THE IMPACT OF INFLATION, CERTIFICATE OF BANK INDONESIA, AND EXCHANGE RATE OF IDR/USD ON THE INDONESIA COMPOSITE STOCK PRICE INDEX

Margarita Ekadjaja, Daisy Dianasari

Article Metrics

Abstract view : 203 times
PDF - 220 times

Abstract

This research is done with the aim to know whether some macroeconomic variables, which are inflation rate, certificate of Bank Indonesia (SBI) rate, and exchange rate of IDR/USD have an impact on the movement of the composite stock price index (IHSG) at the Indonesia stock exchange (BEI) partially and simultaneously in the period of 2006–2014. The research population is inflation rate, SBI rate, and exchange rate of IDR/USD. Data analysis in this research is multiple regression by using time series monthly data of 2006–2014. Research results show that partially inflation rate gives positive significant impact on IHSG, SBI rate has negative significant impact on IHSG, and exchange rate of IDR/USD has positive significant impact on IHSG.  Simultaneously it shows that inflation, SBI rate, and exchange rate of IDR/USD have an impact on IHSG at BEI to the period of year 2006 – 2014.  Those variables affect IHSG by 58,74%, while other variables affect IHSG by 41,26%.  That information can be used by investors to make decision on their investment.

Keywords: Inflation, SBI, Exchange rate, IHSG, BEI.

Keywords

Inflation; SBI; Exchange rate; IHSG; BEI

Full Text:

PDF

References

Agus Widarjono.(2005). Ekonometrika: teori dan aplikasi untuk ekonomi dan bisnis.Yogyakarta: Ekonisia.

Ajija, Shochrul R dkk. (2011).Cara cerdas menguasai eviews. Jakarta: Salemba 4.

Aritonang, Lerbin R. (2002).Peramalan bisnis. Jakarta: Ghalia Indonesia.

(2007).Riset pemasaran teori dan praktik. Jakarta: Ghalia Indonesia.

Aydemir Oguzhan dan Demirhan,erdal.(2009).The relationship between stock prices and exchanges rates evidence from Turkey. Euro journals, ISSN 1450-2887,23,207-215.

Dahlan Siamat.(2005).Manajemen lembaga keuangan. Jakarta: Universitas Indonesia.

Dornbusch,Rudiger,dan Stanley Fischer(1992). Makroekonomi. Jakarta: Erlangga.

Damodar N. Gujarati.(2004). Basics econometrics. New York: Mc Graw Hill.

Fama,E.F. (1990). Stock returns, expected returns, and real activity. Journal of finance, 45, 1089-1108.

Frederic S.Mishkin, Stanley Eakins.(2000).Financial market and institution. New York: Pearson.

Hooker M. A. (2004). Macroeconomic Factors and Emerging Market Equity Returns: a Bayesian Model Selecting Approach. Emerging Markets Review, 5, 379-387.

Huzaimi Hussain & Venus Khim-Sen Liew.(2004).“Causal relationships between exchange rates and stock prices in Malaysia and Thailand during the 1997 currency crisis turmoil,"

International Finance, Malaysia, 04052015, EconWPA, 36.

Jogiyanto.(2003). Teori portofolio dan analisis investasi, edisi kelima. Yogyakarta: BPFE.

Jones, Charles Parker. (2002).Investment:analysis and management. 8th Edition. California: John Wiley and Sons, Inc.

Karl E.Case & Fair.(2002).Macro economic principles.Fifth Edition.New Jersey:Prentice Hall, Inc.

Keown, Arthur J. et.al. (2002). Financial management principles and application: International Edition. 9th Edition. New Jersey: Prentice Hall Inc.

Mankiw,N Gregory.(2000). Macroeconomic theory. Forth Edition.USA: Harvard University.

Muhammad Zuhdi Amin. (2012). Pengaruh tingkat inflasi, suku bunga SBI, nilai kurs dollar (USD/IDR), dan indeks dow jones (DJIA) terhadap pergerakan indeks harga saham gabungan di Bursa Efek Indonesia (BEI) (periode 2008-2011). Jurnal skripsi,Feb,71.

Muradoglu G, Kıvılcım M, Argae R (2001). Is there a long-run relationship between stock returns and monetary variables: evidence from and emerging market. Appl. finan. econ., 7(6), 641-649.

Murtianingsih. (2012). Variabel Ekonomi Makro dan Indeks Harga Saham Gabungan. Jurnal manajemen dan Akuntasi,1,3, Desember 2012,22.

Nopirin. (1990). Ekonomi moneter. Edisi Pertama. Buku II. Yogyakarta : BPFE Yogyakarta.

Robi. (2008). Analisis portofolio optimal saham-saham LQ-45 pada periode agustus 2005–juli 2006 dengan metode single index model di Bursa Efek Jakarta. Busines and management journal Bunda Mulia,4,1,17

Roshinta Puspitaningrum Suhadak Zahroh Z.(2014). Pengaruh tingkat inflasi,tingkat suku bunga SBI, dan pertumbuhan ekonomi terhadap nilai tukar rupiah, studi pada Bank Indonesia periode tahun 2003-2012. Jurnal administrasi bisnis (JAB),8,1,55.

Sri Maryanti. (2009). Analisis pengaruh nilai tingkat bunga SBI dan nilai kurs dollars AS terhadap Indeks Harga Saham Gabungan (IHSG). Pekbis jurnal,1,1,12-25.

Stephen A Ross, Randolph W.Westerfield, Bradrord D.Jordan.(2003). Corporate finance. New York: MC Graw Hill.

Sukirno, Sadono. (2004).Teori pengantar makroekonomi. Edisi Ketiga. Jakarta:Rajawali Pers

Sunariyah.(2006).Pengantar pengetahuan pasar modal.Yogyakarta:UPP STIM YKPN.

Suparmoko, M. (1994). Pengantar ekonomika makro. Yogyakarta : BPFE Yogyakarta.

Suramaya Suci Kewal. (2012). Pengaruh inflasi, suku bunga, kurs, dan pertumbuhan PDB terhadap Indeks Harga Saham Gabungan. Jurnal economia,8,1,81.

Tandelilin,Eduardus.(2010).Portofolio dan investasi:teori dan aplikasi.Yogyakarta:Kanisius.

Werner Ria Murhadi.(2012).Determinan struktur modal:studi di Asia Tenggara. Journal of management and entrepreneurship,13,91-98.

Widoatmodjo,Sawidji.(2000).Cara sehat Investasi di pasar modal.Jakarta:Yayasan Mpu Ajar Artha.

Copyright (c) 2017 Jurnal Muara Ilmu Ekonomi dan Bisnis

Refbacks

  • There are currently no refbacks.