Market Reaction As An Impact Of The Fed Interest Rate Decrease Announcement In Asian And European Areas
Abstract
Market Reaction As An Impact Of The Fed Interest Rate Decrease Announcement In Asian And European Areas
ABSTRACT
The announcement of the reduction in the Fed's interest rate on July 31, 2019 is a rare event since 2008. The Fed's rate cut will have a major impact on the global economy and conditions in the capital market.The purpose of this study is to determine whether there is a difference in the average abnormal return around the date of the announcement of the Fed's interest rate hike in Asia and the European region. The sample of this study was 18 emerging market countries' index indices in Asia and Europe with sample collection techniques using purposive sampling. This study uses One Way Anova analysis techniques and One Sample T-test. The results found that there was no difference in the average abnormal return before and after the announcement of the Fed's interest rate increase. This condition shows that markets in the two regions do not react significantly because markets in Asia and the European region are in an efficient condition in the form of half strong, where the market absorbs information quickly and is reflected in stock prices so there is no difference in the average abnormal return in both regions. The absence of a difference in the average abnormal return is also caused by the uncertainty of the global economy making investors more careful in making investment decisions.
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References
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Vithessonthia, C., & Techarongrojwong, Y. 2013. Do monetary policy announcements affect stockprices in emerging market countries?The case of Thailand. J. of Multi. Fin. Manag., 23, pp : 446– 469
Wang, A. T., Hung, Shu-Hsun, Jian, I-Ming. 2013. The Effect of Target Federal Funds Rate Changes on the Foreign Exchange Markets: An Event Study Approach. Journal of Applied Finance & Banking, 3(3), pp : 117-132
Wang, J., & Zhu, X. 2013. The reaction of international stock markets to Federal Reserve policy. Financ Mark Portf Manag, Vol. 27, pp :1–3
Wang, S., & Mayes, D. G. 2012. Monetary policy announcements and stock reactions: An international comparison. North American Journal of Economics and Finance, Vol. 23, pp : 145– 164
Wardhani, L. S. 2012. Reaksi Pasar Modal Indonesia Terhadap Peristiwa Pemilihan Gubernur DKI Jakarta Putaran II 2012 (Event Study pada Saham Anggota Indeks Kompas 100). Jurnal Ilmiah Mahasiswa FEB Univ Brawijaya, 1(1)
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Wibowo, Agung. 2017. Reaksi Investor Pasar Modal Indonesia Terhadap Paket Kebijakan Ekonomi Tahap I Jokowi-JK. Media Ekonomi dan Manajemen, 32 (1), pp : 85-70
www.finance.yahoo.com
www.investing.com
Yamin, S., & Kurniawan, H. 2010. SPSS Complete : Teknik Analisis Statistik Terlengkap dengan Software SPSS. Salemba Infotek : Jakarta
Yang, C. C. 2013. The Impact of the Interest Rate on Insurance/Financials Industries: The Analysis of the Stock Market’s Reactions to Federal Funds Rate Changes. North American Actuarial Journal, 17(1), pp : 29–40
Young, M., & Bacon, F. 2012. The Federal Open Market Committe and The Federal Funds Rate: A Test of Market Efficiency. Academy of Banking Studies Journal, 11(2), pp : 81-91
Zabir, Zalmi. 2011. Manajemen Portofolio dan Penerapannya dalam Investasi Saham. Salemba Empat : Jakarta.
Anonim. 2018. “Why US rates have a global impact”, [cited 22 Mei 2019]. Available from: https://www.bbc.com/news/business44389203?ocid=wsnews.chat-apps.in-app-msg.whatsapp.trial.link1_.auin.
Ardiana, Putu Agus. 2016. Investasi Saham. Edisi Pertama. Hibah Buku Ajar Jurusan Akuntansi Fakultas Ekonomi dan Bisnis Universitas Udayana.
Bodie, Kane and Marcus. 2017. Invesment. Eleventh Edition.McGraw-Hill Education. New York.
Caporale, G. M., Plastun, A., Makarenko, I. 2019. Force Majeure Events and Stock Market Reactions in Ukraine. Investment Management and Financial Innovations, 16(1), pp : 334-345
Chau, David. 2018. Federal Reserve lifts interest rates — for the second time in 2018, [cited 14 Agustus 2019].
Available from : https://www.abc.net.au/news/2018-06-14/federal-reserve-second-rate-hike-2018-fed-wall-street-falls-asx/9868178
Chen, Ming-Hsiang. 2012. The reaction of U.S. hospitality stock prices to Fed policy announcements. International Journal of Hospitality Management, Vol. 31, pp : 395-398
Erer, E., & Erer, D. 2017. "Long Memory In Turkish Stock Market And Effects Of Central Banks’ Announcements. Financial Studies, 21(3), pp : 6-18.
Fausch, J., & Sigonius, M. 2017. The impact of ECB monetary policy surprises on the German stock market. Journal of Macroeconomics.
Ferguson, A., & Lam, P. 2016. Government policy uncertainty and stock prices : The case of Australia’s uranium industry. Energy Economic.
Ghozali, Imam. 2012. Aplikasi Analisis Multivariate dengan Program IBM SPSS 20. Edisi 6. Semarang : Badan Penerbit Undip.
Grace, M. F., Rauch, J., & Wende, S. 2017. The effect of monetary policy announcements and government interventions on the US insurance industry during the 2007-2009 crisis. The Journal of Risk Finance, 18 (5), pp: 500-522
Gurgul, H., & Wójtowicz, T. 2014. The impact of US macroeconomic news on the Polish stock market The importance of company size to information flow. CEJOR, pp : 795–817
Habib, Y., Nazir, M. I., Hashmi, S. H., Saeed, M. B. 2015. Credit Rating Announcements and Stock Returns: Evidence from the Banking Sector of Pakistan. Journal of Business Studies Quarterly, 7(2), pp : 61-84
Hall, S. G., & Kenjegaliev, A. 2017. The effect of oil price changes on the price of Russian and Chinese oil shares. Empir Econ, Vol. 53, pp :1639–1656
Hu, Haoshen. 2017. The impact of sovereign rating events on bank stock returns An empirical analysis for the Eurozone. The Journal of Risk Finance, 18 (4), pp : 338-367
Isa, Mariam. 2018. US-China trade war: Emerging Markets Most at Risk, [cited 14 Agustus 2019]. Available from : https://www.fin24.com/Finweek/Business-and-economy/us-china-trade-war-emerging-markets-most-at-risk-20180628
Jogiyanto, Hartono. 2017. Teori Portofolio dan Analisis investasi. Edisi Kesembilan. Yogyakarta : BPFE.
Jones, Charles P. 2016. Invesment (Principles and Concepts). Twelfth Edition. John Wiley&Sons Singapore Pte.Ltd.
Jumadil, Dani. 2018. “IHSG Terjun Bebas 2% ke 5.667”, [cited 22 November 2018]. Available from : https://economy.okezone.com/read/2018/06/28/278/1915207/ihsg-terjun-bebas-2-ke-5-667.
Luhur, Suryo. 2010. Reaksi Pasar Modal Indonesia Seputar Pemilihan Umum 8 Juli 2009 Pada Saham LQ-45. Jurnal Keuangan dan Perbankan, 14(2), pp : 249 - 262
Mahidin, I., & Zenitha, N. 2017. Reaksi Pasar Saham terhadap Pengumuman Pengurangan Quantitative Easing Pada Perusahaan yang Tercatat di Bursa Efek Indonesia. Media Riset Akuntansi, 5(1), pp : 36-56
Mutize, M., & Gossel, S. J. 2018. Do sovereign credit rating announcements influence excess bond and equity returns in Africa?. International Journal of Emerging Markets, 13(6), pp : 1522-1537
Nazaret, Rita. 2018. “Emerging Markets Extend Declines After Fed Lifts Outlook to Four Hikes”, [cited 22 Mei 2019]. Available from : https://www.bloomberg.com/news/articles/2018-06-13/traders-hung-up-on-fed-dots-as-emerging-markets-slide-inside-em.
Nazir, M. S., Younus, H., Kaleem, A., Anwar, Z. 2014. Impact of political events on stock market returns: empirical evidence from Pakistan. Journal of Economic and Administrative Sciences, 30(1), pp : 60-78
Ningsih, E.R. & Cahyaningdyah, D. 2014. Reaksi Pasar Modal Indonesia Terhadap Pengumuman Kenaikan Harga BBM 22 Juni 2013. Management Analisys Journal, 1 (3)
Nugroho, A.C., & Adriani, R.S. 2018. “ Bursa Saham 20 Juni: IHSG Ditutup Melemah 1,83% di 5.884,04”, [cited 22 November 2018].Available from : https://market.bisnis.com/read/20180620/7/807653/bursa-saham-20-juni-ihsg-ditutup-melemah-183-di-5.88404
Prabu A., Edwin , B., Indranil, R., Partha. 2016. Is the Stock Market impervious to Monetary Policy Announcements: Evidence from Emerging India. International Review of Economics and Finance.
Pratiwi, K.R.D.I & Wirakusuma, I.G.M. 2018. Reaksi Pasar Modal Indonesia Atas Pengumuman Kenaikan Tingkat Suku Bunga Acuan Oleh Fed di AS. E-Jurnal Akuntansi Universitas Udayana, 25 (3), pp: 1966- 1993
Rahyuda, Ketut. 2017. Metode Penelitian Bisnis. Edisi Revisi 2017. Udayana University Press.
Roztocki, N., & Weistroffer, H. R. 2015. Investments in enterprise integration technology: An event study. Inf Syst Front, Vol. 17, pp : 659–67
Sanjiwani, P.D.A & Jati, I.K. 2017. Reaksi Pasar Modal Terhadap Kebijakan Tax Amnesty Pada Saat Pengumuman dan Akhir Periode I. E-Jurnal Akuntansi Universitas Udayana, 19 (1), pp : 799 - 826
Tandelilin. 2010. Portofolio dan Investasi. Edisi pertama. Yogyakarta : Kanisius.
Tsai, Bi-Huei & Chen, Pei-Ju. 2018. Market Reactions to Oil Price Changes in Taiwan’s Transportation Industry. International Journal of Business and Information, 13(2), pp : 243-266
Vithessonthia, C., & Techarongrojwong, Y. 2013. Do monetary policy announcements affect stockprices in emerging market countries?The case of Thailand. J. of Multi. Fin. Manag., 23, pp : 446– 469
Wang, A. T., Hung, Shu-Hsun, Jian, I-Ming. 2013. The Effect of Target Federal Funds Rate Changes on the Foreign Exchange Markets: An Event Study Approach. Journal of Applied Finance & Banking, 3(3), pp : 117-132
Wang, J., & Zhu, X. 2013. The reaction of international stock markets to Federal Reserve policy. Financ Mark Portf Manag, Vol. 27, pp :1–3
Wang, S., & Mayes, D. G. 2012. Monetary policy announcements and stock reactions: An international comparison. North American Journal of Economics and Finance, Vol. 23, pp : 145– 164
Wardhani, L. S. 2012. Reaksi Pasar Modal Indonesia Terhadap Peristiwa Pemilihan Gubernur DKI Jakarta Putaran II 2012 (Event Study pada Saham Anggota Indeks Kompas 100). Jurnal Ilmiah Mahasiswa FEB Univ Brawijaya, 1(1)
Weathley, J. 2018. “Turkey : How Investors Turned on Erdogran”, [cited 22 Mei 2019].Available from : https://www.ft.com/stream/63b29c5e-250d-3158-8f46-3facf556189a
Wibowo, Agung. 2017. Reaksi Investor Pasar Modal Indonesia Terhadap Paket Kebijakan Ekonomi Tahap I Jokowi-JK. Media Ekonomi dan Manajemen, 32 (1), pp : 85-70
www.finance.yahoo.com
www.investing.com
Yamin, S., & Kurniawan, H. 2010. SPSS Complete : Teknik Analisis Statistik Terlengkap dengan Software SPSS. Salemba Infotek : Jakarta
Yang, C. C. 2013. The Impact of the Interest Rate on Insurance/Financials Industries: The Analysis of the Stock Market’s Reactions to Federal Funds Rate Changes. North American Actuarial Journal, 17(1), pp : 29–40
Young, M., & Bacon, F. 2012. The Federal Open Market Committe and The Federal Funds Rate: A Test of Market Efficiency. Academy of Banking Studies Journal, 11(2), pp : 81-91
Zabir, Zalmi. 2011. Manajemen Portofolio dan Penerapannya dalam Investasi Saham. Salemba Empat : Jakarta.
Published
2022-02-27
How to Cite
SRI ARTINI, Luh Gede.
Market Reaction As An Impact Of The Fed Interest Rate Decrease Announcement In Asian And European Areas.
Matrik : Jurnal Manajemen, Strategi Bisnis dan Kewirausahaan, [S.l.], p. 37-45, feb. 2022.
ISSN 2302-8890.
Available at: <https://ojs.unud.ac.id/index.php/jmbk/article/view/69199>. Date accessed: 25 apr. 2024.
doi: https://doi.org/10.24843/MATRIK:JMBK.2022.v16.i01.p03.
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Articles
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