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

References

• Arellano, M., & Bover, O. (1995). Another look at the instrumental variable estimation of error-components models. Journal of Econometrics, 68(1), 29–51. https://doi.org/https://doi.org/10.1016/0304-4076(94)01642-D
   Google Scholar
• Augustpaosa Nariman, H. T. (2019). Faktor-Faktor yang mempengaruhi indeks harga saham gabungan. Jurnal Ekonomi, 24(1), 144. https://doi.org/https://doi.org/10.24912/je.v24i1.546
   Google Scholar
• Bassar, T. S., Effendi, N., Hidayat, A. K., & Budiono, B. (2021). The effect of inflation rate, exchange rate, The Certificate of Bank Indonesia (SBI) interest rate and sharia stock trading volume on sharia stock performance in companies listed on the Indonesian Sharia Stock Index (ISSI). International Journal of Multicultural and Multireligious Understanding, 8(3), 326. https://doi.org/https://doi.org/10.18415/ijmmu.v8i3.2494
   Google Scholar
• Benchimol, J. (2020). Memento on EViews output. Technical Guide, Mimeo. https://scholar.harvard.edu/files/jbenchimol/files/memento-eviews.pdf
   Google Scholar
• Blundell, R., & Bond, S. (1998). Initial conditions and moment restrictions in dynamic panel data models. Journal of Econometrics, 87(1), 115–143. https://doi.org/https://doi.org/10.1016/S0304-4076(98)00009-8
   Google Scholar
• Diantimala, Y., Syahnur, S., Mulyany, R., & Faisal, F. (2021). Firm size sensitivity on the correlation between financing choice and firm value. Cogent Business & Management, 8(1), 1926404. https://doi.org/https://doi.org/10.1080/23311975.2021.1926404
   Google Scholar
• Giri, A. K., & Joshi, P. (2017). The impact of macroeconomic indicators on Indian stock prices: An empirical analysis. Studies in Business and Economics, 12(1), 61–78. https://doi.org/https://doi.org/10.1515/sbe-2017-0005
   Google Scholar
• Gujarati, D. (2011). Econometrics by example. In Social indicators research. Basingstoke: Palgrave Macmillan.
   Google Scholar
• Guojun, G., Chaoqun, M., & Jianhong, W. (2007). Data clustering: Theory, algorithms and appications. In ASA-SIAM series on statistics and applied probability. ASA-SIAM. https://doi.org/https://doi.org/10.1137/1.9780898718348
   Google Scholar
• Hardouvelis, G. A. (1987). Reserves announcements and interest rates: Does monetary policy matter? The Journal of Finance, 42(2), 407–10. https://doi.org/https://doi.org/10.1111/j.1540-6261.1987.tb02574.x
   Google Scholar
• Hasan, B. A. S., & Gan, J. Q. (2009). Unsupervised adaptive GMM for BCI. In 2009 4th international IEEE/EMBS conference on neural engineering, NER ’09 (pp. 295–298). Antalya: IEEE. https://doi.org/https://doi.org/10.1109/NER.2009.5109291
   Google Scholar
• Hsing, Y., Budden, M. C., & Phillips, A. S. (2011). Macroeconomic determinants of the stock market index for a major latin American country and policy implications. Business and Economic Research, 2(1), 1. https://doi.org/https://doi.org/10.5296/ber.v2i1.1152
   Google Scholar
• Kriegel, H. P., Schubert, E., & Zimek, A. (2017). The (black) art of runtime evaluation: Are we comparing algorithms or implementations? Knowledge and Information Systems, 52(2), 341–378. https://doi.org/https://doi.org/10.1007/s10115-016-1004-2
   Google Scholar
• Laduna, R., & Sun’an, M. (2018). The effect of macroeconomic variables on banking stock price index in Indonesia stock exchange. Russian Journal of Agricultural and Socio-Economic Sciences, 73(1), 155–162. https://doi.org/https://doi.org/10.18551/rjoas.2018-01.20
   Google Scholar
• Laporte, A., & Windmeijer, F. (2005). Estimation of panel data models with binary indicators when treatment effects are not constant over time. Economics Letters, 88(3), 389–396. https://doi.org/https://doi.org/10.1016/j.econlet.2005.04.002
   Google Scholar
• Lim, K., & Hooy, C.-W. (2011). The delay of stock price adjustment to information: A country-level analysis. Business Valuation Review, 30(2), c1–c36. https://doi.org/https://doi.org/10.5791/0882-2875-30.2.c1
   Google Scholar
• Lusiana, O. A. (2020). Analisis Pengaruh Inflasi, SBI, Kurs Dan Indeks Global Terhadap Pergerakan Indeks Harga Saham Di BEI Pada Periode 2016-208. In Jurnal Ilmu Manajemen (JIM), 8(4), 1338–1352. https://doi.org/https://doi.org/10.26740/jim.v8n4.p1338-1352
   Google Scholar
• Maharditya, M. A., Layyinaturrobaniyah, L., & Anwar, M. (2018). Implication of macroeconomic factors to stock returns of Indonesian property and real estate companies. Jurnal Dinamika Manajemen, 9(1), 100–113. https://doi.org/https://doi.org/10.15294/jdm.v9i1.14656
   Google Scholar
• Micskei, Z., Madeira, H., Avritzer, A., Majzik, I., Vieira, M., & Antunes, N. (2012). Robustness testing techniques and tools. In Resilience assessment and evaluation of computing systems. Berlin, Heidelberg: Springer. https://doi.org/https://doi.org/10.1007/978-3-642-29032-9_16
   Google Scholar
• Neumayer, E., & Plumper, T. (2017). Robustness tests for quantitative research. In Robustness tests for quantitative research (Methodological tools in the social sciences). Cambridge: Cambridge University Press. https://doi.org/https://doi.org/10.1017/9781108233590
   Google Scholar
• Paul, S., & Mallik, G. (2003). Macroeconomic factors and bank and finance stock prices: The Australian experience. Economic Analysis and Policy, 33(1), 23–30. https://doi.org/https://doi.org/10.1016/S0313-5926(03)50002-9
   Google Scholar
• Quayes, S., & Jamal, A. (2008). Does inflation affect stock prices? Applied Economics Letters, 15(10), 767–769. https://doi.org/https://doi.org/10.1080/13504850600770871
   Google Scholar
• Safitri, I. R., & Kumar, S. (2014). The impact of interest rates, inflation, exchange rates and GDP on stock price index of plantation sector: Empirical analysis on BEI in the year of 2008-2012. In Trends in multidisciplinary business and economic research (pp. 55–61). Bangkok: Global Illuminators. https://www.globalilluminators.org/wp-content/uploads/2014/09/TMBER-14-121.pdf
   Google Scholar
• Talla, J. T. (2013). Impact of macroeconomic variables on the stock market prices of the stockholm stock exchange [Jönköping University]. In Jonkoping International Business School. http://www.diva-portal.org/smash/get/diva2:630705/FULLTEXT02
   Google Scholar
• Utami, W. R., Hartoyo, S., Nur, T., & Maulana, A. (2015). The effect of internal and external factors on stock return: Empirical evidence from the Indonesian construction subsector. Asian Journal of Business and Management, 03(05), 370–377. https://www.ajouronline.com/index.php/AJBM/article/download/3167/1661
   Google Scholar
• Widiatmoko, J., Indarti, M. G. K., & Pamungkas, I. D. (2020). Corporate governance on intellectual capital disclosure and market capitalization. Cogent Business and Management, 7(1), 1750332. https://doi.org/https://doi.org/10.1080/23311975.2020.1750332
   Google Scholar
• Wu, Y. (2001). Exchange rates, stock prices, and money markets: Evidence from Singapore. Journal of Asian Economics, 12(3), 445–458. https://doi.org/https://doi.org/10.1016/S1049-0078(01)00107-5
   Google Scholar
• Yang, A. S., & Pangastuti, A. (2016). Stock market efficiency and liquidity: The Indonesia stock exchange merger. Research in International Business and Finance, 36(1), 28–40. https://doi.org/https://doi.org/10.1016/j.ribaf.2015.09.002
   Google Scholar
• Zuhroh, I. (2020). How banking stock prices respond to gross domestic product, exchange rates and inflation: Empirical studies of Indonesia and Hong Kong. Jurnal Reviu Akuntansi Dan Keuangan, 10(1), 64–78. https://doi.org/https://doi.org/10.22219/jrak.v10i1.10539
   Google Scholar