Macroeconomic Determinants of Stock Market in the United States and a China-Related Market: English

Ardika Tristyanto; aminudin Ma'ruf

doi:10.26740/independent.v6i1.74671

Penulis

Ardika Tristyanto Universitas Negeri Surabaya
aminudin Ma'ruf Universitas Negeri Surabaya

DOI:

https://doi.org/10.26740/independent.v6i1.74671

Kata Kunci:

Pasar Saham, bitcoin

Abstrak

Studi ini menganalisis determinan makroekonomi jangka pendek yang memengaruhi dinamika pasar saham di Amerika Serikat dan pasar saham yang terkait dengan China menggunakan pendekatan Autoregressive Distributed Lag (ARDL). Data bulanan digunakan untuk Indeks S&P 500 dan Indeks Hang Seng, bersama dengan variabel makroekonomi utama: Ketidakpastian Kebijakan Ekonomi (EPU), Indeks Harga Konsumen (CPI), Indeks Produktivitas Industri (IPI), dan harga Bitcoin (BTC). Hasil uji akar unit menunjukkan urutan integrasi yang campur aduk, mendukung penggunaan kerangka ARDL. Namun, uji batas tidak menemukan bukti kointegrasi, menunjukkan ketidakhadiran hubungan jangka panjang dan membenarkan fokus pada dinamika jangka pendek. Temuan menunjukkan ketidakseimbangan pasar yang jelas. Di Amerika Serikat, produksi industri memiliki efek negatif yang signifikan terhadap pengembalian saham, sementara harga BTC memberikan pengaruh positif dan signifikan, mencerminkan perilaku risiko dan efek likuiditas. Di sisi lain, EPU di China menunjukkan efek positif dan hampir signifikan, menyarankan bahwa ketidakpastian dipandang sebagai sinyal potensi intervensi kebijakan. Inflasi tetap tidak signifikan di kedua pasar, menyoroti perbedaan struktural antara ekonomi yang matang dan ekonomi yang didorong oleh kebijakan.

Kata Kunci: S&P 500, Index Hang Seng, Ketidakpastian Kebijakan Ekonomi, Indeks Harga Konsumen Indeks Produktivitas Industri, Bitcoin, United States and China

Unduhan

Data unduhan belum tersedia.

Referensi

Ahmed, M. Y., Sarkodie, S. A., & Leirvik, T. (2023). Mutual coupling between stock market and cryptocurrencies. Heliyon, 9(5), 8–9. Https://doi.org/10.1016/j.heliyon.2023.e16179

Amiti, M., Gomez, M., Kong, S. H., & Weinstein, D. (2025). Trade Protection, Stock-Market Returns, and Welfare. Http://www.nber.org/papers/w28758

Baum, C. F., A. Kurov, & M. H. Wolfe. (2015). What do Chinese macro announcements tell us about the world economy? Journal of International Money and Finance, 59, 100–122. https://doi.org/10.1016/j.jimonfin.2015.07.002

Cai, Y., Tao, Y., & Yan, Z. (2020). Stock market trading volumes and economic uncertainty dependence: before and during Sino-U.S. trade friction. Economic Research-Ekonomska Istrazivanja, 33(1), 1711–1728. Https://doi.org/10.1080/1331677X.2020.1758185

Chen, J., Jiang, F., & Tong, G. (2017). Economic Policy Uncertainty in China and Stock Market Expected Returns. SSRN Electronic Journal. Https://doi.org/10.2139/ssrn.2808862

Chen, Y., & Li, M. (2024). Empirical Project Economic Forces in Stock Returns. https://doi.org/10.48550/arXiv.2401.04132

Chen, Z. (2025). From Disruption to Integration: Cryptocurrency Prices, Financial Fluctuations, and Macroeconomy. Journal of Risk and Financial Management, 18(7). Https://doi.org/10.3390/jrfm18070360

Chiang, T. C., & Chen, X. (2017). Stock Market Activities and Industrial Production Growth: Evidence from 20 International Markets (pp. 39–75). Https://doi.org/10.1108/s2514-465020170000001003

Conlon, T., Corbet, S., & mcgee, R. J. (2020). Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic. Research in International Business and Finance, 54. Https://doi.org/10.1016/j.ribaf.2020.101248

Fajgelbaum, P. D., Goldberg, P. K., Kennedy, P. J., & Khandelwal, A. K. (2019). The return to protectionism. Http://www.nber.org/papers/w25638

Guenichi, H., Khalfaoui, H., & Chouaibi, N. (2021). The impact of own-country, USA and China’s economic policy uncertainty on stock market returns: evidence from war, epidemic and financial crisis periods. International Journal of Sustainable Economy, 13(2), 126–149. Https://doi.org/10.1504/ijse.2021.114618

Gutierrez, G., Turen, J., & Vicondoa, A. (2025). Global Financial Spillovers of Chinese Macroeconomic Surprises. Https://doi.org/10.5089/9798229015240.001

Heinlein, R., & Lepori, G. M. (2022). Do financial markets respond to macroeconomic surprises? Evidence from the UK. Empirical Economics, 62(5), 2329–2371. Https://doi.org/10.1007/s00181-021-02108-1

Jacob, T., Malavika, M., & Raphael, R. (2025). The Impact of Inflation on Stock Market Return: Evidence from China. Review of Professional Management, 20–34. Https://doi.org/10.1177/09728686241304850

Javaheri, B., habibi, F., & Amani, R. (2022). Economic policy uncertainty and the US stock market trading: non-ARDL evidence. Future Business Journal, 8(1), 5–8. Https://doi.org/10.1186/s43093-022-00150-8

Kang, D., Ryu, D., & Webb, R. I. (2025). Bitcoin as a financial asset: a survey. Financial Innovation, 11(1). Https://doi.org/10.1186/s40854-025-00773-0

Khan, M. A., Ahmed, M., Popp, J., & Oláh, J. (2020). US Policy Uncertainty and Stock Market Nexus Revisited through Dynamic ARDL Simulation and Threshold Modelling. Mathematics, 8(11), 1–20. Https://doi.org/10.3390/math8112073

Lardy, N. R., & Huang, T. (2020). 20-17 China’s Financial Opening Accelerates. Https://www.piie.com/publications/policy-briefs/chinas-financial-opening-accelerates

Li, P., Li, J., Huang, L., & Cui, Z. (2023). Volatility Spillovers between Bitcoin and Chinese Financial Markets. Procedia Computer Science, 221, 1474–1484. Https://doi.org/10.1016/j.procs.2023.08.014

LI, T. H., Londono, J. M., & Ma, S. (2025). The Global Transmission of Inflation Uncertainty. Https://doi.org/10.17016/2380-7172.3692.

Morrison, W. M. (2019). China’s Economic Rise: History, Trends, Challenges, and Implications for the United States. Https://www.congress.gov/crs-product/RL33534

Muth, & John F. (1961). Rational Expectations and the Theory of Price Movements. In Econometrica (Vol. 29, Issue 3). Https://doi.org/10.2307/1909635.

Nguyen Phuc Canh, Schiunckus Christophe, Nguyen Quang Binh, Lai Trung Thanh, & Nguyen Ai Nhi. (2025). Economic policy uncertainty and firm- level stock returns: Further evidence from

China. Journal of International Studies, 18(1), 216–231. Https://doi.org/10.14254/2071-8330.2025/18-1/13

Obstfeld, M. (2019). Global Dimensions of U.S. Monetary Policy. Https://doi.org/10.3386/w26039.

Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics 16,No.3, 289–326. Http://www.jstor.org/stable/2678547.

Schnorpfeil, P., Weber, M., & Hackethal, A. (2024). Inflation and Trading. Https://doi.org/10.2139/ssrn.4822700

Shao, Y.H., Yang, Y.H., & Zhou, W.X. (2022). How does economic policy uncertainty come with stock markets: New evidence from symmetric thermal optimal path method. Https://doi.org/10.1016/j.physa.2022.127745

Shrestha, M. B., & Bhatta, G. R. (2018). Selecting appropriate methodological framework for time series data analysis. Journal of Finance and Data Science, 4(2), 71–89. Https://doi.org/10.1016/j.jfds.2017.11.001

Subhani, Imtiaz M., Osman, & Amber (2011). Stock market reactions due to announcements of consumer price index and the investigation of endogeneity. In utc published d in interdisciplinary journal of contemporary research in business (Vol. 34725, Issue 1). Https://mpra.ub.uni-muenchen.de/id/eprint/34725

Wang, R., & Li, L. (2020). Dynamic relationship between the stock market and macroeconomy in China (1995–2018): new evidence from the continuous wavelet analysis. Economic Research-Ekonomska Istrazivanja , 33(1), 521–539. Https://doi.org/10.1080/1331677X.2020.1716264

Wang, Y., & Kong, D. (2022). Economic Policy Uncertainty and the Energy Stock Market: Evidence From China. Energy Research Letters, 3(1), 1–3. Https://doi.org/10.46557/001c.28171

Xie Wenhao, & Cao Guangxi. (2024). Dynamic Spillover effects between Cryptocurrencies and China’s Financial Markets: New evidence from a TVP-VAR extended joint connectedness approach. Https://doi.org/10.2139/ssrn.4769838

Yue, P., Fan, Y., Batten, J. A., & Zhou, W.X. (2020). Information transfer between stock market sectors: A comparison between the USA and China. 4–8. Https://doi.org/10.3390/e22020194

Zhang, Hu, M., & Ji, Q. (2020). Financial markets under the global pandemic of COVID-19. Finance Research Letters, 36. Https://doi.org/10.1016/j.frl.2020.101528

Zhang, Y., & Zhang, Y. (2024). A Study on the Relationship Between Bitcoin and Stock Market Volatility under Different Policy Environments. International Journal of Global Economics and Management, 3(3), 1–11. Https://doi.org/10.62051/ijgem.v3n3.01

Zhao, M., & Park, H. (2024). Research on the Dynamic Interrelationship between Economic Policy Uncertainty and Stock Market Returns. Journal of Risk and Financial Management, 17(8), 12–13. Https://doi.org/10.3390/jrfm17080347