FATMAWATI, LIANA (2022) PENGARUH HARGA MINYAK, HARGA EMAS, TINGKAT SUKU BUNGA (BI RATE), DAN NILAI TUKAR (KURS) TERHADAP INDEKS HARGA SAHAM GABUNGAN (IHSG) DI BURSA EFEK INDONESIA Periode 2016 – 2020. S1 thesis, Universitas Mercu Buana Jakarta.
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Abstract
Stock price prediction is something that always attracts investors and other stakeholders' interest in the stock market. In stock trading, the upcoming Indonesia Composite Index (IHSG) movement’ can be used as a basis for decisions making for investment actors. This research aims to analyze the effect of economic variables on the performance of the Jakarta Composite Index (JCI). The JCI is a reference for investment in order to increase economic growth and stability because the JCI is one of the economic indicators so that the development of the JCI is a benchmark for the success of the economy in Indonesia. The analysis uses an econometric approach to time-series data, namely Vector Auto Regressive (VAR) because the data used is stationary at the level level. The software used to analyze the research data is "EVIEWS 10". The results showed that there was no effect of oil prices, gold prices, interest rates (BI Rate) and exchange rates (exchange rate) on the 2016-2020 JCI. On the other hand, the JCI has a significant effect on the BI Rate. The results of the Granger causality test also show the influence of the BI Rate on oil prices. There is also the influence of the BI Rate on the exchange rate. Keywords: JCI, Oil Prices, Gold Prices, Interest Rates (BI Rate), Exchange Rates Prediksi harga saham merupakan hal yang selalu menarik minat investor dan pemangku kepentingan lain terhadap pasar saham. Dalam perdagangan saham, pergerakan IHSG yang akan datang dapat digunakan sebagai dasar untuk melakukan pengambilan keputusan pelaku investasi. Penelitian ini bertujuan untuk menganalisis pengaruh variabel ekonomi terhadap kinerja Indeks Harga Saham Gabungan (IHSG). IHSG menjadi acuan untuk investasi dalam rangka meningkatkan pertumbuhan dan kestabilan ekonomi karena IHSG merupakan salah satu indikator perekonomian sehingga berkembangnya IHSG menjadi tolak ukur keberhasilan perekonomian di Indonesia. Analisis menggunakan pendekatan ekonometrika data time-series yaitu Vector Auto Regressive (VAR) karena data yang digunakan stasioner pada tingkat level. Perangkat lunak yang digunakan untuk menganalisis data penelitian adalah “EVIEWS 10”. Hasil penelitian menunjukkan tidak terdapat pengaruh harga minyak, harga emas, tingkat suku bunga (BI Rate) dan nilai tukar (kurs) terhadap IHSG 2016-2020. Sebaliknya terdapat pengaruh signifikan IHSG terhadap BI Rate. Dalam hasil uji kausalitas granger juga terlihat adanya pengaruh BI Rate terhadap harga minyak. Juga terdapat pengaruh BI Rate terhadap kurs. Kata kunci: IHSG, Harga Minyak, Harga Emas, Tingkat Suku Bunga (BI Rate), Nilai Tukar (Kurs)
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