The Causality Relationship between Exchange Rate and Stock Price in Indonesia

This study investigates the interaction between exchange rate and stock price in Indonesia with the data derived from the year of 2002-2006. The motivation of this study is to establish a causality linkage between those markets to find how strong the result will impact Indonesian economic condition. There is short term causality relationship between exchange rate and stock price index of the companies listed in Indonesia Stock Exchange for the years of 2002 to 2006.