DAMPAK KURS, SBI, INFLASI DAN INDEKS NIKKEI 225 TERHADAP INDEKS HARGA SAHAM GABUNGAN DI BURSA EFEK INDONESIA

Winda Wulandari; Deswita Herlina; Tony S Chendrawan

doi:10.35448/jequ.v2i2.7164

DAMPAK KURS, SBI, INFLASI DAN INDEKS NIKKEI 225 TERHADAP INDEKS HARGA SAHAM GABUNGAN DI BURSA EFEK INDONESIA

Winda Wulandari, Deswita Herlina, Tony S Chendrawan

Abstract

The purpose of this study is to analyze the impact of exchange rate, SBI, inflation and nikkei 225 indexes on the composite stock price index in the Indonesian stock market. The data used in this study are time series data from the period of January 2013 to December 2017. This study uses the method of vector error correction model (VECM). The results of this study indicate that there is a causal relationship in which the variable that shows the originality is that there is a two-way relationship between inflation against SBI as well as a two-way relationship between SBI and inflation. Whereas the granger causality test can also show the existence of five one-way relationships including the Composite Stock Price Index to the Exchange Rate, the Composite Stock Price Index to
the Nikkei 225 Index, the Exchange Rate against SBI, the Exchange Rate to Inflation, and the Nikkei 225 Index to the Exchange Rate. In this study shows the long-term relationship between the Exchange Rate and Inflation variables show a positive effect on the composite stock price index while the SBI variable and the Nikkei 225 Index have a negative influence on the Composite Stock Price Index.

The purpose of this study is to analyze the impact of exchange rate, SBI, inflation and

nikkei 225 indexes on the composite stock price index in the Indonesian stock market.

The data used in this study are time series data from the period of January 2013 to

December 2017. This study uses the method of vector error correction model (VECM).

The results of this study indicate that there is a causal relationship in which the variable

that shows the originality is that there is a two-way relationship between inflation against

SBI as well as a two-way relationship between SBI and inflation. Whereas the granger

causality test can also show the existence of five one-way relationships including the

Composite Stock Price Index to the Exchange Rate, the Composite Stock Price Index to

the Nikkei 225 Index, the Exchange Rate against SBI, the Exchange Rate to Inflation, and

the Nikkei 225 Index to the Exchange Rate. In this study shows the long-term

relationship between the Exchange Rate and Inflation variables show a positive effect on

the composite stock price index while the SBI variable and the Nikkei 225 Index have a

negative influence on the Composite Stock Price Index.

Keywords

Stock Price Index (IHSG), Exchange Rate, SBI, Inflation, and VECM.

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DOI: http://dx.doi.org/10.35448/jequ.v2i2.7164