Indonesian Stock Market Reaction: Effects of Uncertainty Policy Shocks in the United States and China

Rilmia Oktavian; Alvin Sugeng Prasetyo

doi:10.29259/jep.v21i1.20658

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February 26, 2023

Accepted

July 4, 2023

Published

July 8, 2023

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Abstract

The purpose of this study is to examine and analyze the effect of economic policy uncertainty US and China on the Indonesian stock market. The data uses time series, from January 2000-July 2022. The methods used are the Structural Vector Error Correction Model (SVECM). The results show that the uncertainty of the US and China's economic policies has a negative and significant effect on the Indonesian stock market. The response of Indonesian stock market responded negatively to the economic policy uncertainties of the US and China. The results of the study show that the uncertainty of the US and China's economic policies has a negative and significant effect on the Indonesian stock market. The response of Indonesian stock market responded negatively to the economic policy uncertainties of the United States and China. The results of the study show that the uncertainty of the US and China's economic policies has a negative and significant effect on the Indonesian stock market. Indonesian stock market responded negatively to the economic policy uncertainties of the United States and China.

Keywords

China's Economic Policy Uncertainty United States Economic Policy Uncertainty SVECM Indonesian Stock Market Time Series Data

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Oktavian, R., & Prasetyo, A. S. (2023). Indonesian Stock Market Reaction: Effects of Uncertainty Policy Shocks in the United States and China. Jurnal Ekonomi Pembangunan, 21(1), 69–86. https://doi.org/10.29259/jep.v21i1.20658

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References

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References

Abbas, G., & Wang, S. (2020). Does macroeconomic uncertainty really matter in predicting stock market behavior? A comparative study on China and USA. China Finance Review International, 10(4), 393–427. https://doi.org/10.1108/CFRI-06-2019-0077

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Adediran, I. A., & Akpa, E. O. (2022). A Note on the Transmission of Policy Uncertainty Shocks on Asia- Pacific Stock Returns. Asian Economics Letters, 3(3), 1–7.

Adisetiawan, R., & Ahmadi, A. (2018). Contagion Effect Antar Negara Asean-5. J-MAS (Jurnal Manajemen Dan Sains), 3(2), 203. https://doi.org/10.33087/jmas.v3i2.58

Aggarwal, P., & Saqib, N. (2017). Impact of Macro Economic Variables of India and USA on Indian Stock Market. International Journal of Economics and Financial, 7(4), 10–14.

Alam, Q. N. (2020). Impacts of macroeconomic variables on the stock market returns of South Asian Region. Canadian Journal of Business and Information Studies Journal, 2(2), 24–34.

Al-Ameer, M., Hammad, W., Ismail, A., & Hamdan, A. (2018). The relationship of gold price with the stock market: The case of frankfurt stock exchange. International Journal of Energy Economics and Policy, 8(5), 357–371.

Alamgir, F., & Amin, S. Bin. (2021). The nexus between oil price and stock market : Evidence from South Asia. Energy Reports, 7, 693–703. https://doi.org/10.1016/j.egyr.2021.01.027

Albulescu, C. T., Aubin, C., & Goyeau, D. (2017). Stock prices, inflation and inflation uncertainty in the U.S.: testing the long-run relationship considering Dow Jones sector indexes. Applied Economics, 49(18), 1794–1807. https://doi.org/10.1080/00036846.2016.1226491

Alkhazali, O. M., & Zoubi, T. A. (2020). Gold and portfolio diversification: A stochastic dominance analysis of the Dow Jones Islamic indices. Pacific Basin Finance Journal, 60(June 2019), 101264. https://doi.org/10.1016/j.pacfin.2020.101264

Alshubiri, F. (2021). Portfolio Returns of Islamic Indices and Stock Prices in GCC Countries : Empirical Evidence From the ARDL Model. SAGE Open, 1–16. https://doi.org/10.1177/21582440211018460

Al-Thaqeb, S. A., Algharabali, B. G., & Alabdulghafour, K. T. (2020). The pandemic and economic policy uncertainty. International Journal of Finance and Economics, 27(3), 2784–2794. https://doi.org/10.1002/ijfe.2298

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Artini, L. G. S., Aryati, N. T., Lestari, P. V., Darmayanti, N. P. A., & Sudiartha, G. M. (2017). Analisis Fundamental Makro Dan Integrasi Pasar Saham Dunia Dengan Bursa Efek Indonesia. Matrik : Jurnal Manajemen, Strategi Bisnis Dan Kewirausahaan, 11(2), 128. https://doi.org/10.24843/matrik:jmbk.2017.v11.i02.p03

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Basit, A. (2020). Pengaruh Harga Emas Dan Minyak Dunia Terhadap Indeks Harga Saham Gabungan (IHSG) Periode 2016-2019. Jurnal Aplikasi Akuntansi, 5(1), 42–51. https://doi.org/10.29303/jaa.v5i1.89

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Bouoiyour, J., Selmi, R., Shahzad, S. J. H., & Shahbaz, M. (2017). Response of stock returns to oil price shocks: Evidence from oil importing and exporting countries. Journal of Economic Integration, 32(4), 954–977. https://doi.org/10.11130/jei.2017.32.4.954

Bouri, E., Jain, A., Biswal, P. C., & Roubaud, D. (2017). Cointegration and nonlinear causality amongst gold, oil, and the Indian stock market: Evidence from implied volatility indices. Resources Policy, 52(May 2016), 201–206. https://doi.org/10.1016/j.resourpol.2017.03.003

Chiang, T. C. (2022). Evidence of Economic Policy Uncertainty and COVID-19 Pandemic on Global Stock Returns. Journal of Risk and Financial Management.

Das, D., Kannadhasan, M., & Bhattacharyya, M. (2019). Do the emerging stock markets react to international economic policy uncer- tainty, geopolitical risk and financial stress alike? North American Journal of Economics and Finance. https://doi.org/10.1016/j.najef.2019.01.008

Dewi, Risna, & Nawawi, Z, M. (2022). Analysis of The Development of Import Exports of Economic Goods Group in North Sumatra Province in 2016-2020. Jurnal Pamator, 15(1), 137-145

Ding, Z., Liu, Z., Zhang, Y., & Long, R. (2017). The contagion effect of international crude oil price fluctuations on Chinese stock market investor sentiment. Applied Energy, 187, 27–36. https://doi.org/10.1016/j.apenergy.2016.11.037

Farooq, O., & Ahmed, N. (2018). Does inflation affect sensitivity of investment to stock prices? Evidence from emerging markets. Finance Research Letters, 25, 160–164. https://doi.org/10.1016/j.frl.2017.10.019

Gao, J., Zhu, S., O’Sullivan, N., & Sherman, M. (2019). The Role of Economic Uncertainty in UK Stock Returns. Journal of Risk and Financial Management, 12(1), 5. https://doi.org/10.3390/jrfm12010005

Hadi, S. (2018). Keterkaitan Pasar Modal di Amerika Serikat, Indonesia dan Korea Selatan. Jurnal Inovasi Ekonomi, 3(01), 19–22. https://doi.org/10.22219/jiko.v3i01.5526

Hamidi, H. N. A., Khalid, N., & Karim, Z. A. (2018). Revisiting relationship between Malaysian stock market index and selected macroeconomic variables using asymmetric cointegration. Jurnal Ekonomi Malaysia, 52(1), 311–319.

Hung, N. T. (2022). Re-study on dynamic connectedness between macroeconomic indicators and the stock market in China. Romanian Journal of Economic Forecasting, 2.

Hussein, A. A. (2020). Effect of inflationary expectations on stock market returns in Nigeria. Journal of Economic Studies.

Ilhan, A., & Akdeniz, C. (2020). The impact of macroeconomic variables on the stock market in the time of COVID-19 : The case of Turkey. Journal of Research in Economics, Politics & Finance, 5(3), 893–912. https://doi.org/10.30784/epfad.810630

John, E. I. (2019). Effect of Macroeconomic Variables on Stock Market Performance in Nigeria. Journal of Economics Management and Trade, 22(6), 1–14. https://doi.org/10.9734/jemt/2019/v22i630110

Kannadhasan, M., & Das, D. (2020). Do Asian emerging stock markets react to international economic policy uncertainty and geopolitical risk alike? A quantile regression approach. Finance Research Letters, 34(August 2019), 1–7. https://doi.org/10.1016/j.frl.2019.08.024

Karim, A. (2020). Does the Covid-19 Pandemic Affect the Stock Market in Indonesia. ACADEMIA Accelerating the World’s Research, 24(1), 33–47. https://doi.org/10.22146/jsp.

Karim, Z. A., Karim, B. A., & Zaidi, M. A. S. (2012). Fixed investment , household consumption , and economic growth : A structural vector error correction model ( SVECM ) study of Malaysia. International Journal of Business and Society, 13(1), 63–76.

Kasongwa, L., & Minja, E. (2022). Moderating Effects of Oil Price on the Impact of Macroeconomic Variables on Stock Market Performance. The Journal of the University of Dar Es Salaam Business School, 25(1), 75–89.

Khalid, W. (2017). Effects of Interest Rate and Exchange Rate on the Stock Market Performance of Pakistan : A Cointegration Approach. Journal of Finance and Economics, 5(5), 219–232. https://doi.org/10.12691/jfe-5-5-4

Khan, J., & Khan, I. (2018). The Impact of Macroeconomic Variables on Stock Prices : A Case Study of Karachi Stock Exchange. Journal of Economics and Sustainable Development, 9(13).

Kirikkaleli, D. (2020). The effect of domestic and foreign risks on an emerging stock market: A time series analysis. North American Journal of Economics and Finance, 51, 100876. https://doi.org/10.1016/j.najef.2018.11.005

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Indonesian Stock Market Reaction: Effects of Uncertainty Policy Shocks in the United States and China

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Indonesian Stock Market Reaction: Effects of Uncertainty Policy Shocks in the United States and China

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