Banking stock price movement and macroeconomic indicators: k-means clustering approach

Figures & data

Table 1. Final cluster center

Cluster (j)	Total amount	Cluster Member	Center of Cluster (return)	Varian return	Max return	Min return	Average of return
Lower (1)	9	BABP, BACA, BEKS, BKSW, BNBA, BNII, BVIC, INPC, MCOR	0.0104	0.015893	1.015	−0.490	0.0103
Middle (2)	11	BBKP, BJBR, BJTM, BMAS, BNGA, BNLI, BSIM, AGRO, NISP, NOBU, PNBN	0.0146	0.021141	1.187	−0.435	0.0146
Upper (3)	8	BBCA, BBNI, BBRI, BBTN, BDMN, BMRI, BTPN, MAYA	0.0178	0.008108	0.459	−0.476	0.0170

Table 2. Correlation matrix

Cluster (j)		$sp$	$ir$	$er$	$inf$
Lower (1)	$sp$	1
	$ir$	−0.127007969	1
	$er$	0.028093053	−0.302102352	1
	$inf$	0.026984798	−0.135922652	0.064883316	1
Middle (2)	$sp$	1
	$ir$	−0.21825	1
	$er$	0.034953	−0.3021	1
	$inf$	0.10525	−0.13592	0.064883	1
Upper (3)	$sp$	1
	$ir$	−0.03145	1
	$er$	0.004909	−0.3021	1
	$inf$	0.241222	−0.13592	0.064883	1

Table 3. GMM model’s estimation results

Cluster (j)	Variable	Coefficient	Prob AR(2)	Prob J-stat
Lower (1)	$logs{p}_{t-1}$	0.277760***	0.0913	0.000
	$logir$	−0.249568***
	$loger$	−0.220178
	$loginf$	−0.193627***
Middle (2)	$logs{p}_{t-1}$	0.381548***	0.2919	0.000
	$logir$	−0.49962***
	$loger$	−1.45192***
	$loginf$	0.031915
Upper (3)	$logs{p}_{t-1}$	0.439511***	0.7593	0.000
	$logir$	−0.08181***
	$loger$	−0.80225***
	$loginf$	0.73758*

***, **, * indicate significance at 1%, 5% and 10%, respectively.

Table 4. GMM model’s estimation results with control variable

Cluster (j)	$logs{p}_{t-1}$	$logir$	$loger$	$loginf$
Lower (1)	0.419698*		0.332525**	−0.2001*
	0.276426*	−0.24391*		−0.19463*
	0.254995*	−0.2557*	−0.31261**
Middle (2)	0.664387*		−0.55032	−0.07212***
	0.384405	−0.45542*		0.023009***
	0.396152*	−0.48957*	−1.43436*
Upper (3)	0.442699*		−0.555***	0.737536*
	0.435943	−0.05933***		0.737162*
	0.8422*	−0.08172**	0.79286***

***, **, * indicate significance at 1%, 5% and 10%, respectively.