Fakultas Ekonomi - Doktor Ilmu Manajemen, JOBMAN Vol. 1 No. 1, Januari 2014 (Views: 1312)

THE ANALYSIS OF THE INFLUENCE OF EXCHANGE RATE, BI RATE, INFLATION, DOW JONES INDUSTRIAL AVERAGE, HANG SENG INDEX, NIKKEI 225, STRAITS TIMES INDEX ON COMPOSITE STOCK PRICE INDEX IN INDONESIA

Tan Tjun Hwa

ABSTRAK

This research is intended to investigate and analyze the influence of macroeconomics and major stock exchange indices on composite stock price index in Indonesia from July 2005 to December 2011. This research uses ex post facto method and Granger Causality Test, Johansen Co-integration Test, Impulse Response, Variance Decomposition. The research variables are exchange rate (Rupiah-USD), BI Rate, Inflation, Dow Jones Industrial Average (DJIA), Hang Seng Index (HSI), Nikkei 225 (N225), Straits Times Index (STI) and Indeks Harga Saham Gabungan (IHSG) in Indonesia. The data used in this research is monthly time series, which is secondary data downloaded from both domestic and foreign websites. The theoretical concept which serves as the basis of this research is Multi Factor Model, International Financial Contagion Theory. Granger Causality Test result shows that BI Rate has a bigger influence on inflation. Co-integration Test result shows that DJIA, HSI, N225, STI and IHSG are weakly co-integrated. Impulse Response Test and Variance Decomposition in Vector Error Correction Model method show that BI Rate has a negative influence on IHSG, while exchange rate and inflation do not have a big influence on IHSG. Impulse Response Test and Variance Decomposition in Vector Auto Regression method show that DJIA and HSI have a positive influence on IHSG, while Nikkei 225 and STI do not have a big influence on IHSG.

Kata kunci: Macroeconomic Variables, Monthly Stock Price Index

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