DAMPAK MAKROEKONOMI DAN BURSA SAHAM SINGAPURA TERHADAP INDEKS HARGA SAHAM GABUNGAN

BASTIAWAN, HERTHA (2023) DAMPAK MAKROEKONOMI DAN BURSA SAHAM SINGAPURA TERHADAP INDEKS HARGA SAHAM GABUNGAN. S2 thesis, Universitas Mercu Buana Jakarta.

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Abstract

This study aims to determine and prove the effects of macroeconomic indicators and the Singapore stock index on the Jakarta Composite Index (JCI). The study utilizes policy rates, exchange rates, money supply, and oil prices as macroeconomic indicators. The sampling technique employed in this study was saturated sampling, with 75 samples selected based on the study period from August 2016 to October 2022. The data analysis method employed is Auto Regressive Distributed Lag (ARDL), and data processing was executed using EViews application version 12. The results of this study indicate that macroeconomic factors and the Singapore stock index exert a significant effect on the JCI both in the long and short terms. Furthermore, over the long term, policy rates, money supply, and the Singapore stock index have a positive effect on the JCI, while the exchange rate and oil prices have a negative effect. Conversely, in the short term, oil prices positively affect the JCI, and policy rates, money supply, and the Singapore stock index contribute negatively to the JCI. Notably, the effect of the exchange rate on the JCI varies, exhibiting either a positive or negative correlation depending on data lag conditions. Keywords: Oil Price, Jakarta Composite Index, Singapore Stock Index, Exchange Rates, Policy Rates, Money Supply. Penelitian ini bertujuan untuk mengetahui dan membuktikan dampak makroekonomi dan bursa saham Singapura terhadap Indeks Harga Saham Gabungan (IHSG). Variabel makroekonomi yang digunakan dalam penelitian ini meliputi suku bunga, nilai tukar, jumlah uang beredar dan harga minyak dunia. Variabel bursa saham Singapura menggunakan indeks saham Singapura yaitu Strait Times Index. Teknik pengambilan sampel yang digunakan dalam penelitian ini adalah sampling jenuh dengan menggunakan 75 sampel berdasarkan periode penelitian Agustus 2016 sampai dengan Oktober 2022. Metode analisis data menggunakan Auto Regressive Distributed Lag (ARDL) dan pengolahan data menggunakan program EViews versi 12. Hasil penelitian ini menunjukan bahwa faktor makroekonomi dan indeks saham Singapura berpengaruh signifikan terhadap IHSG baik dalam jangka panjang maupun jangka pendek. Dalam jangka panjang, suku bunga, jumlah uang beredar, dan indeks saham Singapura berpengaruh positif terhadap IHSG sedangkan nilai tukar dan harga minyak berpengaruh negatif terhadap IHSG. Harga minyak dunia berpengaruh positif terhadap IHSG dan suku bunga, jumlah uang beredar dan indeks saham Singapura berpengaruh negatif terhadap IHSG dalam jangka pendek. Nilai tukar memiliki pengaruh positif atau negatif terhadap IHSG dalam jangka pendek bergantung kondisi lag data. Kata Kunci: Harga Minyak, IHSG, Indeks Saham Singapura, Nilai Tukar, Suku Bunga, Uang Beredar

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