Determinan Investasi Portofolio di Indonesia: Pendekatan Vector Error Correction Model dan Error Correction Model

Ishfy Dinda Syafilla, Rini Dwi Astuti

Abstract


The imbalances between investment financing and domestic savings in terms of providing sufficient capital are an obstacle to implementing economic development in Indonesia. Therefore, the flow of foreign capital is indispensable, one of which is by portfolio investment in order to increase capital market liquidity and as a source of financing domestic development. This study aims to analyze the response and influence of gross domestic product variables, inflation, exchange rates, and interest rates on portfolio investment in Indonesia in the period 2012.Q1-2021.Q4. The analytical tool in this study uses two approaches, which are: Vector Error Correction Model (VECM) and Error Correction Model (ECM). The results of this study indicate that in the long run, portfolio investment responds positively to the shock of inflation, exchange rate, and interest rate variables. In the short term, inflation and exchange rate variables have a negative and significant influence on portfolio investment.

Keywords


Portfolio Investment; Gross Domestic Bruto; Inflation; Exchange Rate; Interest Rate

Full Text:

PDF

References


Al-Smadi, M. O. (2018). Determinants of foreign portfolio investment: The case of Jordan. Investment Management and Financial Innovations, 15(1), 328–336. https://doi.org/10.21511/imfi.15(1).2018.27

Alhusna, M. R. I. &, & Suseno, D. A. (2016). Determinan Investasi Portofolio Asing Di Indonesia dan Pengaruhnya Terhadap PDB. Stie Semarang, 8(3), 143–162.

Aprilia, A., Qoriah, C. G., Wardhono, A., & Nasir, M. A. (2020). Foreign Portfolio Investment in Asean 4 : the Effect of Macroeconomic Indicators. Indonesia Economis Journal, 9. https://doi.org/https://doi.org/10.52813/jei.v9i1.43

Dewi, P. K., & Triaryati, N. (2015). Pengaruh Pertumbuhan Ekonomi, Suku Bunga, dan Pajak terhadap Investasi Asing Langsung di Indonesia. E-Jurnal Manajemen Unud, 4(4), 886–878. doi: https://doi.org/10.24843/EJMUNUD.2018.v7.i07.p20

Dua, P., & Garg, R. (2013). Foreign Portfolio Investment Flows To India : Determinants And Analysis Pami Dua Reetika Garg Working Paper No . 225, Issue 225.

Fadillah, M. A. (2017). Analisis Produk Domestik Bruto (PDB), Suku Bunga BI (BI Rate), dan Inflasi Terhadap Investasi Asing Langsung (PMA) di Indonesia Tahun 2006-2015. Journal of Chemical Information and Modeling, 53(9), 1689–1699.

Gujarati, Damodar. (2003). Basic Econometrics. 4th Edition. Singapore: McGraw-Hill International Editions

Indrawati, Y. (2012). Foreign Direct Investment dan Investasi Portofolio Terhadap Stabilitas Makroekonomi di Indonesia : Fenomena Global Imbalances. Ekonomi Internasional.

Listiawati, L. N., & Paramita, V. S. (2018). Pengaruh Tingkat Suku Bunga, Inflasi, Debt To Equity Ratio, Dan Ukuran Perusahaan Terhadap Yield Obligasi Pada Perusahaan Yang Terdaftar Di Bursa Efek Indonesia Tahun 2010 - 2016. Jurnal Manajemen, 15(1), 18–32. https://doi.org/10.25170/jm.v15i1.97

Prastiwi, L., & Idris. (2020). Jurnal Kajian Ekonomi dan Pembangunan Analisis Determinan Investasi Portofolio Asing (Studi Komparatif : JKEP: Jurnal Kajian Ekonomi Dan Pembangunan, 2(1), 1–6.

Putong, Iskandar. 2009. Economics, Pengantar Mikro dan Makro. Jakarta: Mitra Wacana Media.

Salvatore, D. (2013). International economics. In The Elgar Companion to Post Keynesian Economics, Second Edition (11th ed.). John Wiley & Sons.

Septifany, A. T., Hidayat, R. R., & Sulasmiyati, S. (2015). Penanaman Modal Asing di Indonesia (Studi Pada Bank Indonesia Periode Tahun 2006-2014 ). Jurnal Administrasi Bisnis (JAB), 25(2), 1–7.

Siregar, D. (2011). Analisis faktor-faktor yang memengaruhi perubahan investasi portofolio asing di Indonesia. https://repository.ipb.ac.id/handle/123456789/47691

Suhendra, I., & Istikomah, N. (2016). Faktor Penentu Investasi Portofolio Di Indonesia. Jurnal Riset Akuntansi Terpadu, 9(2). https://doi.org/10.35448/jrat.v9i2.4314

Sukirno, Sadono. (2018). Makroekonomi Teori Pengantar Edisi 3. Jakarta: Rajawali Pers.

Tahir, M., Ibrahim, H., Zulkafli, A.H. and Mushtaq, M. (2020), “Influence of 56 exchange rate fluctuations and credit supply on dividend repatriation policy of US multinational corporations”, Journal of Central Banking Theory and Practice, Vol. 9 No. s1, pp. 267-290, Sciendo.




DOI: http://dx.doi.org/10.35448/jequ.v13i1.20531

Refbacks

  • There are currently no refbacks.


Copyright (c) 2023 Jurnal Ekonomi-Qu

 

Jurnal Ekonomi-Qu is licensed under a Creative Commons Attribution 4.0 International License

Contact Person:
Sugeng Setyadi
Department of Economics
Faculty of Economics dan Business
Universitas Sultan Ageng Tirtayasa
Address: Jl. Raya Palka Km 3 Sindangsari, Pabuaran, Kab. Serang, Banten 42163
Cell Phone: +6282122028968
Phone: +62254 280330 ext 125
E-mail: jequ@untirta.ac.id
E-mail (personal): gengsetya@gmail.com