The Dynamic Interaction between Macroeconomic and Stock Market in Indonesia

:The study of the determinants of the stock market has emerged recently. The literature focused on the effect of macroeconomic variables on the stock market volatility as well as the impact shock of each macroeconomic variable o the stock market. This study attempts to analyze the dynamic relationship between macroeconomic variables on the stock market volatility in Indonesia. We apply structural vector autoregression (SVAR) include the long-run and the impulse response function. The result shows that risk premium shock, first demand shock, and foreign shock have a positive effect on the stock market before the fifth period. The second demand shock, supply shock, and the aggregate demand shock have different effects for all of the long horizon.