Relevansi Faktor Ekonomi Terhadap Kointegrasi IHSG dan KLCI
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Abstract
The purpose of this research is to investigate the cointegration between the Kuala Lumpur Composite Index (KLCI), the Inflation, the Exchange Rate and the Jakarta Composite Index (JCI). The study sampled studied with monthly data periods in the period 1 January 2014-31 December 2019. The sampling method is non probability sampling with the sampling technique using purposive sampling. The analysis is performed by using Johansen cointegration test and VECM and processed by using Eviews 9. The VECM results show that there is no significant short term relationship between the Kuala Lumpur Composite Index (KLCI), the Inflation, the Exchange Rate and the Jakarta Composite Index (JCI). Johansen cointegration test results show that all research variables have a significant long term relationship.
Tujuan dari penelitian ini adalah untuk mengetahui kointegrasi antara Kuala Lumpur Composite Index (KLCI), Inflasi, Nilai Tukar dan Indeks Harga Saham Gabungan (IHSG). Sampel penelitian yang dipelajari dalam penelitian ini adalah data bulanan dengan periode 1 Januari 2014-31 Desember 2019. Metode pengambilan sampel adalah non probability sampling dengan teknik pengambilan sampel yaitu purposive sampling. Analisis dilakukan dengan menggunakan Uji Kointegrasi Johansen dan VECM kemudian diolah menggunakan Eviews 9. Hasil VECM menunjukkan bahwa tidak terdapat hubungan jangka pendek yang signifikan antara Kuala Lumpur Composite Index (KLCI), Inflasi, Nilai Tukar dan Indeks Harga Saham Gabungan (IHSG). Hasil Uji kointegrasi Johansen menunjukkan bahwa semua variabel penelitian memiliki hubungan jangka panjang yang signifikan.
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