NINGRUM, MERSA LESTARI (2023) ANALISIS STABILITAS PENGARUH MAKROEKONOMI TERHADAP INDEKS HARGA SAHAM GABUNGAN (IHSG) PERIODE 2006 - 2021. S2 thesis, Universitas Mercu Buana Jakarta.
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Abstract
This study aims to examine and analyze the effect of macroeconomics, such as exchange rates, gross domestic product, gold prices, oil prices, and United States interest rates on the Jakarta Composite Index (JCI). The population of this study is the JCI from August 1982 to December 2021 of 473 months, with a sample total from January 2006 to December 2021 of 192 months. The data analysis method uses panel data regression with a fixed effect model and multiple linear regression with dummy variables as an alternative to panel data regression. The study's results found that the exchange rate had a significant negative effect on the JCI. Gross domestic product, gold prices, oil prices, and United States interest rates have a significant positive effect on the JCI. There is a change in structure or stability from year to year in the regression of the macroeconomic effect on the JCI. Keywords: Jakarta Composite Index (JCI), Macroeconomics, Changes in Stability Regression. Penelitian ini bertujuan untuk menguji dan menganalisis pengaruh makroekonomi yaitu nilai tukar, produk domestik bruto, harga emas, harga minyak, dan suku bunga) Amerika Serikat terhadap Indeks Harga Saham Gabungan (IHSG). Populasi dari penelitian ini adalah IHSG dari bulan Agustus 1982 sampai Desember 2021 sebanyak 473 bulan, dengan jumlah sampel dari bulan Januari 2006 sampai Desember 2021 sebanyak 192 bulan. Metode analisis data menggunakan regresi data panel dengan model fixed effect dan regresi linear berganda dengan variabel dummy sebagai alternatif regresi data panel. Hasil penelitian menemukan bahwa nilai tukar berpengaruh negatif signifikan terhadap IHSG. Produk domestik bruto, harga emas, harga minyak, dan suku bunga Amerika Serikat berpengaruh positif signifikan terhadap IHSG. Ada perubahan struktur atau stabilitas dari tahun ke tahun dalam regresi pengaruh makroekonomi terhadap IHSG. Kata Kunci: Indeks Harga Saham Gabungan (IHSG), Makroekonomi, Perubahan Stabilitas Regresi.
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