HAWIWIKA, LIDA (2022) ANALISA KAUSALITAS HARGA MINYAK BRENT, HARGA EMAS DAN KURS (USD/IDR) DENGAN INDEKS HARGA SAHAM GABUNGAN (Studi Empiris Januari 2016 – April 2021). S2 thesis, Universitas Mercu Buana Jakarta-Menteng.
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Abstract
This study looks causality of the price of gold and the exchange rate (USD/IDR) with the JCI. The data used is monthly data from January 2016 – April 2021 as time series data which is processed using the Eviews 10 test tool with the Vector Error Correction Model (VECM) model, an extracted VAR model gave the co-integration that shows the long-term relationship between variables in the VAR model. On VECM estimates the long-term price of Brent oil price and gold price has a negative effect, while the exchange rate has a positive impact on the value of adj. R Square is seen to determine the contribution of exogenous variables together in explaining each variabel. The causality granger test showed that JCI has a oneway causality relationship from the US dollar to the rupiah exchange rate. The Impulse response test shows the strongest shock caused are in the brent oil price, followed by the gold price and US dollar to rupiah exchange rate against JCI. In the Variance Decomposition test brent oil price variable, the gold price and US dollar to the rupiah exchange rate began to contribute stably to the JCI from the 9th to the 30th month. Penelitian ini bertujuan untuk melihat kausalitas dari harga minyak brent, harga emas dan kurs (USD/IDR) dengan IHSG. Data yang digunakan adalah data bulanan sejak Januari 2016 – April 2021 sebagai data time series yang diolah menggunakan alat uji Eviews 10 dengan model Vector Error Corection Model (VECM) yang merupakan model VAR yang terektriksi mengingat adanya kointegrasi yang menunjukkan hubungan jangka panjang antar variabel dalam model VAR. Pada estimasi VECM dihasilkan pada jangka panjang harga minyak brent dan harga emas berpengaruh negatif, sedangkan kurs (USD/IDR) berpengaruh positif, nilai adj. R Square dilihat untuk mengetahui kontribusi variabel eksogen secara bersama-sama dalam menjelaskan masing – masing variabel. Pada uji causality granger IHSG memiliki hubungan kausalitas satu arah terhadap kurs (USD/IDR). Pada uji Impulse response menunjukkan guncangan terkuat yang ditimbulkan ada pada variabel harga minyak brent, diikuti oleh harga emas lalu kurs (USD/IDR) terhadap IHSG. Pada uji Variance Decomposition variabel harga minyak brent, harga emas dan kurs (USD/IDR) mulai berkontribusi secara stabil terhadap IHSG sejak bulan ke 9 sampai bulan ke 30.
| Item Type: | Thesis (S2) |
|---|---|
| NIM/NIDN Creators: | 55119110021 |
| Uncontrolled Keywords: | Harga Emas, Harga Minyak, kurs (USD/IDR), IHSG, Kausalitas, VECM,Gold Price, Oil Price, US dollar to the rupiah exchange rate, IHSG, Causality, VECM |
| Subjects: | 600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 658 General Management/Manajemen Umum |
| Divisions: | Pascasarjana > Magister Manajemen |
| Depositing User: | Priyo Raharjo |
| Date Deposited: | 10 Sep 2022 04:36 |
| Last Modified: | 10 Sep 2022 04:36 |
| URI: | http://repository.mercubuana.ac.id/id/eprint/68951 |
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