Determinants and Prediction of the Stock Market during COVID-19: Evidence from Indonesia
Determinants and Prediction of the Stock Market during COVID-19: Evidence from Indonesia
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DOI：
10.13106/jafeb.2021.vol8.no1.001
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发表时间：
2021-01-01
影响因子：
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通讯作者：
Albert, Albert
中科院分区：
文献类型：
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作者：
Goh, Thomas Sumarsan;Henry, Henry;Albert, Albert
本研究考察了2019冠状病毒病大流行期间股票市场指数的决定因素，并使用雅加达证券交易所（JKSE）综合指数的FFT曲线拟合进行预测。本文使用了2019年10月15日至2020年9月15日的雅加达证券交易所（JKSE）综合指数，利率和汇率的每日数据，以及从印度尼西亚证券交易所（IDX），印度尼西亚统计中心局和税收观察与研究中检索的共224个观察结果。研究内容包括描述性统计、多重共线性检验、假设检验、决定性检验和FFT曲线拟合预测。结果揭示了四个新的和强有力的证据。利率对股票市场指数产生了积极而显著的影响。部分地，汇率对股票市场指数产生了重大的负面影响。F检验结果、利率、汇率同时显著影响股票市场指数（JKSE）。此外，FFT曲线拟合预测了股票市场随时间的波动和增加。结果表明，自变量和因变量的影响很大。调整后的R方值为0.719，这意味着自变量同时影响了71.9%的因变量;其他因素影响了剩余的28.1%。
This research examines the stock market index determinants and the prediction using the FFT curve fitting of the Jakarta Stock Exchange (JKSE) Composite Index during the COVID-19 pandemic. This paper has used daily data of Jakarta Stock Exchange (JKSE) Composite Index, interest rate, and exchange rate from 15 October 2019 to 15 September 2020, and a total of 224 observations, retrieved from Indonesia Stock Exchange (IDX), Indonesia Statistics Central Bureau and Observation & Research of Taxation. The study covers descriptive statistics, multicollinearity test, hypothesis tests, determination test, and prediction using FFT curve fitting. The results unveil four fresh and robust evidence. Partially, the interest rate has affected positively and significantly the stock market index. Partially, the exchange rate has affected negatively and significantly the stock market index. The F-test result, interest rate, and exchange rate have significantly affected the stock market index (JKSE) simultaneously. Furthermore, the FFT curve fitting has predicted that the stock market fluctuates and increases over time. The results have shown a strong influence of the independent variables and the dependent variable. The value of Adjusted R-Square is 0.719, which means that the independent variables have simultaneously impacted the dependent variable for 71.9%; other factors have influenced the remaining 28.1%.