NILAI TUKAR DAN INDEKS HARGA SAHAM SEKTORAL SUATU STUDI DI INDONESIA

Abstract

This research aims to find the symmetric and asymmetric effects of exchange rate on sectoral stock price index in Indonesia. Using monthly data and non-linear autoregressive distributed lag (NARDL) approach, we find a symmetric effects of exchange rate (at the first lag) on infrastructure, mining and trading stocks price index in the short run. Otherwise, there is a symmetric effects of exchange rate (at the second lag) on finance, trade, and manufacturing stocks price index but asymmetric effects existed on infrastructure, mining and property