Sentimen Bisnis dan Konsumen dalam Siklus Ekonomi Indonesia
DOI:
https://doi.org/10.15642/manova.v5i1.727Keywords:
business confidence, consumer confidence, sentiment, VECMAbstract
This research aims to find out the relationship between consumer confidence, business confidence, consumer price index, and composite stock price index in Indonesia because the indicator describes a country's economic cycle as a result of sentiment that occurs. Quantitative descriptive research using multivariate methods of cointegration and granger causality within the VECM statistical framework. The period of the study is from 2015 – 2020. VECM estimation shows that in the long term there is a positive relationship pattern between CCI and itself. Then PMI shows a pattern of positive relationships, while CPI and JCI show negative relationships. Only PMI variables have a significant effect on the CCI in the long run. Then in the short term, PMI has a positive relationship pattern and has a significant influence on CCI and JCI in lags 1 and 2, and has a significant influence on CPI in lag 2. JCI has a positive and significant relationship pattern to CCI and CPI in lag 2. This research still does not discuss the dynamic behavior of the VECM model through the response of each variable to the shock of other variables and forecasting how the response of a variable in the future if a shock occurs in other variables. Governments and central banks must be able to reduce market panic and build a level of public trust. It can be said that optimism from the point of view of the business world and consumers needs to be maintained by stakeholders, especially governments and central banks.
Downloads
References
Akbar, M., Ali, S., & Khan, M. F. (2011). The relationship of stock prices and macroeconomic variables revisited: Evidence from Karachi stock exchange. African Journal of Business Management, 6(4). https://doi.org/10.5897/ajbm11.1043
Al-shami, H. A. A., & Ibrahim, Y. (2013). The effect of macroeconomic indicators on stock returns evidence of Kuwait Stock Market. American Journal of Economics, 3(2009), 57–66. https://doi.org/10.5923/c.economics.201301.11
Alam, N. (2017). Analysis of the impact of select macroeconomic variables on the indian stock market: A heteroscedastic cointegration approach. Business and Economic Horizons, 13(1), 119–127. https://doi.org/10.15208/beh.2017.09
Antonakakis, N., Gupta, R., & Tiwari, A. K. (2017). Has the correlation of inflation and stock prices changed in the United States over the last two centuries? Research in International Business and Finance, 42, 1–8. https://doi.org/10.1016/j.ribaf.2017.04.005
Asmy, M., Rohilina, W., Hassama, A., & And, M. (2010). Effects of Macroeconomic Variables on Stock Prices in Malaysia?: An Approach of Error Correction Model. MPRA Munich Personal Repec Archive, 20970.
Bai, Y., & Green, C. J. (2011). Determinants of cross-sectional stock return variations in emerging markets. Empirical Economics, 41(1), 81–102. https://doi.org/10.1007/s00181-010-0437-9
Balcilar, M., Cakan, E., & Gupta, R. (2017). Does US news impact Asian emerging markets? Evidence from nonparametric causality-in-quantiles test. North American Journal of Economics and Finance, 41, 32–43. https://doi.org/10.1016/j.najef.2017.03.009
Berge, T. J., & Jordà, Ò. (2011). Evaluating the classification of economic activity into recessions and expansions. American Economic Journal: Macroeconomics, 3(2), 246–277. https://doi.org/10.1257/mac.3.2.246
Bock, D. E., Eastman, J. K., & McKay, B. (2014). The impact of economic perceptions on status consumption: An exploratory study of the moderating role of education. Journal of Consumer Marketing, 31(2), 111–117. https://doi.org/10.1108/JCM-10-2013-0725
Dees, S. (2017). The role of confidence shocks in business cycles and their global dimension. International Economics, 151(September 2011), 48–65. https://doi.org/10.1016/j.inteco.2017.03.004
Ferrer, E., Salaber, J., & Zalewska, A. (2016). Consumer confidence indices and stock markets’ meltdowns. European Journal of Finance, 22(3), 195–220. https://doi.org/10.1080/1351847X.2014.963634
Granger, C. W. J. (1988). Some recent development in a concept of causality. Journal of Econometrics, 39(1–2), 199–211. https://doi.org/10.1016/0304-4076(88)90045-0
Iyke, B. N., & Ho, S. Y. (2020). Consumption and exchange rate uncertainty: Evidence from selected Asian countries. World Economy, 43(9), 2437–2462. https://doi.org/10.1111/twec.12900
Joseph, A., Larrain, M., & Turner, C. (2011). Forecasting purchasing managers’ index with compressed interest rates and past values. Procedia Computer Science, 6, 213–218. https://doi.org/10.1016/j.procs.2011.08.040
Juhro, S. M. (2015). The Role of the Central Bank in Promoting Sustainable Growth: Perspectives on the Implementation of Flexible ITF in Indonesia. Afro Eurasian Studies Journal, 4(1), 23–61.
Juhro, S. M., & Iyke, B. N. (2019). Consumer confidence and consumption expenditure in Indonesia. Economic Modelling, 89(September), 367–377. https://doi.org/10.1016/j.econmod.2019.11.001
Kilic, E., & Cankaya, S. (2016). Consumer confidence and economic activity: a factor augmented VAR approach. Applied Economics, 48(32), 3062–3080. https://doi.org/10.1080/00036846.2015.1133902
Kolluri, B., & Wahab, M. (2008). Stock returns and expected inflation: Evidence from an asymmetric test specification. Review of Quantitative Finance and Accounting, 30(4), 371–395. https://doi.org/10.1007/s11156-007-0060-9
Konstantinou, P., & Tagkalakis, A. (2011). Boosting confidence: Is there a role for fiscal policy? Economic Modelling, 28(4), 1629–1641. https://doi.org/10.1016/j.econmod.2011.02.019
Li, H., Guo, Y., & Park, S. Y. (2017). Asymmetric Relationship between Investors’ Sentiment and Stock Returns: Evidence from a Quantile Non-causality Test. International Review of Finance, 17(4), 617–626. https://doi.org/10.1111/irfi.12120
Møller, S. V., Nørholm, H., & Rangvid, J. (2014). Consumer confidence or the business cycle: What matters more for European expected returns? Journal of Empirical Finance, 28, 230–248. https://doi.org/10.1016/j.jempfin.2014.07.004
Naik, P. K., & Padhi, P. (2012). The impact of Macroeconomic Fundamentals on Stock Prices revisited: An Evidence from Indian Data. Eurasian Journal of Business and Economics, 5(10), 25–44.
Neely, C. J., & Dey, S. R. (2010). A survey of announcement effects on foreign exchange returns. Federal Reserve Bank of St. Louis Review, 92(5), 417–445. https://doi.org/10.20955/r.92.417-64
Ozyildirim, A., Schaitkin, B., & Zarnowitz, V. (2010). Business cycles in the euro area defined with coincident economic indicators and predicted with leading economic indicators. Journal of Forecasting, 29(1–2), 6–28. https://doi.org/10.1002/for.1146
Salhin, A., Sherif, M., & Jones, E. (2016). Managerial sentiment, consumer confidence and sector returns. International Review of Financial Analysis, 47, 24–38. https://doi.org/10.1016/j.irfa.2016.06.009
Sori?, P. (2018). Consumer confidence as a GDP determinant in New EU Member States: a view from a time-varying perspective. Empirica, 45(2), 261–282. https://doi.org/10.1007/s10663-016-9360-4
Suhaibu, I., Harvey, S. K., & Amidu, M. (2017). The impact of monetary policy on stock market performance: Evidence from twelve (12) African countries. Research in International Business and Finance, 42(12), 1372–1382. https://doi.org/10.1016/j.ribaf.2017.07.075
Zorio-Grima, A., & Merello, P. (2020). Consumer confidence: Causality links with subjective and objective information sources. Technological Forecasting and Social Change, 150(June 2019), 119760. https://doi.org/10.1016/j.techfore.2019.119760
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2022 Taufik Akbar, Edi Murdiyanto, Anita Sumelvia Dewi
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
