Analisis Pengaruh Perubahan Tingkat Suku Bunga, Inflasi Dan Nilai Tukar Terhadap Indeks Harga Saham Gabungan

Handayani, Fitri and , Dr. Anton Agus Setyawan, S.E, M.Si., (2016) Analisis Pengaruh Perubahan Tingkat Suku Bunga, Inflasi Dan Nilai Tukar Terhadap Indeks Harga Saham Gabungan. Skripsi thesis, Universitas Muhammadiyah Surakarta.

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Abstract

This research aimed at viewing empirically the influences of macroeconomic variables, they were: interest rate, inflation, and exchange rate, in Jakarta Composite Index (JCI) in Indonesia Stock Exchange. The data used were secondary data in the form of monthly data from January 2007 to December 2011. Therefore, it was obtained samples as many as 60, which fulfilled the amount of small sample for normal distribution. The technique of analysis used was analysis of time series regression with a dynamic model. t test and F test were used to test the hypothesis of research. The results of tests concluded that; first, interest rate and exchange rate influenced negatively and significantly on Jakarta Composite Index. Meanwhile, inflation had a positive but not significant influence on Jakarta Composite Index. Simultaneously, the three independent variables were able to explain the variability of Jakarta Composite Index as much as 70.98%. This research only used four macroeconomic variables, therefore, next researchs need to find other macroeconomic variables allegedly influence JCI. Keywords: interest rate, inflation, exchange rate and Jakarta Composite Index (JCI). ABSTRAK Penelitian ini bertujuan untuk melihat secara empiris pengaruh variabel-variabel makroekonomi, yaitu: tingkat suku bunga, inflasi dan nilai tukar terhadap IHSG di Bursa Efek Indonesia. Data yang digunakan yaitu data sekunder yang berupa data bulanan dari bulan Januari 2007 sampai Desember 2011. Dengan demikian diperoleh sampel sebanyak 60, yang berarti memenuhi jumlah sampel kecil untuk distibusi normal. Teknis analisis yang digunakan adalah analisis regresi time series dengan model dinamis. Uji t dan uji F digunakan untuk menguji hipotesis penelitian. Hasil pengujian menyimpulkan bahwa; pertama, tingkat suku bunga dan nilai tukar berpengaruh negatif secara signifikan terhadap Indeks Harga Saham Gabungan. Sedangkan inflasi berpengaruh positif dan tidak signifikan terhadap Indeks Harga Saham Gabungan. Secara simultan ketiga variabel independen tersebut mampu menjelaskan variabilisat Indeks Harga Saham Gabungan sebesar 70,98%. Penelitian ini hanya menggunakan empat variabel makroekonomi, sehingga penelitian selanjutnya perlu menemukan variabel makroekonomi lain yang diduga berpengaruh terhadap IHSG.

Item Type:	Karya ilmiah (Skripsi)
Uncontrolled Keywords:	interest rate, inflation, exchange rate and Jakarta Composite Index (JCI)., Tingkat Suku Bunga, Inflasi, Nilai Tukar Dan Indeks Harga Saham Gabungan (IHSG).
Subjects:	H Social Sciences > H Social Sciences (General) H Social Sciences > HB Economic Theory
Divisions:	Fakultas Ekonomi dan Bisnis > Manajemen
Depositing User:	Unnamed user with username b100120112
Date Deposited:	01 Feb 2016 06:20
Last Modified:	30 Dec 2016 11:46
URI:	http://eprints.ums.ac.id/id/eprint/40471

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