The Influence Analysis of Macroeconomic Variables on The Stock Price of Bank BTPN Syariah (BTPS) with Vector Error Correction Model (VECM)

Rachma, Luthfia Salsabila Aulia (2024) The Influence Analysis of Macroeconomic Variables on The Stock Price of Bank BTPN Syariah (BTPS) with Vector Error Correction Model (VECM). Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

The COVID-19 pandemic has had a major impact on the global economy, leading to an economic downturn and a shift in investment behavior. Sharia stocks have shown their resilience in the face of crisis, as evidenced by their stability during the COVID-19 pandemic. The banking sub-sector, which plays an important role in economic intermediations, is strongly influenced by macroeconomic factors. This study aims to analyze the long-term and short-term relationship of the impact of macroeconomic variables on Bank BTPN Syariah’s, a leading sharia banking institution in Indonesia, renowned for its adherence to sharia principles, commitment to financial inclusion, and dedication to gender empowerment, with over 90% of its workforce comprising women. This research uses Impulse Response Function (IRF) and Forecast Error Variance Decomposition (FEVD) analysis to achieve the goal so that the method to be used is the Vector Error Correction Model (VECM). The results of this study show that in the long run, the stock price response to interest rates and exchange rate shocks shows a negative and stable response, respectively. In the short term, shocks from the interest rates can cause an increase and then a significant decrease, but if the shock continues the stock price will respond to shocks to the interest rates in a stable and negative manner. Meanwhile, in the short term, the stock price responds to shocks from the exchange rates fluctuate and tends to decrease, but if the shock continues the stock price will respond to shocks to the exchange rates stably and negatively. The shock that plays the most role in the movement of the stock price is the shocks experienced by the exchange rate of 6.35%.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	Bank BTPN Syariah, Macroeconomic, Shock, Stock Price, VECM
Subjects:	A General Works > AC Collections. Series. Collected works A General Works > AC Collections. Series. Collected works
Divisions:	Faculty of Science and Data Analytics (SCIENTICS) > Statistics > 49201-(S1) Undergraduate Thesis
Depositing User:	Luthfia Salsabila Aulia Rachma
Date Deposited:	14 Aug 2024 07:51
Last Modified:	14 Aug 2024 07:51
URI:	http://repository.its.ac.id/id/eprint/114378

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