THE IMPACT OF INFLATION RATES AND US DOLLAR EXCHANGE RATES ON INDONESIAN STOCK MARKET INDEX RETURN VOLATILITY

THE IMPACT OF INFLATION RATES AND US DOLLAR EXCHANGE RATES ON INDONESIAN STOCK MARKET INDEX RETURN VOLATILITY

This paper studied the impact of inflation rates and US Dollar exchange rates in Indonesian stock marketreturn volatility in the period of 2002-2012. Daily data of stock market return, inflation rates and US Dollarexchange rates were used to estimate the daily volatility of the stock return. The dat...

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Bibliographic Details
Main Authors: Riko Hendrawan, Rifqi Dzakiri
Format: Article
Language:English
Published: Universitas Merdeka Malang 2017-03-01
Series:Jurnal Keuangan dan Perbankan
Subjects:
GARCH, inflation rates, investment, stock market return, US Dollar exchange rates
Online Access:http://jurnal.unmer.ac.id/index.php/jkdp/article/view/778

Internet

http://jurnal.unmer.ac.id/index.php/jkdp/article/view/778

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