Relationship between Stock Price and Exchange Rate in Indonesia (Empirical Study at Macro and Micro Level)

The relationship between the exchange rate and the stock price has been widely studied. This is due to the variety of existing research results on the relationship between the two variables. In addition, high volatility both from exchange rates and stock prices often give unexpected influence to each other. The purpose of this study is to get an idea about relationship and direction of the influence of the exchange rate and stock price in two levels. At macro level when exchange rate associated with Indonesia Composite Stock Price Index (JCI) and at micro level when series of test applied between exchange rate and companies stock price (sample from agricultural industry). The data that had been transformed into natural logarithm then undergoing a series of tests such as unit root test, cointegration test, VAR / VECM test, and Granger causality test. The results show that there is a two-way relationship between JCI and exchange rate and there are mixed result about relationship of exchange rate and stocks price at the micro level.