HATA, Yasmin Nabila (2018) Federal Reserve Quantitative Easing and Its Impact on Indonesian Stock Market. Skripsi thesis, Universitas Jenderal Soedirman.

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Abstract

This research is a study on capital market investment, particularly studies on the impact of Federal Reserve Quantitative Easing towards the Indonesian stock market. this study was to explain the impact of the Fed quantitative easing on the aggregate Indonesian stock market index by analyzing the internal macroeconomic fundamentals proxy by exchange rate, interest rate, inflation, and gross domestic product (GDP). The subject of this study is Jakarta Composite Index in Indonesian Stock Exchange. There were 84 observations of time series data and 4 indicators used in this research. By using the empirical model of Multiple Linear Regression analysis, the result shows that USD/IDR exchange rate has a negative significant effect towards the JCI price movement, Certificate of Bank Indonesia (SBI) interest rate has no significant effect towards the JCI price movement, Inflation has a positive significant effect towards the JCI performance, and gross domestic product (GDP) has a positive effect towards the JCI price movement during the period of U.S. quantitative easing in 2008-2014. These findings will contributed to the future research as an additional references regarding the development of stock market in aggregate economy point of view. Several factors taken from macroeconomic fundamentals such as the exchange rate, inflation, interest rate, and GDP to express the impact of an international phenomenon, called as Federal Reserve Quantitative Easing, in 20082014 towards the performance of Indonesian stock market reflected by Jakarta Composite Index. The phenomenon of Fed QE is also essential for government to consider several monetary and fiscal policy determination that will implemented based on the financial market conditions in order to create a stable investment. This particular monetary policy conducted by the Fed will not be just a trend in the given time of this research, but also can possibly occur in the future.

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