ANALISIS HUBUNGAN TIMBAL BALIK ANTARA KURS (USD/IDR), SUKU BUNGA SERTIFIKAT BANK INDONESIA, INFLASI, PERTUMBUHAN PDB DAN IHSG DI BURSA EFEK INDONESA PERIODE 2008-2018

ALFIAN, ARIF (2020) ANALISIS HUBUNGAN TIMBAL BALIK ANTARA KURS (USD/IDR), SUKU BUNGA SERTIFIKAT BANK INDONESIA, INFLASI, PERTUMBUHAN PDB DAN IHSG DI BURSA EFEK INDONESA PERIODE 2008-2018. S2 thesis, Universitas Mercu Buana Jakarta.

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Abstract

This research aims to determine empirically the relationship between exchange rate (USD/IDR), interest rate of Bank Indonesia Certificates, inflation and gross domestic product with Indonesian Composite Index in the Indonesia Stock Exchange. This research uses data from the official website of Bank Indonesia and Yahoo! Finance in 2008 - 2018. The analysis technique using VECM method. This research using analysis program Eviews 9. Before the test, data is transformed into natural logarithms. As a result, this research found that only the inflation variabel had negative relationship with Indonesian Composite Index and exchange rate (USD/IDR) in long-term. Then Indonesian Composite Index had positive relationship with exchange rate (USD/IDR) in short-term, but had negative effect with gross domestic product in 2008 – 2018. Keywords: Exchange Rate, SBI, Inflation, Gross Domestic Product, IHSG, VAR, VECM, Macroeconomic Variables, Eviews 9. Penelitian ini bertujuan untuk mengetahui secara empiris hubungan timbal balik antara nilai tukar kurs Rupiah terhadap Dollar Amerika, suku bunga sertifikat Bank Indonesia, inflasi, dengan produk domestik bruto terhadap Indeks Harga Saham Gabungan di Bursa Efek Indonesia. Penelitian ini menggunakan data dari website resmi Bank Indonesia dan Yahoo! Finance pada tahun 2008 – 2018. Teknik analisis yang digunakan adalah metode VECM. Penelitian ini menggunakan program analisis Eviews 9. Sebelum diuji, data ditransformasi menjadi logaritma natural. Hasil penelitian menemukan bahwa hanya variabel inflasi mempunyai hubungan negatif dengan IHSG dan kurs dalam jangka panjang, kemudian pada jangka pendek variabel IHSG mempunyai hubungan positif dengan nilai tukar kurs Rupiah terhadap Dollar Amerika, namun mempunyai pengaruh negatif terhadap Produk Domestik Bruto berpengaruh negatif dengan kedua variabel tersebut pada tahun 2008 – 2018. Kata kunci: Kurs, SBI, Inflasi, Produk Domestik Bruto, IHSG, VAR, VECM, variabel makro ekonomi, Eviews 9.

Item Type: Thesis (S2)
Call Number CD: CD/551. 19 258
Call Number: TM/51/21/054
NIM/NIDN Creators: 55117110184
Uncontrolled Keywords: Kurs, SBI, Inflasi, Produk Domestik Bruto, IHSG, VAR, VECM, variabel makro ekonomi, Eviews 9.
Subjects: 100 Philosophy and Psychology/Filsafat dan Psikologi > 150 Psychology/Psikologi > 153 Conscious Mental Process and Intelligence/Intelegensia, Kecerdasan Proses Intelektual dan Mental > 153.4 Thought, Thinking, Reasoning, Intuition, Value, Judgment/Pemikiran, Pertimbangan, Penalaran, Intuisi, Nilai, Pendapat > 153.45 Value/Nilai
300 Social Science/Ilmu-ilmu Sosial > 330 Economics/Ilmu Ekonomi > 332 Financial Economics, Finance/Ekonomi Keuangan dan Finansial, Ekonomi Biaya dan Pembiayaan
300 Social Science/Ilmu-ilmu Sosial > 330 Economics/Ilmu Ekonomi > 339 Macroeconomics and Related Topics/Makroekonomi, Ekonomi Makro dan Topik Terkait
300 Social Science/Ilmu-ilmu Sosial > 330 Economics/Ilmu Ekonomi > 339 Macroeconomics and Related Topics/Makroekonomi, Ekonomi Makro dan Topik Terkait > 339.5 Macroeconomics Policy/Kebijakan Makroekonomi, Kebijakan Ekonomi Makro
Divisions: Pascasarjana > Magister Manajemen
Depositing User: Putra Arsy Anugrah
Date Deposited: 15 Nov 2021 03:13
Last Modified: 22 Apr 2022 03:42
URI: http://repository.mercubuana.ac.id/id/eprint/50228

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