Dynamic Relationship between Exchange Rate of Hang Seng Index and LQ45 Index: Before and During COVID-19 Pandemic

https://doi.org/10.62157/ijbefs.v1i2.24

Authors

  • Yenni Arfah Department of Management, Sekolah Tinggi Ilmu Ekonomi Bina Karya Tebing Tinggi, Padang Hulu, Tebing Tinggi, 20631 Sumatera Utara, Indonesia
  • Didik Gunawan Department of Management, Sekolah Tinggi Ilmu Ekonomi Bina Karya Tebing Tinggi, Padang Hulu, Tebing Tinggi, 20631 Sumatera Utara, Indonesia
  • Imelda Mardayanti Department of Management, Sekolah Tinggi Ilmu Ekonomi Bina Karya Tebing Tinggi, Padang Hulu, Tebing Tinggi, 20631 Sumatera Utara, Indonesia
  • Haya Haratikka Department of Management, Sekolah Tinggi Ilmu Ekonomi Bina Karya Tebing Tinggi, Padang Hulu, Tebing Tinggi, 20631 Sumatera Utara, Indonesia
  • Depina Anggun Department of Management, Sekolah Tinggi Ilmu Ekonomi Bina Karya Tebing Tinggi, Padang Hulu, Tebing Tinggi, 20631 Sumatera Utara, Indonesia

Keywords:

Exchange rate, Hang Seng index, LQ45 index, COVID-19 pandemic, Vector Error Correction Model

Abstract

This study determines the relationship between the exchange rate, the Hang Seng index and the LQ45 index using the Vector Error Correction Model (VECM) method. The data used weekly data for 4 years from 2017 to 2020, comprising 208 time series data. The data used in this study is secondary data based on the official website, namely idx.co.id, www.investing.com, wwww.yahoofinance.co.id, bi.go.id. The results of this study indicate that the exchange rate with the LQ45 index had a positive and significant effect on the LQ45 index before and during the COVID-19 pandemic. The Hang Seng index with the LQ45 index had a negative and significant effect on the LQ45 index before the COVID-19 pandemic. The Hang Seng index with the LQ45 index did not affect the LQ45 index during the COVID-19 pandemic. The exchange rate with the Hang Seng index had a negative and insignificant effect on the Hang Seng index before the COVID-19 pandemic. The exchange rate with the Hang Seng index had a positive and significant effect on the Hang Seng index during the Covid-19 pandemic. These findings can assist investors in being more selective in determining whether to buy, sell or hold their shares. The government can make policies related to the exchange rate and maintain the stability of the rupiah exchange rate against the dollar so that the effects can be anticipated and handled as well as possible.

References

Ajija, S. R., Setianto, R. H., & Primanti, M. R. (2011). Cara Cerdas Menguasai Eviews. Jakarta: Salemba Empat. In Kepemilikan Manajerial, Dan Kepemilikan Intitusional. Terhadap Nilai Perusahaan (Vol. 2).

Arfah, Y., Gunawan, D., & Anggun, D. (2020). Indeks LQ45 Sebelum Dan Selama Pandemi Covid-19. PT Inovasi Pratama Internasional.

Beureukat, B., & Andriani, E. Y. (2022). Pengaruh Harga Minyak Dunia, Indeks Dow Jones dan Indeks Hang Seng terhadap Indeks Harga Saham Gabungan Periode 2016-2020. Oikonomia: Jurnal Manajemen, 17(1), 1–12.

Buana, G., & Haryanto, M. (2016). Pengaruh risiko pasar, nilai tukar, suku bunga dan volume perdagangan terhadap return saham (Studi kasus pada perusahaan yang terdaftar dalam indeks LQ45). Diponegoro Journal of Management, 5(2), 217–230.

Choiriyah, S. N., & Yuliana, I. (2018). Hubungan harga saham, volume perdagangan, inflasi dan indeks harga saham gabungan pada perusahaan subsektor makanan dan minuman di BEI. 860–873.

Christa, R., & Pratomo, W. A. (2013). Analisis pengaruh indeks harga saham di bursa global terhadap indeks harga saham gabungan di BEI. Jurnal Ekonomi Dan Keuangan, 1(8), 61–72.

Fahlevi, M., Saparudin, M., Maemunah, S., Irma, D., & Ekhsan, M. (2019). Cybercrime Business Digital in Indonesia. E3S Web of Conferences, 125(5), 1–125. https://doi.org/10.1051/e3sconf/201912521001

Febriyanti, G. A. (2020). Dampak pandemi Covid-19 terhadap harga saham dan aktivitas volume perdagangan (Studi kasus saham LQ-45 di Bursa Efek Indonesia). Indonesia Accounting Journal, 2(2), 204–214. https://doi.org/10.32400/iaj.30579

Harsono, A. (2019). Faktor-Faktor Yang Mempengaruhi Nilai Perusahaan Non Keuangan Yang Terdaftar Di Bursa Efek Indonesia. Jurnal Bisnis Dan Akuntansi, 20(2), 117–126. https://doi.org/10.34208/jba.v20i2.416

Krisnawati, M. D., & Nursiam, N. (2020). Pengaruh Jumlah Uang Beredar, Suku Bunga Sbi, Nilai Kurs, Indeks Dow Jones, Indeks Hang Seng Terhadap Indeks Harga Saham Gabungan (Studi Kasus di Bursa Efek Indonesia Tahun 2014-2018) (pp. 87–98). STIE Widya Wiwaha.

Martini, M., & Djohan, H. A. (2020). Analisis Kinerja Saham Lq45 Sebelum Dan Selama Pandemi Coronavirus Disease (Covid-19) Di Indonesia. Jurnal Interprof, 6(2), 156–167. https://doi.org/10.32767/interprof.v6i2.1195

Mutakif, F., & Nurwulandari, A. (2012). Pengaruh Volume Perdagangan Saham, Nilai Tukar dan Indeks Hang Seng terhadap Pergerakan Indeks Harga Saham Gabungan. Jurnal Akuntansi & Bisnis, 7(2), 178–192.

Shrestha, N., Shad, M. Y., Ulvi, O., Khan, M. H., Karamehic-Muratovic, A., Nguyen, U.-S. D. T., Baghbanzadeh, M., Wardrup, R., Aghamohammadi, N., Cervantes, D., Nahiduzzaman, K. M., Zaki, R. A., & Haque, U. (2020). The impact of COVID-19 on globalization. One Health, 11(2), 100–180. https://doi.org/10.1016/j.onehlt.2020.100180

Sudirman, S. (2018). Pengaruh Perubahan Nilai Tukar Rupiah Tengah US Dollar Terhadap Indeks Harga Saham Gabungan (IHSG) Di Bursa Efek Indonesia. Al-Buhuts, 14(01), 1–17. https://doi.org/10.30603/ab.v14i01.412

Wicaksono, I. S., & Yasa, G. W. (2017). Pengaruh FED rate, indeks Dow Jones, Nikkei 225, Hang Seng terhadap indeks harga saham gabungan. E-Jurnal Akuntansi Universitas Udayana, 18(1), 23020–28556.

Wilis, R. A., & Nurwulandari, A. (2020). The effect of E-Service Quality, E-Trust, Price and Brand Image Towards E-Satisfaction and Its Impact on E-Loyalty of Traveloka’s Customer. Jurnal Ilmiah Manajemen, Ekonomi, & Akuntansi (MEA), 4(3), 1061–1099.

Downloads

Published

2023-11-30

How to Cite

Arfah, Y., Gunawan, D., Mardayanti, I., Haratikka, H., & Anggun, D. (2023). Dynamic Relationship between Exchange Rate of Hang Seng Index and LQ45 Index: Before and During COVID-19 Pandemic. International Journal of Business, Economics & Financial Studies, 1(2), 64–68. https://doi.org/10.62157/ijbefs.v1i2.24

Issue

Vol. 1 No. 2 (2023): November 2023

Section

Articles

License

Copyright (c) 2023 Authors

Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.

Similar Articles

You may also start an advanced similarity search for this article.