Abstract
This study aims to analyze the effect of the interaction of internal and external factors with the global capital market index on IHSG returns in Indonesia. Using quarterly time series data for the period 2004-2018, the analytical model used consists of a cointegration test and a vector error correction model (VECM). The study found a cointegration relationship between the variables studied. Both in the long term and in the short term, the return on the MSCI ACWI IMI has no significant effect on the return on the IHSG in Indonesia.
Keywords
IHSG Returns; Global Capital Markets Index; Cointegration Test; VECM
Article Information
This article has been peer-reviewed and published in the Jurnal EMT KITA. The content is available under the terms of the Creative Commons Attribution 4.0 International License.
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Issue: Vol. 6 No. 1 (2022)
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Section: Articles
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Published: 2022-01-03
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License: CC BY 4.0
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Copyright: © 2022 Authors
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DOI: 10.35870/emt.v6i1.509
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Muhammad Adnan, Universitas Islam Negeri Ar-Raniry
Zurriyani, Universitas Islam Negeri Ar-Raniry,
Fakultas Ekonomi dan Bisnis Islam, Universitas Islam Negeri Ar-Raniry, Banda Aceh
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