Do Foreign Fund Flows Influence the Stock Market Index? Evidence From Indonesia

Bibliographic Data

ID16913798
AuthorsNevi Danila (0000-0001-5996-796X, Prince Sultan University, corresponding author), Bunyamin Bunyamin (0000-0002-7158-8548), Ahmad Djalaluddin (0000-0001-7062-663X, Universitas Islam Negeri Maulana Malik Ibrahim), Yudha Fathony
Year2023
Volume13
Issue4
Publication date2023-10-01
Open AccessYes
TypeARTICLE
VenueSAGE Open (JOURNAL)
Journal identifiersISSN: 2158-2440 • E-ISSN: 2158-2440
PublisherSAGE Publications (PUBLISHER • US)
DOI10.1177/21582440231201485
OpenAlexW4387342338
LanguageEN
References cited43

This paper investigates the impact of foreign fund’ flow on the Indonesian stock index incorporating other variables, namely the international stock market, gold price, foreign exchange rate, and the oil price. GJR-GARCH (1,1) model is used to analyze daily time-series data on IDX, foreign fund flows, the S&P 500, and gold, currency, and oil prices from 2014 to 2019. There is an evidence of leverage effect. It means that there is an asymmetric news impact on the conditional variances. Currency and oil prices are the only variables to have an impact on the Indonesian stock market index, while the rest of the variables do not influence the index. The government may provide infrastructures to attract foreign investors. At the same time, the government has to issue the policy that will protect the economy from stock market shocks. Finally, investors may include gold in their portfolio to diversify their investments. JEL Classification: G120, G10, G40

Autoregressive conditional heteroskedasticity · Business · Currency · Economics · Exchange rate · Financial economics · Monetary economics · Portfolio · Stock exchange · Stock market · Stock market index · Market Dynamics and Volatility · Monetary Policy and Economic Impact · Natural Resources and Economic Development · Finance

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Open DOIOpen Access