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.