the world capital market variable and the rupiah exchange rate against US dollar significantly influence the return of Indonesia capital market.