ANALISIS DETERMINAN INDEKS SAHAM SEKTOR KEUANGAN DI BURSA EFEK INDONESIA

YUSMIA, LIZA (2021) ANALISIS DETERMINAN INDEKS SAHAM SEKTOR KEUANGAN DI BURSA EFEK INDONESIA. S2 thesis, Universitas Mercu Buana Jakarta.

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Abstract

This study aims to examine macroeconomic variables on the financial sector stock index on the Indonesia Stock Exchange. This study uses the Vector Error Correction Model (VECM) method using monthly data on the financial sector stock index as the dependent variable and GDP quarterly data, as well as monthly data on inflation, BI interest rates, exchange rates, Fed rates, gold prices, crude oil prices. , and the S&P 500 index as an independent variable with a range of data from January 2014 to August 2019. The results obtained from this study are the shocks in the BI interest rate variable and the exchange rate have a positive response in the long term, while the variables GDP, inflation, and interest rates. The Fed, gold prices, crude oil prices, and the S&P 500 index responded negatively in the long term by the financial sector stock index. In addition, the BI interest rate variable has the greatest contribution to changes in the financial sector stock index. Keywords: Determinant, Financial Sector Stock Index, IDX, VAR, VECM Penelitian ini bertujuan untuk mengkaji variabel makroekonomi terhadap indeks saham sektor keuangan di Bursa Efek Indonesia. Penelitian ini menggunakan metode Vector Error Correction Model (VECM) dengan menggunakan data bulanan indeks saham sektor keuangan sebagai variabel dependen dan data kuartalan PDB, serta data bulanan inflasi, suku bunga BI, nilai tukar, suku bunga The Fed, harga emas, harga minyak mentah, dan indeks S&P 500 sebagai variabel independen dengan rentang data dari Januari 2014 sampai dengan Agustus 2019. Hasil yang didapat dari penelitian ini ialah guncangan pada variabel suku bunga BI dan nilai tukar direspon positif dalam jangka panjang, sedangkan variabel PDB, inflasi, suku bunga The Fed, harga emas, harga minyak mentah, dan indeks S&P 500 direspon negatif dalam jangka panjang oleh indeks saham sektor keuangan. Selain itu, variabel suku bunga BI mempunyai kontribusi yang paling besar dalam perubahan indeks saham sektor keuangan. Kata kunci: Determinan, Indeks Saham Sektor Keuangan, BEI, VAR, VECM

Item Type: Thesis (S2)
NIM/NIDN Creators: 55118110133
Uncontrolled Keywords: Determinan, Indeks Saham Sektor Keuangan, BEI, VAR, VECM
Subjects: 000 Computer Science, Information and General Works/Ilmu Komputer, Informasi, dan Karya Umum > 020 Library and Information Sciences/Perpustakaan dan Ilmu Informasi > 025 Operations, Archives, Information Centers/Operasional Perpustakaan, Arsip dan Pusat Informasi, Pelayanan dan Pengelolaan Perpustakaan > 025.1 Administration and Library Management/Administrasi dan Manajemen Perpustakaan > 025.11 Finance/Keuangan
600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 657 Accounting/Akuntansi
600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 657 Accounting/Akuntansi > 657.3 Financial Reporting (Financial Statements)/Laporan Keuangan
600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 657 Accounting/Akuntansi > 657.3 Financial Reporting (Financial Statements)/Laporan Keuangan > 657.32 Preparing Financial Statements/Menyiapkan Laporan Keuangan
Divisions: Pascasarjana > Magister Manajemen
Depositing User: Dede Muksin Lubis
Date Deposited: 22 Oct 2021 02:38
Last Modified: 08 Jul 2023 06:36
URI: http://repository.mercubuana.ac.id/id/eprint/49826

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