Pengaruh Nilai Tukar, Suku Bunga, Volume Perdagangan Saham dan Cadangan Devisa terhadap Indeks Harga Saham Gabungan di Negara Asean+3 (China, Korea Selatan & Jepang)

Abstract

This study aims to examine the effect of exchange rate, interest rate, stock trading volume, and foreign exchange reserves on the composite stock price index in ASEAN+3 countries (China, South Korea, and Japan). This research is associative in nature and uses secondary data obtained from the published reports of the World Bank, the International Monetary Fund (IMF), and ASEAN Statistics. The population of this study consists of all countries included in the ASEAN+3 group, totaling nine countries. Based on predetermined data availability criteria, seven countries were selected as the research sample. The data were analyzed using multiple linear regression with a panel data approach through the Fixed Effect Model. The results of the study indicate that: (1) the exchange rate has a positive and significant effect on the composite stock price index in ASEAN+3 countries; (2) the interest rate has a negative and significant effect on the composite stock price index in ASEAN+3 countries; (3) stock trading volume has a negative and insignificant effect on the composite stock price index in ASEAN+3 countries; and (4) foreign exchange reserves have a negative and insignificant effect on the composite stock price index in ASEAN+3 countries.