Widoyo, Widoyo (2014) Analisis Hubungan: Kointegrasi, Kausalitas dan Dinamis Antara Investasi Asing, Kurs, Inflasi dan IHSG Di Pasar Modal Indonesia (periode januari 2007-maret 2014). S2 thesis, Universitas Mercu Buana Jakarta-Menteng.
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Abstract
This reaserch aims to analyze the relationship: cointegration, causality and the dynamic between foreign investment, exchange rate, inflation and JCI in the Indonesian capital market. Observation of samples in this reaserch are monthly data from January 2007-March 2014. The data used in this reaserch is a secondary data in the form of time series. Quantitative research using multivariate Johansen Cointegration and Granger Causality in the framework of VAR (Vector Autoregression). The results showed empirically that the unit root test (ADF Test Root), research data on the level of the first difference stationary I (1). From cointegration tests, research data cointegrated with the optimal lag 2 From the results of causality test, JCI better able to explain the effects on the exchange rate, and foreign investment into Indonesia, while foreign investment is able to explain the effects on the movement of inflation, and inflation is able to explain the effects on the movement of JCI. Keywords: first difference; Granger Causality; multivariate Johansen Cointegration; VAR (Vector Autoregression). Penelitian ini bertujuan untuk menganalisis hubungan: kointegrasi, kausalitas dan dinamis antara investasi asing, kurs, inflasi dan ihsg di pasar modal Indonesia. Observasi sampel dalam penelitian ini adalah data bulanan periode Januari 2007-Maret 2014. Data yang dipergunakan dalam penelitian ini merupakan data sekunder dalam bentuk data time series. Penelitian bersifat kuantitatif dengan menggunakan metode multivariate Johansen Cointegration dan Granger Causality dalam rerangka VAR (Vector Autoregression). Hasil penelitian menunjukkan secara empiris bahwa dengan uji akar unit (Root Test ADF), data penelitian stasioner pada tingkat first difference I(1). Dari uji kointegrasi, data penelitian terkointegrasi dengan optimal lag 2. Dari hasil uji kausalitas, IHSG lebih mampu menjelaskan pengaruhnya terhadap kurs, dan investasi asing yang masuk ke Indonesia, sedangkan investasi asing mampu menjelaskan pengaruhnya terhadap pergerakan inflasi, dan inflasi mampu menjelaskan pengaruhnya terhadap pergerakan IHSG. Kata kunci: first difference; Granger Causality; multivariate Johansen Cointegration; VAR (Vector Autoregression).
| Item Type: | Thesis (S2) |
|---|---|
| Call Number CD: | CDT-551-14-047 |
| Call Number: | TM/51/14/178 |
| NIM/NIDN Creators: | 55111120253 |
| Uncontrolled Keywords: | First Difference; Granger Causality; Multivariate Johansen Cointegration; VAR (Vector Autoregression), MKU, Manajemen keuangan |
| Subjects: | 600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 658 General Management/Manajemen Umum |
| Divisions: | Pascasarjana > Magister Manajemen |
| Depositing User: | Admin Perpus UMB |
| Date Deposited: | 04 Feb 2015 11:13 |
| Last Modified: | 29 Jun 2022 03:14 |
| URI: | http://repository.mercubuana.ac.id/id/eprint/13766 |
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