The Impact of Exchange Rate, Bank Indonesia Certificate and Global Indexes on the Composite Price Index (IHSG) in Indonesia

The purpose of this study is to analyze the contribution of exchange rates, Bank Indonesia Certificate (SBI), and global stock price indexes toward the Composite Stock Price Index (IHSG), and the shocks caused by the global index to the IHSG. The research variables are HSGI, rupiah exchange rate, and global stock price index, which includes NASDAQ, the Hong Kong stock price index (Hang Seng), the Japanese stock price index (Nikkei 225), and the South Korean stock price index (Kospi). The data used is monthly time-series data from 2008 to 2019. The data used in this study are secondary data obtained from Bank Indonesia publications through www.bi.go.id, the Indonesia Stock Exchange, and Yahoo Finance (finance.yahoo.com). Following the type of data used, the research steps include the unit root test, cointegration test, and estimation using the Vector Error Correction Model (VECM). Based on the results of the impulse response and variance decomposition analysis, it can be seen that the overall global index, exchange rates, and SBI interest rates contributed to the IHSG movement. Based on the analysis of variance decomposition, the percentage value of the contribution of the Hang Seng index is the biggest compared to the NASDAQ, Nikkei 225, and Kospi.