WIMAR, PETRA VITARA (2021) PENGARUH BI RATE, KURS, INFLASI, HARGA EMAS, HARGA MINYAK DAN INDEKS NIKKEI 225 TERHADAP IHSG DI INDONESIA. S2 thesis, Universitas Mercu Buana Jakarta.
|
Text (HAL COVER)
01 Cover Petra Vitara.pdf Download (414kB) | Preview |
|
![[img]](https://repository.mercubuana.ac.id/style/images/fileicons/text.png) |
Text (BAB I)
02 BAB I - Petra Vitara.pdf Restricted to Registered users only Download (292kB) |
|
|
Text (BAB II)
03 BAB II - Petra Vitara.pdf Restricted to Registered users only Download (374kB) |
|
|
Text (BAB III)
04 BAB III - Petra Vitara.pdf Restricted to Registered users only Download (306kB) |
|
|
Text (BAB IV)
05 BAB IV - Petra Vitara.pdf Restricted to Registered users only Download (273kB) |
|
|
Text (BAB V)
06 BAB V - Petra Vitara.pdf Restricted to Registered users only Download (230kB) |
|
|
Text (DAFTAR PUSTAKA)
07 Daftar Pustaka - Petra Vitara.pdf Restricted to Registered users only Download (207kB) |
|
|
Text (LAMPIRAN)
08 Lampiran - Petra Vitara.pdf Restricted to Registered users only Download (1MB) |
Abstract
This study aims to determine effect of interest rates (IR), exchange rates (ER), inflation, gold prices (GP), oil prices (OP) and Nikkei 225 on JCI in 2008-2018 periods. Sampling technique uses fixed sample method. Type of data used is monthly time series data with eviews program as a tool. Results of stationary test show the data stationary at first difference level and also cointegrated, so the model used is VECM. Results of Granger causality test show that there is no two-way causality relationship. Estimation results of VECM show in short terms IR and OP have significant positive effect on JCI and in the long terms OP and Nikkei 225 index have significant positive effect on JCI while the ER significant negatively. Results of impulse response factor show IR in 3 months, ER in 7 months, OP in 6 months and Nikkei 225 in 3 months must be considered because it has significant impact where IR needs 21 months, ER needs 24 months, OP needs 30 months and Nikkei 225 index needs 26 months for impact to return to normal. The result of VD shows OP must be considered because it has biggest contribution to JCI, approximately 21.49%. Keywords: Jakarta composite index, granger causality, vector error correction model, impulse response factor, variance decomposition, eviews. Penelitian ini bertujuan untuk mengetahui pengaruh suku bunga, kurs, inflasi, harga emas, harga minyak dan indeks Nikkei 225 terhadap indeks harga saham gabungan pada periode 2008-2018. Teknik pengambilan sampel menggunakan metode sampel tetap. Jenis data yang digunakan adalah data time series perbulan dengan alat bantu program eviews. Hasil uji stasioner menunjukkan bahwa data stasioner pada tingkat perbedaan pertama serta berkointegrasi maka model yang digunakan adalah model koreksi kesalahan vektor. Hasil uji kausalitas granger menunjukkan bahwa tidak ada hubungan kausalitas dua arah. Hasil estimasi model koreksi kesalahan vektor menujukkan bahwa dalam jangka pendek suku bunga dan harga minyak mempengaruhi IHSG secara positif signifikan dan dalam jangka panjang harga minyak dan indeks Nikkei 225 mempengaruhi IHSG secara positif signifikan sedangkan kurs negatif signifikan. Hasil faktor respon impuls menunjukkan bahwa suku bunga dalam 3 bulan, kurs dalam 7 bulan, harga minyak dalam 6 bulan dan indeks Nikkei 225 dalam 3 bulan harus diperhatikan karena memberikan dampak yang signifikan dimana suku bunga membutuhkan 21 bulan, kurs membutuhkan 24 bulan, harga minyak membutuhkan 30 bulan dan indeks Nikkei 225 membutuhkan 26 bulan agar dampak dapat kembali normal. Hasil uji varians dekomposisi menunjukkan bahwa harga minyak harus diperhatikan karena memberikan kontribusi paling besar yakni 21,49%. Kata Kunci: indeks harga saham gabungan, kausalitas granger, model koreksi kesalahan vektor, faktor respon impuls, varians dekomposisi, eviews
| Item Type: | Thesis (S2) |
|---|---|
| NIM/NIDN Creators: | 55117120007 |
| Uncontrolled Keywords: | indeks harga saham gabungan, kausalitas granger, model koreksi kesalahan vektor, faktor respon impuls, varians dekomposisi, eviews |
| 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 800 Literatures/Kesusastraan > 800. Literatures/Kesusastraan > 801 Philosophy and Theory of Literatures/Filsafat dan Teori Kesusastraan > 801.3 Value, Influence, Effect/Nilai, Pengaruh, Efek |
| Divisions: | Pascasarjana > Magister Manajemen |
| Depositing User: | CALVIN PRASETYO |
| Date Deposited: | 03 Jul 2023 06:44 |
| Last Modified: | 03 Jul 2023 06:44 |
| URI: | http://repository.mercubuana.ac.id/id/eprint/78661 |
Actions (login required)
 |
View Item |
