Determinants of the Developed Country Index and Indonesian Macroeconomic on the IDX Growth 30 and IDX Value 30

Pardomuan Sihombing; Idris Samsudin

doi:10.58777/reb.v2i2.209

Authors

Pardomuan Sihombing Universitas Mercu Buana
Idris Samsudin Faculty of Economics and Business, Trisakti University

DOI:

https://doi.org/10.58777/reb.v2i2.209

Keywords:

IDXG30, IDXV30, Hang Seng Index, Dow Jones Index, 10 Year Government Bond Yield, Foreign Ownership in Government Bonds and BI7DRR

Abstract

This study analyzes the determinants of the Developed Country Index (Hang Seng Index, Dow Jones Index) and Indonesian macroeconomic variables (10-Year Government Bond Yield, Foreign Ownership in Government Bonds, and the BI-7 Day Reverse Repo Rate, BI7DRR) on the movement of the IDX Growth 30 Index (IDXG30) and IDX Value 30 Index (IDXV30) from 2018–2022. Monthly time series data is used with a saturated sampling technique, processed via Eviews 12 using VECM analysis. The study conducts Stationarity, Optimal Lag, VAR Stability, and Cointegration Tests, along with Impulse Response Function (IRF) and Forecast Error Variance Decomposition (FEVD) analyses Results show that the Hang Seng Index and Foreign Ownership in Government Bonds negatively affect IDXG30 and IDXV30, while BI7DRR positively influences both. The Dow Jones Index positively affects IDXG30 but negatively impacts IDXV30. Meanwhile, the 10-Year Government Bond Yield negatively affects IDXG30 and positively influences IDXV30. Additionally, the performance of IDXG30 and IDXV30 themselves and BI7DRR significantly contribute to both indices' movements.

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