FOREIGN VS DOMESTIC STOCK INVESTORS – CAUSAL RELATIONSHIP IN THE FIRST HALF OF PRABOWO’S PRESIDENTIAL LEADERSHIP
Keywords:
oreign and Domestic Investors, Indonesian Stock Market, Granger Causality, Market Return DynamicsAbstract
This research dwells on the dynamic interaction between foreign and domestic investors in the Indonesian stock market during the first half of President Prabowo Subianto’s leadership. Using daily data on foreign and domestic buy and sell transaction values and volumes from October 2024 to April 2025, along with IHSG daily return, Granger causality tests are conducted to identify causality through lead–lag relationships. The results show a feedback trading among domestic investors, reflected in bidirectional causality between domestic purchase and sales values. Domestic investors purchase decision also affected by the previous foreign purchase and previous market return. On the other hand, trading volume plays a limited role. Overall, the dynamic between foreign and domestic investors during the research period is driven mainly by price rather than trading volume.
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