Research Article
The Effect of Macroeconomic Variables and Covid-19 Crisis on Jakarta Composite Index (JCI)
@INPROCEEDINGS{10.4108/eai.31-3-2022.2321009, author={Feriansyah Feriansyah and Imam Ghozali}, title={The Effect of Macroeconomic Variables and Covid-19 Crisis on Jakarta Composite Index (JCI)}, proceedings={Proceedings of the 1st International Conference on Contemporary Risk Studies, ICONIC-RS 2022, 31 March-1 April 2022, South Jakarta, DKI Jakarta, Indonesia}, publisher={EAI}, proceedings_a={ICONIC-RS}, year={2022}, month={8}, keywords={jci inflation exchange rate interest rate covid-19}, doi={10.4108/eai.31-3-2022.2321009} }- Feriansyah Feriansyah
Imam Ghozali
Year: 2022
The Effect of Macroeconomic Variables and Covid-19 Crisis on Jakarta Composite Index (JCI)
ICONIC-RS
EAI
DOI: 10.4108/eai.31-3-2022.2321009
Abstract
The capital market is an important element for the development of the Indonesian economy to support sustainable development. Jakarta Composite Index (JCI) is one of the indexes in the capital market that is often used by investors in determining their investment. In this study, the author will examine specifically the macroeconomic influences, namely inflation, interest rates, exchange rates, and the dummy of the health crisis due to the Covid-19 pandemic on the JCI. The data used in this study are data for the 2011 to 2021 quarters which were obtained from the official website of the Indonesia Stock Exchange and CEIC. This study uses the ARDL model to test the test limit to show a stable long-term relationship between macroeconomics and the JCI. This study shows that interest rates and the Covid-19 crisis have a significant positive effect, the exchange rate has a significant negative effect, and inflation has no significant effect on the JCI in the long-term coefficient. For the short-term coefficient (ECM)-ARDL, interest rates, and exchange rates have no significant effect, while inflation significantly affects the JCI.