COMPARISON ANALYSIS OF CLAYTON, GUMBEL, AND FRANK COPULA FOR MODELING THE DEPENDENCE BETWEEN BBCA CLOSING PRICE AND INDONESIA MACROECONOMIC FACTORS

Abstract

PT. Bank Central Asia Tbk is a company in Indonesia with the biggest market capitalization. These advantages attract investors to buy PT. Bank Central Asia Tbk (BBCA) shares. However, fluctuating share prices can lead to both gains and losses, where these are not entirely caused by the company’s finances, but also by the country’s macroeconomic conditions. Therefore, this study aims to examine the dependency between BBCA closing price and macroeconomic indicators, which are limited on only three macroeconomic variables, consists of inflation, interest, and USD-IDR exchange rate. This study compares the Clayton, Gumbel, and Frank copula to analyze the dependence characteristics between two non-normally distributed variables based on the highest log-likelihood value. The data used are monthly data from 2021 to 2023, consists of inflation and interest rate from Bank Indonesia website, USD-IDR exchange rate from Satu Data Kementerian Perdagangan website, alongside BBCA closing price from yahoo finance website. Based on the analysis, the best copula models to describe the relationship between each macroeconomic factor (inflation, interest, exchange rate) and BBCA closing price respectively is Clayton copula with parameter 2.042, Frank copula with parameter 10.3, and Frank copula with parameter 5.891. These findings indicate that inflation shows a strong dependence with BBCA closing price when both variables are low, while exchange rate and interest rate exhibit strong dependence with BBCA closing price when these variables are high. It provides valuable insights into the asymmetric relationships between macroeconomic conditions and stock prices, offering practical relevance for investors and policymakers.