PENGARUH INFLASI DAN KURS TERHADAP PERGERAKAN INDEKS HARGA SAHAM GABUNGAN DI BURSA EFEK INDONESIA PADA TAHUN 2007–2015 MENGGUNAKAN METODE VECM

SATRIADI, MUHAMMAD IQBAL (2016) PENGARUH INFLASI DAN KURS TERHADAP PERGERAKAN INDEKS HARGA SAHAM GABUNGAN DI BURSA EFEK INDONESIA PADA TAHUN 2007–2015 MENGGUNAKAN METODE VECM. S1 thesis, Universitas Negeri Jakarta.

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Abstract

ABSTRACT MUHAMMAD IQBAL SATRIADI. The effect ofinflation and kursagainst the movement of composite stock price index in the Indonesia Stock Exchange in 2007 -2015 using VECM. 2016 Tris ResearchIs intended to determine whether the stock price index is influenced by inflation and the exchange rate in 2007-2015. The research sample numbering 108 variables of date each month from 2007 - 2015. The data used comes from www.BI.go.id and www.yahoo.finance.com. Analysis technique of the dateused is VECM (Vector Error correlation Model) that includes a stationary test, cointegration test, lag test, Grenger causality test and VECM test. For the analysis of long-term or cointegration, three variables have a long-term relationship that is balanced it can be seen from the ECT 2,65 larger dati t table is 1.9828. To test Grenger causality, Inflation variables significantly affect the value of IHSGwith probabilistic 0.0152 <than 0.05 and for variable rate appeared to have a one-way relationship in which IHSG affecting the rate seen from the probabilistic value 0.0000000003 <than 0.05. hereinafter known coefficient of determination (R2) for the long term by 25%. Keywords: Composite Stock Price Index, inflation, exchange rate, VECM (Vector Error Correlation Model)

Item Type: Thesis (S1)
Additional Information: Pembimbing I: Dr. Haryo Kuncoro, SE, M.Si ., Pembimbing II: Herlita, M.Ec.Dev
Subjects: Ilmu Sosial (Social Science) > Ilmu Ekonomi (Economics)
Teknologi dan Ilmu-Ilmu Terapan (Technology and Applied Science) > Manajemen (Management and Auxiliary Service)
Divisions: Fakultas Ekonomi > S1 Pendidikan Ekonomi Koperasi
Depositing User: Budi Siswanto
Date Deposited: 20 Dec 2017 06:40
Last Modified: 20 Dec 2017 06:40
URI: http://repository.fe.unj.ac.id/id/eprint/1563

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