Dampak Risk Aversion, Nilai Tukar dan Aliran Modal Asing terhadap Return Bursa Efek Indonesia (BEI)

Isthafan Najmi, Rizal Ansari, Bukhari Usman, Edi Saputra, Yuni Ayu Safitri, Muhammad Ananda Rizki

Abstract


This study investigates the effect of global risk aversion, changes in exchange rates, and foreign capital flows on Indonesian stock returns. We analyze the data collected from a sample of 170 businesses with a total of 202392 observations listed on the Indonesia Stock Exchange (IDX) from 2017 to 2021. After examining the Stationarity, J-statistic, and Arleando bond characteristics, we applied the Difference-generalized methods of moment (D-GMM) model. We find that global risk aversion has a significant positive impact on stock return movements in contemporary and lag periods, and the finding is in line with existing behavioral finance theory. As for other findings, we discovered that stock returns in both the contemporaneous and lag periods were considerably negatively impacted by changes in the exchange rate. This demonstrates that foreign investors will implement a strategy for portfolio rebalancing. Besides, foreign investors apply positive trading feedback where the flow of foreign capital significantly has a positive impact on stock returns in the contemporaneous and lag periods. This result has implications for the overflow of foreign capital flows, trading strategies, asset pricing, and portfolio rebalancing by foreign investors in the Indonesian stock market.

Keywords : Return, Global Risk aversion, Exchange rate, foreign flows, Panel GMM


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References


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