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Pull Factor and Push Factor Influences on the Volatility of Foreign Investment Flows in Indonesian Capital Market

Management Analysis Journal · Vol. 7 No. 2 (2018) · hlm. 231–243

DOI
10.15294/maj.v7i2.23854
ISSN
2502-1451, 2252-6552
Terbit
2018-06-06
Penerbit
Universitas Negeri Semarang
Bahasa
eng

Abstrak

The purpose of this study is to determine the factors that affect the flow of foreign investment into the Indonesian Stock Market that includes the factors of return, risk, and inflation derived from foreign markets/ global (push factor) and from the domestic market (pull factor). Testing is done by using analysis model Autoregressive Conditional Heteroscedasticity (ARCH) and Generalized Autoregressive Conditional Heteroscedasticity (GARCH). Testing is done with six estimation models among them ARCH, GARCH, ARCH-M (2,1), ARCH-M (2,2), Treshold Autoregressive Conditional Heteroscedasticity (TARCH), dan Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH). Using the significance of estimation parameters, goodness of fit model, Akaike’s Information Criterion test, Schwarz Information test, and ARCH effect test, found the best model is ARCH-M (2,1) estimation model. The results of testing with ARCH-M (2,1) model showed that the return and domestic risk (pull factor) significantly have a relation with the flow of foreign investment in Indonesia Stock Exchange, while return, risk, global inflation (push factor), and domestic inflation have no significant effect.

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  • State University of Semarang
  • Diponegoro University
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Rekan penulisOrganisasiArtikel bersama
Moh KhoiruddinState University of Semarang1
Ketut SudarmaState University of Semarang1
Ascariena RafindaState University of Semarang1
Anindya ArdiansariState University of Semarang1
Fafurida FafuridaState University of Semarang1
Harjum MuharamDiponegoro University1
Elsa Nur Rizky FayzatyState University of Semarang1
Kris Brantas AbiprayuState University of Semarang1
Erisa Aprilia WicaksariState University of Semarang1
Nabila Rifa HanifahState University of Semarang1
Santi MaharaniState University of Semarang1
Siti BarokahAfiliasi tidak diketahui1
Riski AmaliyahAfiliasi tidak diketahui1
Dina Christina RaharjoState University of Semarang1
Iwan FadilahState University of Semarang1
Nur ChalimahState University of Semarang1
Kharisma ZuliardiState University of Semarang1
Sari Fitri FatimahState University of Semarang1
Bibit RobiatunState University of Semarang1
Elisa FajarwatiState University of Semarang1

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Sumber metadata: OAI-PMH (metadata jurnal) https://journal.unnes.ac.id/sju/index.php/maj/oai, pertama di-harvest 6 Nov 2026, terakhir terlihat 6 Nov 2026.
Metadata asli (oai_dc) 
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	<dc:title xml:lang="en-US">Pull Factor and Push Factor Influences on the Volatility of Foreign Investment Flows in Indonesian Capital Market</dc:title>
	<dc:creator>Chakimatuzzahroh, Chakimatuzzahroh</dc:creator>
	<dc:creator>Witiastuti, Rini Setyo</dc:creator>
	<dc:description xml:lang="en-US">The purpose of this study is to determine the factors that affect the flow of foreign investment into the Indonesian Stock Market that includes the factors of return, risk, and inflation derived from foreign markets/ global (push factor) and from the domestic market (pull factor). Testing is done by using analysis model Autoregressive&amp;nbsp; Conditional Heteroscedasticity&amp;nbsp; (ARCH) and Generalized&amp;nbsp; Autoregressive&amp;nbsp; Conditional&amp;nbsp; Heteroscedasticity (GARCH). Testing is done with six estimation models among them ARCH, GARCH, ARCH-M (2,1), ARCH-M (2,2), Treshold Autoregressive Conditional Heteroscedasticity (TARCH), dan Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH). Using the significance of estimation parameters, goodness of fit model, Akaike’s Information Criterion test, Schwarz Information test, and ARCH effect test, found the best model is ARCH-M (2,1) estimation model. The results of testing with ARCH-M (2,1) model showed that the return and domestic risk (pull factor) significantly have a relation with the flow of foreign investment in Indonesia Stock Exchange, while return , risk, global inflation (push factor), and domestic inflation have no significant effect.</dc:description>
	<dc:publisher xml:lang="en-US">Universitas Negeri Semarang</dc:publisher>
	<dc:date>2018-06-06</dc:date>
	<dc:type>info:eu-repo/semantics/article</dc:type>
	<dc:type>info:eu-repo/semantics/publishedVersion</dc:type>
	<dc:type xml:lang="en-US">Peer-reviewed Article</dc:type>
	<dc:format>application/pdf</dc:format>
	<dc:identifier>https://journal.unnes.ac.id/sju/maj/article/view/23854</dc:identifier>
	<dc:identifier>10.15294/maj.v7i2.23854</dc:identifier>
	<dc:source xml:lang="en-US">Management Analysis Journal; Vol 7 No 2 (2018): Management Analysis Journal; 231-243</dc:source>
	<dc:source>2502-1451</dc:source>
	<dc:source>2252-6552</dc:source>
	<dc:source>10.15294/maj.v7i2</dc:source>
	<dc:language>eng</dc:language>
	<dc:relation>https://journal.unnes.ac.id/sju/maj/article/view/23854/11916</dc:relation>
	<dc:rights xml:lang="en-US">Copyright (c) 2018 Management Analysis Journal</dc:rights>
</oai_dc:dc>