Banking stock price movement and macroeconomic indicators: k-means clustering approach

This study investigates the price movement characteristics of banking issuers listed on the Indonesia Stock Exchange with macroeconomic indicators as an exogenous variable. By using the k-means clustering based on the monthly rate of return, banks are classified into three clusters, lower, middle, a...

Descripción completa

Guardado en:

Detalles Bibliográficos
Autores principales:	Idah Zuhroh, Mochamad Rofik, Abdelghani Echchabi
Formato:	article
Lenguaje:	EN
Publicado:	Taylor & Francis Group 2021
Materias:	banking stock price macroeconomic stock return k-means clustering Business HF5001-6182 Management. Industrial management HD28-70
Acceso en línea:	https://doaj.org/article/c891916058c24f3199d6214c35dbe53b
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

id	oai:doaj.org-article:c891916058c24f3199d6214c35dbe53b
record_format	dspace
spelling	oai:doaj.org-article:c891916058c24f3199d6214c35dbe53b2021-12-02T17:40:50ZBanking stock price movement and macroeconomic indicators: k-means clustering approach2331-197510.1080/23311975.2021.1980247https://doaj.org/article/c891916058c24f3199d6214c35dbe53b2021-01-01T00:00:00Zhttp://dx.doi.org/10.1080/23311975.2021.1980247https://doaj.org/toc/2331-1975This study investigates the price movement characteristics of banking issuers listed on the Indonesia Stock Exchange with macroeconomic indicators as an exogenous variable. By using the k-means clustering based on the monthly rate of return, banks are classified into three clusters, lower, middle, and upper clusters, with a cluster rank directly proportional to the average rate of return. Furthermore, each cluster formed is estimated using dynamic panel data regression with the generalized method of moment. This study shows that the price of banking issuers in the middle cluster is more reactive in dealing with interest rates and exchange rates. At the same time, the highest inflation coefficient exists in the upper cluster. The higher beta coefficient creates abnormal returns that allow for higher gains and line with the risk level. Meanwhile, the price effect in the previous period proved to be in line with the cluster level, indicating that higher clusters are more resilient. Therefore, referring to the possibility of abnormal returns and resilience to uncertainty, this study concludes that issuers in the middle cluster are more suitable for a short-term investment, while issuers in the upper cluster are for the long-term.Idah ZuhrohMochamad RofikAbdelghani EchchabiTaylor & Francis Grouparticlebanking stock pricemacroeconomicstock returnk-means clusteringBusinessHF5001-6182Management. Industrial managementHD28-70ENCogent Business & Management, Vol 8, Iss 1 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	banking stock price macroeconomic stock return k-means clustering Business HF5001-6182 Management. Industrial management HD28-70
spellingShingle	banking stock price macroeconomic stock return k-means clustering Business HF5001-6182 Management. Industrial management HD28-70 Idah Zuhroh Mochamad Rofik Abdelghani Echchabi Banking stock price movement and macroeconomic indicators: k-means clustering approach
description	This study investigates the price movement characteristics of banking issuers listed on the Indonesia Stock Exchange with macroeconomic indicators as an exogenous variable. By using the k-means clustering based on the monthly rate of return, banks are classified into three clusters, lower, middle, and upper clusters, with a cluster rank directly proportional to the average rate of return. Furthermore, each cluster formed is estimated using dynamic panel data regression with the generalized method of moment. This study shows that the price of banking issuers in the middle cluster is more reactive in dealing with interest rates and exchange rates. At the same time, the highest inflation coefficient exists in the upper cluster. The higher beta coefficient creates abnormal returns that allow for higher gains and line with the risk level. Meanwhile, the price effect in the previous period proved to be in line with the cluster level, indicating that higher clusters are more resilient. Therefore, referring to the possibility of abnormal returns and resilience to uncertainty, this study concludes that issuers in the middle cluster are more suitable for a short-term investment, while issuers in the upper cluster are for the long-term.
format	article
author	Idah Zuhroh Mochamad Rofik Abdelghani Echchabi
author_facet	Idah Zuhroh Mochamad Rofik Abdelghani Echchabi
author_sort	Idah Zuhroh
title	Banking stock price movement and macroeconomic indicators: k-means clustering approach
title_short	Banking stock price movement and macroeconomic indicators: k-means clustering approach
title_full	Banking stock price movement and macroeconomic indicators: k-means clustering approach
title_fullStr	Banking stock price movement and macroeconomic indicators: k-means clustering approach
title_full_unstemmed	Banking stock price movement and macroeconomic indicators: k-means clustering approach
title_sort	banking stock price movement and macroeconomic indicators: k-means clustering approach
publisher	Taylor & Francis Group
publishDate	2021
url	https://doaj.org/article/c891916058c24f3199d6214c35dbe53b
work_keys_str_mv	AT idahzuhroh bankingstockpricemovementandmacroeconomicindicatorskmeansclusteringapproach AT mochamadrofik bankingstockpricemovementandmacroeconomicindicatorskmeansclusteringapproach AT abdelghaniechchabi bankingstockpricemovementandmacroeconomicindicatorskmeansclusteringapproach
_version_	1718379728699654144

Banking stock price movement and macroeconomic indicators: k-means clustering approach

Ejemplares similares