Irawan, Bayu Randi (2015) ANALISIS SHOCK HARGA EMAS TERHADAP INDEKS HARGA SAHAM GABUNGAN (IHSG) DI BURSA EFEK INDONESIA (BEI). S1 thesis, Universitas Sultan Ageng Tirtayasa.
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ANALISIS SHOCK HARGA EMAS TERHADAP INDEKS HARGA SAHAM GABUNGAN.pdf - Published Version Restricted to Registered users only Download (1MB) |
Abstract
By using VAR (Vector Autoregression), this study tried to see the gold price shock to Composite Stock Price Index (CSPI) in Indonesian Stock Exchange. In research methods VAR (Vector Autoregression) added exogenous variables of which the exchange rate, inflation and BI Rate. Observation of samples in this study are monthly data from 2008 to 2014 period. The formation of the VAR model through several steps, namely: stationarity test, determination of the optimal lag length, the formation of the VAR model. Stationarity test in VAR using unit root test with the Augmented Dickey Fuller Test method (ADF Test). Determination of the optimal lag length views of the value of the minimum Akaike Information Criteria (AIC). As for the simultaneous and partial test performed using the amount of lag in accordance with the amount of lag that is obtained from the value by the minimumof Akaike Information Criteria (AIC). By using the VAR model are shown by the Impulse Response Function and Variance Decomposition. The results showed empirically that unit root test with Augmented DickeyFuller (ADF) method shows that three variables have a unit roots or not stationary at the data level, but stationary in first difference is the level of these variables have the same degree of integration in the I (1).Determination of the optimal lag length views of Akaike Information Criteria minimum value (AIC) obtained 2. Based on the analysis of the Impulse Response Function and Variance Decomposition, in general it can be concluded that each variable can explain to each other in the event of a shock to one of the variables, but portion explanation of each variable is still dominated by itself.
| Item Type: | Thesis (S1) | |||||||||
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| Additional Information: | Dengan menggunakan metode VAR (Vector Autoregression), penelitian ini mencoba melihat shock harga emas terhadap indeks harga saham gabungan (IHSG) di bursa efek Indonesia. Dalam penelitian metode VAR (Vector Autoregression) ini menambahkan variabel eksogen antaranya kurs rupiah, inflasi dan BI Rate. Observasi sampel dalam penelitian ini adalah data bulanan periode 2008-2014. Pembentukan model VAR melalui beberapa tahap yaitu: uji stasioneritas, penentuan panjang lag optimal, pembentukan model VAR. Uji stasioneritas dalam VAR menggunakan uji akar-akar unit (unit root test) dengan metode Augmented Dickey Fuller Test (ADF Test). Penentuan panjang lag optimal dilihat dari nilai Akaike Information Criteria (AIC) yang paling minimum. Sedangkan untuk uji simultan dan parsial dilakukan dengan menggunakan jumlah lag sesuai dengan jumlah lag yang diperoleh dari nilai Akaike Information Criteria (AIC) yang paling minimum. Dengan menggunakan model VAR yang ditunjukan oleh Impulse Response Function maupun Variance Decomposition. Hasil penelitian menunjukkan secara empiris bahwa uji akar unit (unit root test) dengan metode Augmented Dickey-Fuller (ADF) menunjukkan bahwa ketiga variabel memiliki unit root atau tidak stasioner (non stationary) pada data level, namun stasioner pada tingkat first difference yaitu variabel-variabel tersebut mempunyai derajat integrasi yang sama pada I(1). Penentuan panjang lag optimal dilihat dari nilai minimum Akaike Information Criteria (AIC) yang diperoleh 2. Berdasarkan hasil analisis terhadap Impulse Response Function dan Variance Decomposition, secara umum dapat disimpulkan bahwa masing-masing variabel dapat saling menjelaskan apabila terjadi shock terhadap salah satu variabel, namun porsi penjelasan masing-masing variabel masih didominasi oleh dirinya sendiri. | |||||||||
| Uncontrolled Keywords: | CSPI, Gold Price, Rupiah Exchange Rate, Inflation and BI Rate IHSG, Harga Emas, Kurs Rupiah, Inflasi, BI Rate dan VAR. | |||||||||
| 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: | Perpustakaan Pusat | |||||||||
| Date Deposited: | 11 Apr 2022 10:56 | |||||||||
| Last Modified: | 11 Apr 2022 10:56 | |||||||||
| URI: | http://eprints.untirta.ac.id/id/eprint/11900 |
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