INTERAKSI DINAMIS VARIABEL MAKROEKONOMI TERHADAP RETURN SAHAM DI BURSA EFEK INDONESIA

Wulandari Wulandari, Samsubar Saleh

Abstract


Abstract: This study aims to analyze how the effect of macroeconomic variables on stock returns in Indonesia. Stock returns in this study using two approaches, JCI and LQ45. The selection of macroeconomic variables in this study is an adaptation of the research which using a variable index of industrial production, money supply (M2), SBI rate and the exchange rate against the dollarto determine the risk of the domestic macroeconomic and usingthe federal funds rate variable to determine the risk of macroeconomic abroad in the form of U.S. mone­tary policy shocks. Techniques of analysis in this study using time seriesVAR (Vector Auto­regresive). The data used in this study are monthly time series data. The results of this study indicate that monetary sector has a direct impact on stock price movements in Indonesia com­pared to the realactivity indicated by the absence ofa direct effect of changes in the indus­trial production index for the stock price index movement either JCI nor LQ45. This study also indicate the U.S. monetary policy shock directly affects stock returns in Indonesia Stock Exchange (IDX).


Abstrak: Penelitian ini bertujuan menganalisis pengaruh variabel-variabel makroekonomi terhadap return saham di Indonesia. Return saham dalam penelitian ini menggunakan dua pendekatan yaitu IHSG dan LQ45. Pemilihan variabel-variabel makroekonomi dalam penelitian ini merupakan adaptasi dari penelitian yaitu, menggunakan variabel indeks produksi industri, jumlah uang beredar (M2), tingkat diskonto SBI dan nilai tukar rupiah terhadap dollar untuk mengetahui risiko makroekonomi dari dalam negeri dan menggunakan variabel federal fund rate untuk mengetahui risiko makroekonomi dari luar negeri yang berupa kejutan kebijakan moneter Amerika Serikat. Teknik analisis dalam penelitian ini menggunakan metode time series VAR (Vector Autoregresive. Data yang digunakan dalam penelitian ini merupakan data runtun waktu bulanan dengan periode 1999:01– 2007:12. Hasil dari penelitian ini menunjukkan bahwa secara keseluruhan sektor moneter lebih mem­iliki pengaruh langsung terhadap pergerakan harga saham di Indonesia dibandingkan dengan aktivitas riil yang ditunjukkan oleh tidak adanya pengaruh langsung dari perubahan indeks produksi industri terhadap pergerakan indeks harga saham baik IHSG maupun LQ45. Penelitian ini juga menunjukkan kejutan kebijakan moneter Amerika Serikat berpengaruh langsung terhadap return saham di Bursa Efek Indonesia (BEI).

 


Keywords


macroeconomic variables; stock return; Indonesia; vector autoregressive

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