Improving performance of exchange rate momentum strategy using volatility information

Exchange rate is one tool to measure a country’s economic conditions. The growth of a stable currency value indicates that the country has a relatively good economic conditions or stable. This study has the purpose to analyze the factors that affect the exchange rate of the Indonesian Rupiah against the United States Dollar in the period of 2000-2013. The data used in this study is a secondary data which are time series data, made up of exports, imports, inflation, the BI rate, Gross Domestic Product (GDP), and the money supply (M1) in the quarter base, from first quarter on 2000 to fourth quarter on 2013. Regression model time series data used the ARCH-GARCH with ARCH model selection indicates that the variables that significantly influence the exchange rate are exports, inflation, the central bank rate and the money supply (M1). Whereas import and GDP did not give any influence.

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Pengaruh Faktor Fundamental, Risiko Sistematis Dan Ekonomi Makro Terhadap Return Saham Syariah Yang Tergabung Di Jakarta Islamic Index (JII) Pada Periode 2010 – 2014

Kajian Bisnis STIE Widya Wiwaha ◽

10.32477/jkb.v24i1.217 ◽

2017 ◽

Vol 24 (1) ◽

pp. 54-70

Author(s):

Hasanah Setyowati ◽

Riyanti Ningsih

Keyword(s):

Exchange Rate ◽

Stock Exchange ◽

Systematic Risk ◽

Secondary Data ◽

Analysis Model ◽

Macroeconomic Factors ◽

Return On Equity ◽

Equity Ratio ◽

Regression Techniques ◽

The Exchange Rate

This study aimed to obtain empirical evidence on the influence of fundamental factors, systematic risk and macroeconomics on the returns Islamic stock of companies incorporated in the Jakarta Islamic Index in 2010-2014. The variables used were the fundamental factors that are proxied by Earning Per Share (EPS), Return on Equity (ROE), Debt to Equity Ratio (DER); Systematic risk is proxied by Beta Shares; macroeconomic factors is proxied by the inflation rate and the exchange rate. The samples of this study are the enterprises incorporated in Jakarta Islamic Index (JII) at the Indonesian Stock Exchange. The sampling method was using purposive sampling. There were 12 samples of Islamic stocks that meet the criteria to be used as samples. The analysis model used is multiple linear regression techniques and the type of data used is secondary data. The study found that all variables, which are Earning Per Share (EPS), Return on Equity (ROE), Debt to Equity Ratio (DER), Beta stock, inflation and the exchange rate do not significantly affect the return of sharia stock either simultaneously or partially.

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ANALISIS PENGARUH INFLASI, KURS DAN IHSG TERHADAP RETURN REKSA DANA SAHAM PT NIKKO SECURITIES INDONESIA PERIODE 2014-2017

Jurnal Aktual Akuntansi Keuangan Bisnis Terapan (AKUNBISNIS) ◽

10.32497/akunbisnis.v2i2.1657 ◽

2019 ◽

Vol 2 (2) ◽

pp. 103

Author(s):

Muhammad Rois Rois ◽

Manarotul Fatati Fatati ◽

Winda Ihda Magfiroh

Keyword(s):

Regression Analysis ◽

Exchange Rate ◽

Linear Regression ◽

Multiple Linear Regression ◽

Stock Price ◽

Price Index ◽

Linear Regression Analysis ◽

Multiple Linear Regression Analysis ◽

Equity Fund ◽

Stock Price Index

This study aims to determine the effect of Inflation, Exchange Rate and Composite Stock Price Index (IHSG) to Return of PT Nikko Securities Indonesia Stock Fund period 2014-2017. The study used secondary data obtained through documentation in the form of PT Nikko Securities Indonesia Monthly Net Asset (NAB) report. Data analysis is used with quantitative analysis, multiple linear regression analysis using eviews 9. Population and sample in this research are PT Nikko Securities Indonesia. The result of multiple linear regression analysis was the coefficient of determination (R2) showed the result of 0.123819 or 12%. This means that the Inflation, Exchange Rate and Composite Stock Price Index (IHSG) variables can influence the return of PT Nikko Securities Indonesia's equity fund of 12% and 88% is influenced by other variables. Based on the result of the research, the variables of inflation and exchange rate have a negative and significant effect toward the return of PT Nikko Securities Indonesia's equity fund. While the variable of Composite Stock Price Index (IHSG) has a negative but not significant effect toward Return of Equity Fund of PT Nikko Securities Indonesia

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National Currency Appreciation and Growth of the Russian Economy

Voprosy Ekonomiki ◽

10.32609/0042-8736-2004-6-95-111 ◽

2004 ◽

pp. 95-111

Author(s):

T. Zolotoukhina

Keyword(s):

Economic Growth ◽

Exchange Rate ◽

Money Supply ◽

Capital Flows ◽

National Currency ◽

Economic Factors ◽

Exchange Market ◽

Russian Economy ◽

Macroeconomic Indicators

The problem of interaction between Russian currency appreciation and positive dynamics of macroeconomic indicators is studied. Main economic factors of ruble appreciation are analyzed. Consequences of the Russian Central Bank's policy directed to oppose ruble appreciation and problems in financial area due to the increase of money supply through the exchange market are considered. Influence of exchange rate appreciation on economic growth, inflation, export, import, capital flows are discussed. It is concluded that Russian ruble appreciation stimulates an increase in efficiency of the Russian economy.

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Investment Processes in the Russian Economy

Voprosy Ekonomiki ◽

10.32609/0042-8736-2004-6-4-27 ◽

2004 ◽

pp. 4-27 ◽

Cited By ~ 1

Author(s):

V. Lisin

Keyword(s):

Economic Growth ◽

Exchange Rate ◽

Money Supply ◽

Capital Flows ◽

Economic Factors ◽

Exchange Market ◽

Russian Economy ◽

Macroeconomic Indicators

The problem of interaction between Russian currency appreciation and positive dynamics of macroeconomic indicators is studied. Main economic factors of ruble appreciation are analyzed. Consequences of the Russian Central Bank's policy directed to oppose ruble appreciation and problems in financial area due to the increase of money supply through the exchange market are considered. Influence of exchange rate appreciation on economic growth, inflation, export, import, capital flows are discussed. It is concluded that Russian ruble appreciation stimulates an increase in efficiency of the Russian economy.

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