Do foreign fund flows influence the stock market index? evidence from Indonesia

Danila, Nevi, Bunyamin, Bunyamin, Djalaluddin, Ahmad ORCID: https://orcid.org/0000-0001-7062-663X and Fathony, Yudha (2023) Do foreign fund flows influence the stock market index? evidence from Indonesia. SAGE Open, 13 (4). pp. 1-9. ISSN 2158-2440

Text 16144.pdf - Published Version Available under License Creative Commons Attribution. Download (379kB)

Abstract

This paper investigates the impact of foreign fund’ flow on the Indonesian stock index incorporating other variables, namely the international stock market, gold price, foreign exchange rate, and the oil price. GJR-GARCH (1,1) model is used to analyze daily time-series data on IDX, foreign fund flows, the S&P 500, and gold, currency, and oil prices from 2014 to 2019. There is an evidence of leverage effect. It means that there is an asymmetric news impact on the conditional variances. Currency and oil prices are the only variables to have an impact on the Indonesian stock market index, while the rest of the variables do not influence the index. The government may provide infrastructures to attract foreign investors. At the same time, the government has to issue the policy that will protect the economy from stock market shocks. Finally, investors may include gold in their portfolio to diversify their investments.

Item Type:	Journal Article
Keywords:	stock index; GARCH; foreign fund flows; gold; oil price
Subjects:	15 COMMERCE, MANAGEMENT, TOURISM AND SERVICES > 1502 Banking, Finance and Investment > 150201 Finance 15 COMMERCE, MANAGEMENT, TOURISM AND SERVICES > 1502 Banking, Finance and Investment > 150299 Banking, Finance and Investment not elsewhere classified
Divisions:	Graduate Schools > Magister Programme > Graduate School of Islamic Economics
Depositing User:	Dr. Ahmad Djalaluddin
Date Deposited:	06 Nov 2023 15:56

Downloads

Origin of downloads

Actions (login required)

View Item