Low q-moment multifractal analysis of Gold price, Dow Jones Industrial Average and BGL-USD exchange rate

1999 ◽  
Vol 8 (4) ◽  
pp. 665-669 ◽  
Author(s):  
K. Ivanova ◽  
M. Ausloos
Keyword(s):  
Exchange Rate ◽  
Multifractal Analysis ◽  
Gold Price ◽  
Dow Jones Industrial Average ◽  
Q Moment

scholarly journals Performance Analysis of Indonesia’s Mining Sector Price Index

2017 ◽  
Vol 6 (2) ◽  
pp. 357-370
Author(s):  
Hastra Reza Satyatama ◽  
Riwi Sumantyo
Keyword(s):  
Exchange Rate ◽  
Stock Price ◽  
Price Index ◽  
Gold Price ◽  
Mining Sector ◽  
Correction Model ◽  
Monthly Data ◽  
Jones Index ◽  
Dow Jones Industrial Average ◽  
Stock Price Index

Subprime mortage’s crisis in United States 2008 giving effect to the global capital markets especially the stock price index of the mining sector Indonesia. This research analyzes the effect of BI Rate, exchange rate, world gold price, crude oil price, and Dow Jones Industrial Average on the stock price index of the mining sector. This research employs time series monthly data of 2009-2016 with Error Correction Model-Engle Granger (ECM-EG) as the method. The analysis showed that the BI rate, exchange rate and world gold price, has a negative and significant effect. World oil prices affect positively but not significant meanwhile the Dow Jones Industrial Average has a positive and significant impact on the stock price index of the mining sector. For investors in the mining sector, should pay attention to the exchange rate of the rupiah and Dow Jones Index significantly in the mining sector of the stock price index.DOI: 10.15408/sjie.v6i2.5395 

scholarly journals DAMPAK VARIABEL MAKROEKONOMI DAN INDEKS SAHAM GLOBAL TERHADAP INDEKS HARGA LQ45 DI BURSA EFEK INDONESIA

2017 ◽  
Vol 21 (3) ◽  
Author(s):  
Nuryasman MN ◽  
Verencia Permatasari
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Price ◽  
Price Index ◽  
Sampling Technique ◽  
Gold Price ◽  
Significance Level ◽  
Dow Jones Industrial Average ◽  
Stock Price Index ◽  
Global Stock

The objective of this research was to examine the macroeconomics variable and global stock price index that influencing LQ45 stock price. There were three fundamental macroeconomics variables in this study such as Exchange rate of Rupiah, Interest Rate (SBI), and gold prices which used with global stock price index (Dow Jones Industrial Average) to examine their influence to LQ45 stock price.The sampling data used are 69 months from 2009 January until 2014 September. The selection ofthe sample usedisa non-probability sampling method, using purposive sampling technique. The method usedis multiple regression analysis and Error Correction Model (ECM)using softwareEviews6.0witha significance level of5%. The result of t-test show that gold prices have not influence LQ45 stock price. While the Exchange rate of Rupiah, Interest Rate (SBI), and Dow Jones Industrial Average have influence LQ45 stock price.The result of F- test (jointly test) showthat there are significantjointlybetween Exchange rate of Rupiah, Interest Rate (SBI), gold price, and Dow Jones Industrial Averageon LQ45 stock price.The result of ECM Models show that  between Exchange rate of Rupiah, Interest Rate (SBI), gold price, and Dow Jones Industrial Averageon LQ45 stock price, there was notable toachieve abalance inthe long run.

scholarly journals Analisis Pengaruh Makroekonomi, Komoditas Dunia, dan Indeks Dunia terhadap Indeks Harga Saham Gabungan (IHSG) pada Periode 2014-2019

2021 ◽  
Vol 9 (1) ◽  
pp. 295
Author(s):  
Fadhil Ahmad
Keyword(s):  
Exchange Rate ◽  
Sampling Method ◽  
Time Series Data ◽  
Composite Index ◽  
Gold Price ◽  
Series Data ◽  
Dow Jones Industrial Average ◽  
Negative Effect ◽  
Positive Effect ◽  
Daily Time

This research explains the influence of inflation, Exchange Rate, BI Rate, GDP, World Gold Price, Crude Oil Price, Dow Jones Industrial Average (DJIA), and Nikkei 225 toward Jakarta Composite Index (JCI). Type of research used in causality research with a quantitative approach. The sample was based on daily time series data from 1 January 2014 until 31 December 2019, using a complete sampling method that consists of 2190 samples. This research used a generalized autoregressive conditional heteroskedasticity (GARCH) method. The result of hypothesis testing by the GARCH method shows that the World Gold Price and Dow Jones Industrial Average significant have a positive effect, Then the Nikkei 225 significant have a negative effect, and then the Inflation, Exchange Rate, BI Rate, and GDP have not significant to the Jakarta Composite Index (JCI). The implication of this research provides information to investors who must pay attention to World Gold Price, Dow Jones Industrial Average, and Nikkei225 if they want to invest in Indonesian.

scholarly journals COINTEGRATING RELATION BETWEEN EXCHANGE RATE AND GOLD PRICE

2017 ◽  
Vol 5 (10) ◽  
pp. 263-269
Author(s):  
Ranjusha ◽  
Devasia ◽  
Nandakumar
Keyword(s):  
Exchange Rate ◽  
Time Series Data ◽  
Unit Root Test ◽  
Gold Price ◽  
Series Data ◽  
Annual Data ◽  
Causality Test ◽  
Long Run ◽  
Integration Test ◽  
The Relationship

The very purpose of this paper is to analyse the relationship between gold price and Rupee – Dollar exchange rate in India. The study utilises the annual data of exchange Rate (ER) and Gold Price (GP) from 1970 to 2015 to determine the relationship. Different econometric tools like Unit root test, Johansen co integration test, Vector error correction model, Granger causality test are used for detecting the long run relation, if any between the mentioned variables. The result shows that there exists a long run cointegrating relation between the variables. That is we can stabilise the Gold Price movement by controlling the exchange rate fluctuations. Likewise it also shows that Exchange rate doesn’t Granger cause to Gold price and vice versa. It means that the time series data of one vasriable cannot be used to predict another.

scholarly journals Modeling and Forecasting Gold Prices

2020 ◽  
Author(s):  
Richmond Sam-Quarm ◽  
Mohamed Osman Elamin Busharads
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Price Volatility ◽  
Gold Price ◽  
Oil Price ◽  
Future Market ◽  
Open Interest ◽  
Long Run ◽  
Short Run ◽  
Japanese Yen

The aim of this paper is to explore the reasons of gold price volatility. It analyses the information function of the gold future market by open interest contracts as speculation effect, and further fundamental factors including inflation, Chinese yuan per dollar, Japanese yen per dollar, dollar per euro, interest rate, oil price, and stock price, in the short-run. The study proceeds to build a Dynamic OLS model for long-run equilibrium to produce reliable gold price forecasts using the following variables: gold demand, gold supply, inflation, USD/SDR exchange rate, speculation, interest rate, oil price, and stock prices. Findings prove that in the short-run, changes in gold price does granger cause changes in open interest, and changes in Japanese yen per dollar does granger cause changes in gold price. However, in the long-run, the results prove that gold demand, gold supply, USD/SDR exchange rate, inflation, speculation, interest rate, and oil price are associated in a long-run relationship.References

scholarly journals ANALYSIS OF THE INFLUENCE OF INTEREST RATE, EXCHANGE VALUE, WORLD GOLD PRICES, DOW JONES INDEX, AEX INDEX, DAX INDEX, AND SHANGHAI INDEX ON LQ45 INDEX IN INDONESIA STOCK EXCHANGE 2012 – 2018

2021 ◽  
Vol 7 (2) ◽  
pp. 135
Author(s):  
Andini Nurwulandari ◽  
Hasanudin Hasanudin ◽  
Ari Jatmiko Setiyo Budi
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Exchange ◽  
Negative Influence ◽  
Positive Influence ◽  
Gold Price ◽  
Jones Index ◽  
Exchange Value ◽  
The Interest Rate ◽  
Significant Positive Influence

<p><em>This research aims to find out the influence of interest rate, exchange rate, world gold price, Dow Jones Index, AEX Index, DAX Index, and Shanghai Index on the LQ45 Index at the Indonesia Stock Exchange from 2012 through 2018 using the ARCH/GARCH model as the method of analysis.  The result of the test shows that the exchange rate had a significant negative influence, Dow Jones Index, AEX Index, and DAX Index had a significant positive influence on the LQ45 index, while the interest rate and world gold price had a non-significant negative influence and the Shanghai Index had a non-significant positive influence on the LQ45 index.</em></p>

The Effect of Macroeconomic Conditions on the Performance of Vietnamese Stock Market

2021 ◽  
Vol 8 (12) ◽  
pp. 73-82
Author(s):  
Hien-Ly Pham ◽  
Ching-Chung Lin ◽  
Shih-Ju Chan
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Market ◽  
Inflation Rate ◽  
Stock Exchange ◽  
Global Supply Chain ◽  
Gold Price ◽  
Monthly Data ◽  
Macroeconomic Conditions ◽  
The Impact

Vietnam plays an important role in the global supply chain. As one of important emerging markets, many studies have focused on Vietnam-related issues. Vietnam established two stock markets in 2000s. The market performance becomes one of interesting issues to explore. This study is to investigate the impact of macroeconomic variables, including inflation rate, exchange rate, interest rate, imports, exports, and gold price, on Ho Chi Minh stock market. The study period is from July 2000 to October 2014. Using the monthly data collected from Vietnam General Statistic Office, IMF International Financial Statistics, and Ho Chi Minh stock exchange, the empirical findings of our regression model show that there exists a positive relationship for imports and gold price, while the relationships for exchange rate and interest rate are negative. No significant relationship has been found for the variables of inflation rate and exports.

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