Dwi Yanti, Elsa (2023) ANALISIS INDIKATOR MAKROEKONOMI YANG MEMPENGARUHI HARGA SAHAM DI INDONESIA. S1 thesis, UNIVERSITAS SULTAN AGENG TIRTAYASA.
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Abstract
The purpose of this study is to find out how the response of the variable stock prices in Indonesia when a shock occurs in the variables of world crude oil prices, interest rates and inflation in the short and long term. In addition, this study also aims to determine the effect of crude oil prices, interest rates, and inflation on stock prices in Indonesia in the short and long term. The data used in this study is time series data from January 2008 to December 2022. The method used in this study is the Vector Error Correction Model (VECM). The results of this study indicate that the stock price response to the stock price shock itself is positive, the stock price response to the crude oil price shock is negative, and the stock price response to the interest rate shock tends to respond positively. This study shows that in the long run the influence of the crude oil price variable and the interest rate variable has a significant negative effect, the inflation variable has a significant positive effect on stock prices in Indonesia. In the short term, the influence of crude oil price variables and interest rates has no significant negative effect, while the inflation variable has no significant positive effect on stock prices in Indonesia.
| Item Type: | Thesis (S1) | |||||||||
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| Additional Information: | Tujuan dari penelitian ini yaitu untuk mengetahui bagaimana respon variabel Harga saham di indonesia apabila terjadi shock pada variabel harga minyak mentah dunia, suku bunga, dan inflasi dalam jangka pendek maupun jangka panjang. Selain itu penelitian ini juga bertujuan untuk mengetahui pengaruh variabel Harga minyak mentah, Suku bunga, dan Inflasi terhadap Harga Saham di Indonesia dalam jangka pendek dan jangka panjang. Data yang digunakan dalam penelitian ini merupakan data time series dari periode Januari 2008 sampai Desember 2022. Metode yang digunakan dalam penelitian adalah Vector Error Correction Model (VECM).Hasil penelitian ini menunjukan respon harga saham akibat adanya shock harga saham itu sendiri adalah positif, respon harga saham akibat adanya shock harga minyak mentah adalah negatif, dan respon harga saham akibat adanya shock suku bunga adalah cenderung merespon secara positif. Dalam penelitian ini menunjukan dalam jangka panjang pengaruh variabel harga minyak mentah dan variabel suku bunga berpengaruh negatif signifikan, variabel inflasi berpengaruh positif signifikan terhadap harga saham di Indonesia. Dalam jangka pendek pengaruh variabel harga minyak mentah, dan suku Bunga berpengaruh negatif tidak signifikan, sedangkan variabel inflasi berpengaruh positif tidak signifikan terhadap harga saham di Indonesia. | |||||||||
| Uncontrolled Keywords: | Harga Saham, Harga Minyak Mentah, Suku Bunga, Inflasi, dan VECM | |||||||||
| Subjects: | H Social Sciences > HA Statistics H Social Sciences > HB Economic Theory H Social Sciences > HC Economic History and Conditions H Social Sciences > HJ Public Finance |
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| Divisions: | 05-Fakultas Ekonomi dan Bisnis 05-Fakultas Ekonomi dan Bisnis > 60201-Program Sarjana Ilmu Ekonomi Pembangunan |
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| Depositing User: | Elsa Dwiyanti | |||||||||
| Date Deposited: | 20 Sep 2023 10:35 | |||||||||
| Last Modified: | 02 Nov 2023 11:23 | |||||||||
| URI: | http://eprints.untirta.ac.id/id/eprint/29416 |
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