WULANDARI, WINDA (2019) DAMPAK KURS, SBI, INFLASI DAN INDEKS NIKKEI 225 TERHADAP INDEKS HARGA SAHAM GABUNGAN DI BURSA EFEK INDONESIA. S1 thesis, UNIVERSITAS SULTAN AGENG TIRTAYASA.
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DAMPAK KURS, SBI, INFLASI DAN INDEKS NIKKEI 225 TERHADAP INDEKS HARGA SAHAM GABUNGAN DI BURSA EFEK INDONESIA.PDF Restricted to Registered users only Download (2MB) |
Abstract
The purpose of this study is to analyze the impact of exchange rate, SBI, inflation and nikkei 225 indexes on the composite stock price index in the Indonesian stock market. The data used in this study are time series data from the period of January 2013 to December 2017. This study uses the method of vector error correction model (VECM). The results of this study indicate that there is a causal relationship in which the variable that shows the originality is that there is a two-way relationship between inflation against SBI as well as a two-way relationship between SBI and inflation. Whereas the granger causality test can also show the existence of five one-way relationships including the Composite Stock Price Index to the Exchange Rate, the Composite Stock Price Index to the Nikkei 225 Index, the Exchange Rate against SBI, the Exchange Rate to Inflation, and the Nikkei 225 Index to the Exchange Rate. In this study shows the long-term relationship between the Exchange Rate and Inflation variables show a positive effect on the composite stock price index while the SBI variable and the Nikkei 225 Index have a negative influence on the Composite Stock Price Index. Keywords: Composite Stock Price Index (IHSG), Exchange Rate, SBI, Inflation, and VECM.
| Item Type: | Thesis (S1) | |||||||||
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| Additional Information: | Tujuan dari penelitian ini adalah untuk menganalisis dampak variabel kurs, SBI, inflasi dan indeks nikkei 225 terhadap indeks harga saham gabungan dibursa efek Indonesia. Data yang digunakan dalam penelitian ini merupakan data runtun waktu dari periode Januari 2013 sampai Desember 2017. Penelitian ini menggunakan metode analisis Vector Error Corection Model (VECM). Hasil penelitian ini menunjukan bahwa adanya hubungan kausalitas yang dimana variabel yang menunjukan kauasalitas adalah terdapat hubungan dua arah antara inflasi terhadap SBI begitu juga terdapat hubungan dua arah SBI terhadap Inflasi. Sedangkan dalam uji kausalitas granger juga dapat menunjukan adanya lima hubungan satu arah yang meliputi Indeks Harga Saham Gabungan terhadap Kurs, Indeks Harga Saham Gabungan terhadap Indeks Nikkei 225, Kurs terhadap SBI, Kurs terhadap Inflasi, dan Indeks Nikkei 225 terhadap Kurs. Dalam penelitian ini menunjukan hubungan jangka panjang antar variabel Kurs dan Inflasi menunjukan pengaruh positif terhadap indeks harga saham gabungan sedangkan variabel SBI dan Indeks Nikkei 225 memiliki pengaruh negatif terhadap Indeks Harga Saham Gabungan. Kata Kunci : Indeks Harga Saham Gabungan (IHSG), Kurs, Sertifikat Bank Indonesia (SBI), Inflasi, dan VECM. | |||||||||
| Subjects: | H Social Sciences > HB Economic Theory | |||||||||
| Divisions: | 05-Fakultas Ekonomi dan Bisnis 05-Fakultas Ekonomi dan Bisnis > 60201-Program Sarjana Ilmu Ekonomi Pembangunan |
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| Depositing User: | Admin Eprints Untirta | |||||||||
| Date Deposited: | 13 Oct 2021 08:21 | |||||||||
| Last Modified: | 13 Oct 2021 08:21 | |||||||||
| URI: | http://eprints.untirta.ac.id/id/eprint/2866 |
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