ANALISIS PENGARUH SUKU BUNGA, INFLASI, GDP TERHADAP HUBUNGAN SAHAM DAN OBLIGASI DI INDONESIA
Abstract
This research has the objective to investigate the dynamic relationship
between stocks and bonds in Indonesia. Some literature says that the relationship
between stocks and bonds in different countries is different depending on the level
of the economy of the country. So the topic of dynamic relationship between
stocks and bonds are still very interesting for investigation. Another goal of this
research is to examine the economic factors affect any movement between stocks
and bonds. There are three economic factors that will be examine their effects on
the stock and bond. The three economic factors are interest rates, inflation and
GDP.
The method applied in this research is using Generalized
Autoregresive Conditional Heteroskedasticity to discover the influence of these
factors and using Vector Error Correction Model to figure out the third of these
factors of shock.
The results show that interest rates and GDP has significant influence
toward relationship between stocks and bond. Meanwhile inflation does not have
significant effects. Other results suggest that interest rates and inflation shock has
a negative response at the beginning of the period. While the GDP shock
responded positively by the correlation between stocks and bonds since the start
of the period.