Indonesian Capital Market Response to U.S. Federal Funds Rate Increase Announcements
Bahasa Indonesia
Abstract
This research aims to examine whether there are abnormal returns due to the increase in the Federal Funds Rate (FFR) in the United States on February 1, 2023, March 24, 2023, May 3, 2023, and July 26, 2023. The observation period for this study spanned two days before and after each event, with a sample size of 250 companies obtained using the Cochran formula. The sampling method employed was simple random sampling. The data analysis technique utilized was the one-sample Wilcoxon signed-rank test. The results of the analysis indicate that of the four FFR increase events, only the event on March 24, 2023, resulted in a significant abnormal return. It was concluded that this FFR increase event had an impact. This significant abnormal return was predicted to be due to the normalization of policies on the Indonesian Stock Exchange, which occurred one day before the event (t-1) of the FFR increase on March 24, 2023.
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References
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Putri, NA, Anggraen, L., & Pasaribu, SH (2017). Analysis of Federal Fund Rate and BI Rate Announcement to Abnormal Return in Indonesia Stock Market. International Journal of Business and Management Review, 5(9), 65–77.
Riyandi, V. (2023). Getting to know the Fed's interest rates and their influence on Indonesian investment (pp. 1–3). https://landx.id/blog/mengenal-suku-bunga-the-fed- Influence-terhadap-investasi-indonesia.
Yeni, P., Amar, S., & Satrianto, A. (2018). The Influence of Interest Rates, Loan to Deposit Ratio (LDR) and Credit Growth on Inflation in Indonesia. Ecogen Journal, 1(3), 557–566.
Anjani, NPP, Wahyuni, MA, & Atmadja, AT (2018). Analysis of Investor Reactions to the Effect of Bi Interest Rate Increases Due to the Fed's Increase in Interest Rates on the Lq45 Stock Index. Scientific Journal of Accounting Students) Ganesha Education University, 9(3), 2614–1930. www.kontan.com
Cahyaningdyah, D., & Cahyasani, NA (2017). Analysis of Capital Market Reactions to the Announcement of the BI Rate Increase on November 12 2013. Maksipreneur Journal, 6(2), 56–65.
Fajarwati, PY, & Nurasik. (2020). Capital Market Reaction Analysis Before and After Bank Indonesia's Decision Regarding Interest Rates. Academia Open, 3(1), 1–14. https://doi.org/10.21070/acopen.3.2020.1149
Frikasih, J., Muaja, MC, Nussy, SR, Manampiring, G., & Maramis, JB (2022). Capital Market Reaction to the Increase in Interest Rates of the United States Federal Reserve Bank June 15 2022 on the NASDAQ 101 Stock Index Listed on the New York Stock Exchange. EMBA Journal: Journal of Economics, Management, Business And Accounting Research, 10(4), 1445–1454. https://ejournal.unsrat.ac.id/v3/index.php/emba/article/view/44041
Hayes, A. (2022). Federal Reserve System: What it is and how It Works (pp. 1–6). https://www.investopedia.com/terms/f/federalreservebank.asp
Indrayuda, AAGA, & Sukartha, IM (2019). Capital Market Reaction to the Increase in the Federal Funds Rate on September 26 2018. Accounting E-Journal, 29(2), 854–868. https://doi.org/10.24843/eja.2019.v29.i02.p27
Khairunnisa, T. (2023). Capital Market Reaction to the Announcement of an Increase in Fuel Prices (In Transportation and Logistics Sector Companies Registered in 2022). Publication Manuscript of the Faculty of Economics and Business, University of Lampung, 4(1), 88–100.
Lasano, MW, Ali, IMA, Noch, MY, & Pattiasina, V. (2021). Abnormal Stock Returns and Trading Volume Activity Before and After Countercyclical Policy in Financial Companies Listed on the Indonesian Stock Exchange. JOER: Journal of Economics Review, 1(1), 1–10. https://doi.org/https://doi.org/10.55098/joer.1.1.1-10 ABNORMAL
Mahendra, IKR, & Rasmini, N.K. (2019). Market Reaction to the Increase in Bank Indonesia's 7-Day Reverse Repo Rate on August 15 2018. Udayana University Accounting E-Journal, 27(3), 2066–2099. https://doi.org/https://doi.org/10.24843/EJA.2019.v27.i03.p16
Martatila, ABJ (2018). The Influence of the Issue of the Fed (Federal Reserve System) Interest Rate Increase on Changes in Stock Returns in the Lq'45 Category on the Indonesian Stock Exchange. Repository Muhammadiyah University of Jember, 1–13. http://repository.unmuhjember.ac.id/2145/1/ARTIKEL_JURNAL.pdf
Nabiilah, IA, Hartono, U., & Haryono, NA (2024). Cointegration Analysis of the Philippine Stock Index Psei, Malaysian Stock Index Klci, As Djia Stock Index and Macroeconomic Variables with Ihsg. Scientific Journal of Management, Economics, & Accounting (MEA), 8(1), 528–557. https://doi.org/10.31955/mea.v8i1.3740
Naibaho, H. (2018). Management Seminar: The Impact of the Global Economy on the Rupiah Exchange Rate. Development Manuscript Jaya University Publications, 1–3. https://www.upj.ac.id/news/533/seminar-manajemen-dampak- Ekonomi-global-terhadap-besar-tukar-rupiah
Nugraha, AVR, & Wirajaya, IGA (2023). Market Reaction to the Fed's Interest Rate Announcement in the Registered Banking Sector in Indonesia. Accounting E-Journal, 33(3), 701–714.
Nussy, SR, Saerang, IS, & Maramis, JB (2023). US Corporate Bonds' Reaction to the Federal Reserve Bank's Interest Rate Normalization June 2022 (Event Study on Investment Grade Bonds & Junk Bonds). EMBA Journal: Journal of Economic, Management, Business and Accounting Research, 11(4), 1159–1168. https://doi.org/10.35794/emba.v11i4.52349
Pangumpia, AW, Murni, S., Tulung, JE, Tulung, JE, Economy, F., & Management, J. (2021). Capital Market Reaction to the Sriwijaya Air Sj 182 Plane Crash on January 9 2021 (Case Study of a Transportation Sub-Sector Company Listed on the Indonesian Stock Exchange) Capital Market Reaction To Sriwijaya Air Conditioning Event,. EMBA Journal: Journal of Economics, Management, Business And Accounting Research, 9(4), 368–375. https://ejournal.unsrat.ac.id/index.php/emba/article/view/36280
Pratiwi, KRDI, & Wirakusuma, IGM (2018). Indonesian Capital Market Reaction to the Fed's Announcement of an Increase in the Benchmark Interest Rate in the US. Udayana University Accounting E-Journal, 25(3), 1966–1993. https://doi.org/10.24843/eja.2018.v25.i03.p13
Putri, NA, Anggraen, L., & Pasaribu, SH (2017). Analysis of Federal Fund Rate and BI Rate Announcement to Abnormal Return in Indonesia Stock Market. International Journal of Business and Management Review, 5(9), 65–77.
Riyandi, V. (2023). Getting to know the Fed's interest rates and their influence on Indonesian investment (pp. 1–3). https://landx.id/blog/mengenal-suku-bunga-the-fed- Influence-terhadap-investasi-indonesia.
Yeni, P., Amar, S., & Satrianto, A. (2018). The Influence of Interest Rates, Loan to Deposit Ratio (LDR) and Credit Growth on Inflation in Indonesia. Ecogen Journal, 1(3), 557–566.
Published
2024-06-29
How to Cite
MAHARANI, Ketut Bintang; ASMARA PUTRA, I Nyoman Wijana; ANGGARA, I Wayan Gde Wahyu Purna.
Indonesian Capital Market Response to U.S. Federal Funds Rate Increase Announcements.
E-Jurnal Akuntansi, [S.l.], v. 34, n. 6, june 2024.
ISSN 2302-8556.
Available at: <https://ojs.unud.ac.id/index.php/akuntansi/article/view/113935>. Date accessed: 04 nov. 2024.
doi: https://doi.org/10.24843/EJA.2024.v34.i06.p20.
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