Exploring the nexus between sectoral stock market fluctuations and macroeconomics changes before and during the COVID-19 pandemic

Figures & data

Figure 1. The value of industrial trade in 9 sectors in 2019.

Figure 2. Inflation rate trends in Indonesia for November 2019 to October 2020.

Figure 3. GDP growth rate trend from July 2017 to July 2020.

Table 1. The unit root tests. Results.

Variables	ADF I(0)	ADF I(1)	PP I(0)	PP I (1)
BIC	−0.9132	−11.5121	−0.9132	−15.5106
	(0.7820)	0.0000)***	(0.3626)	(0.0000)***
CGI	−1.7733	−11.5121	−1.7718	−11.4822
	(0.3926)	(0.0000)***	(0.3933)	(0.0000)***
MSI	−1.8676	−10.9795	−1.8631	−10.8928
	(0.3469)	(0.0000)***	(0.3490)	(0.0000)***
INF	−2.4150	−7.7846	−2.0957	−8.0441
	(0.1393)	(0.0000)***	(0.2468)	(0.0000)***
ER	−1.0476	−12.2690	−0.9892	−12.2979
	(0.7353)	(0.0000)***	(0.7564)	(0.0000)***

Note: (.) is significant value and *** is level of significance (1%).

Table 2. The results of modulus value.

Root	Modulus
0.416079	0.416079
−0.261508	0.261508
−0.164015	0.164015
0.115371	0.115371
0.000901	0.000901

Note: No root lies outside the unit circle.

Table 3. The results of Johansen cointegration.

Null hypotheses	T-Statistic		Critical value
	Trace	Max-Eigen	Trace	Max-Eigen
r = 0	54.3676	23.8731	60.0614	30.4396
r ≤ 1	30.4945	14.9149	40.1749	24.1592
r ≤ 2	15.5796	10.2033	24.2760	17.7973
r ≤ 3	5.3762	5.3762	12.3209	11.2248
r ≤ 4	2.69E-05	2.69E-05	4.1299	4.1299

Table 4. The results of the estimation model of a vector autoregression.

	DBIC	DMSI	DCGI	DINF	DER
DBIC(-1)	−0.226107	0.076070	−0.033381	−0.000682	−0.446448
	(0.10126)	(0.14866)	(0.18067)	(0.00125)	(0.80950)
	[−2.23300]**	[0.51169]	[−0.18476]	[−0.54380]	[−0.55151]
DBIC(-2)	0.053257	0.118502	−0.137710	0.000727	−0.431326
	(0.10106)	(0.14837)	(0.18031)	(0.00125)	(0.80791)
	[0.52699]	[0.79867]	[−0.76373]	[0.58115]	[−0.53388]
DMSI(-1)	0.068429	0.010276	0.023886	−0.000679	−0.749324
	(0.06892)	(0.10119)	(0.12297)	(0.00085)	(0.55097)
	[0.99289]	[0.10155]	[0.19425]	[−0.79574]	[−1.36002]
DMSI(-2)	0.025077	−0.194162	0.174762	−0.001241	0.013175
	(0.06895)	(0.10124)	(0.12303)	(0.00085)	(0.55125)
	[0.36368]	[−1.91788]**	[1.42048]	[−1.45449]	[0.02390]
DCGI(-1)	0.084436	0.049579	0.049641	0.000114	−0.181158
	(0.05531)	(0.08120)	(0.09868)	(0.00068)	(0.44217)
	[1.52660]	[0.61054]	[0.50303]	[0.16661]	[−0.40970]
DCGI(-2)	−0.080107	−0.031383	0.010004	0.001533	0.748173
	(0.05632)	(0.08268)	(0.10048)	(0.00070)	(0.45022)
	[−1.42246]	[−0.37956]	[0.09956]	[2.19893]**	[1.66181]*
DINF(-1)	−9.871645	−19.76286	−19.77492	0.444262	28.55991
	(6.57174)	(9.64854)	(11.7255)	(0.08134)	(52.5374)
	[−1.50214]	[−2.04828]**	[−1.68649]*	[5.46198]***	[0.54361]
DINF(-2)	6.144074	14.09414	16.34459	−0.149314	54.01678
	(6.61331)	(9.70958)	(11.7997)	(0.08185)	(52.8698)
	[0.92905]	[1.45157]	[1.38517]	[−1.82420]*	[1.02170]
DER(-1)	−0.007382	−0.025742	−0.016296	−3.71E-05	−0.081980
	(0.01154)	(0.01695)	(0.02059)	(0.00014)	(0.09227)
	[−0.63963]	[−1.51912]	[−0.79134]	[−0.26006]	[−0.88849]
DER(-2)	−0.001829	−0.007666	0.019543	3.89E-05	−0.186461
	(0.01154)	(0.01695)	(0.02059)	(0.00014)	(0.09227)
	[−0.15851]	[−0.45240]	[0.94905]	[0.27200]	[−2.02087]**
C	5.382584	4.642696	8.830304	−0.040728	44.99064
	(3.87868)	(5.69463)	(6.92045)	(0.04801)	(31.0079)
	[1.38774]	[0.81528]	[1.27597]	[−0.84841]	[1.45094]

Note: Standard errors in () & t-statistics in []. Included observations: 155 after adjustments. Level of significance ***(1%), **(5%), *(10%).

Table 5. The outcomes of variance decomposition.

Period	Variance Decomposition of D(BIC)		Variance Decomposition of D(CGI)		Variance Decomposition of D(INF)		Variance Decomposition of D(ER)		Variance Decomposition of D(MSI)
	D(BIC)	D(CGI)	D(CGI)	D(BIC)	D(INF)	D(CGI)	D(ER)	D(BIC)	D(MSI)	D(BIC)
1	100.00	0.00	83.86	16.14	99.89	0.00	79.41	18.00	62.24	18.10
2	94.04	3.27	81.67	15.84	98.94	0.02	77.15	18.35	57.89	18.79
3	92.46	4.79	80.06	15.52	95.77	1.14	74.23	17.79	58.05	18.45
4	92.33	4.79	80.03	15.49	95.12	1.61	74.17	17.79	57.58	18.58
5	92.14	4.89	79.88	15.46	94.83	1.73	74.16	17.77	57.58	18.58
6	92.12	4.91	79.87	15.46	94.77	1.74	74.16	17.77	57.58	18.57
7	92.12	4.91	79.86	15.46	94.76	1.74	74.15	17.77	57.58	18.57
8	92.12	4.91	79.86	15.46	94.76	1.74	74.15	17.77	57.58	18.57

Table 6. The results of Granger causality testing.

Variables	DMSI	DBIC	DCGI	DINF	DER
DMSI	–	2.14669 (0.1205)	0.65220 (0.5224)	0.42379 0.6554	2.35173 (0.0988)*
DBIC	1.00758 (0.3676)	–	0.27888 (0.7570)	0.69069 (0.5028)	0.59086 (0.5552)
DCG1	0.40038 (0.6708)	3.64979 (0.0284)**	–	1.76862 (0.1742)	2.40050 (0.0942)*
DINF	2.59091 (0.0783)*	1.42542 (0.2437)	1.99230 (0.1400)	–	0.02066 (0.2461)
DER	2.04738 (0.1327)	0.82394 (0.4407)	1.11151 (0.3318)	0.02066 (0.9796)	–

Note: **,* is significant at the level 5 percent and 10 percent.