Analisis pengaruh variabel makro dan indeks down jones terhadap indeks harga saham gabungan di bursa efek Indonesia (BEI) periode 2005-2011

Ismyati, Ismyati (2012) Analisis pengaruh variabel makro dan indeks down jones terhadap indeks harga saham gabungan di bursa efek Indonesia (BEI) periode 2005-2011. Undergraduate thesis, Universitas Islam Negeri Maulana Malik Ibrahim.

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Abstract

INDONESIA:

Pergerakan IHSG dipengaruhi oleh berbagai faktor baik internal yang meliputi variabel makro ekonomi maupun eksternal berupa indeks saham luar negeri. Tujuan penelitian ini untuk menganalisis dan mengetahui pengaruh gross nasional produk (GNP), inflasi, suku bunga SBI, kurs, dan indeks Dow Jones terhadap pergerakan IHSG di Bursa Efek Indonesia. Data yang dipakai adalah data sekunder yaitu data GNP, inflasi, SBI, kurs, indeks Dow Jones, dan IHSG bulan Januari 2005 sampai dengan Desember 2011. Model yang digunakan dalam penelitian ini adalah kuantitatif dengan pendekatan deskriptif. Pengujian ini dilakukan menggunakan regresi linier berganda dengan mempertimbangkan normalitas serta tiga asumsi klasik yaitu multikolinearitas, heteroskedastisitas, dan autokorelasi.

Dari hasil analisis didapatkan nilai Fhitung sebesar 61,494 > Ftabel dengan nilai signifikansi sebesar 0,000 hal ini membuktikan bahwa secara simultan variabel makro dan indeks dow jones mempengaruhi secara signifikan terhadap harga IHSG BEI, sedangkan dari uji T diketahui bahwa masing-masing variabel mempunyai pengaruh yang signifikan terhadap pergerakan IHSG yakni GNP sebesar 0,000, suku bunga SBI sebesar 0,000, inflasi sebesar 0,048, kurs sebesar 0,005, dan indeks dow jones sebesar 0,000 dimana seluruh variabel memiliki tingkat signifikansi < 0,05. Dengan tingkat R2 = 0,785 (78,5%) dapat disimpulkan bahwa dari segi uji kesesuaian (Test of goodness of fit) cukup baik, dan hanya 0,215 (21,5%) dari determinan yang mempengaruhi IHSG dijelaskan oleh variabel lain yang tidak dimasukkan dalam model penelitian.

ENGLISH:

The movement of IHSG is influenced by various factors, either internally by the macroeconomic variables or externally by foreign stock index. The objective of research is to analyze and acknowledge the effect of gross national product (GNP), inflation, SBI interest rate, exchange rate, and Dow Jones Index on the movement of IHSG at Indonesia Stock Exchange. The data source is taken form secondary data including GNP, inflation, SBI, exchange rate, Dow Jones Index, and IHSG from January 2005 to December 2011. Model used in this research was quantitative with descriptive approach. Multiple linear regression was considering normality and three classical assumptions such as multicollinearity, heteroscedasticity, and autocorrelation.

The result of research indicated that F cou n t is 61.494 > Ft ab l e by the significance of 0.000. It seem s that simultaneously, macroeconomic variables and Dow Jones Index are significantly affecting the price of IHSG BEI. T-test shows that each variable have significant effect on the movement of IHSG. Indeed by number, GNP is 0.000, SBI interest rate is 0.000, inflation is 0.048, exchange rate w as 0.005, and Dow Jones Index is 0.000. All these variables had significance rate < 0.05. At R2 = 0.785 (78.5%), it can be concluded that based on Test of Goodness of Fit, the relatively good fit is obtained. Only 0.215 (21.5 %) o f determinants affecting IHSG is explained by other variables excluded from the research model.

Item Type: Thesis (Undergraduate)
Supervisor: Yuliana, Indah
Keywords: Variabel Makro Ekonomi; Indeks Dow Jones; IHSG BEI; Macroeconomic variables; Dow Jones Index; IHSG BEI
Subjects: 15 COMMERCE, MANAGEMENT, TOURISM AND SERVICES > 1502 Banking, Finance and Investment > 150205 Investment and Risk Management
Departement: Fakultas Ekonomi > Jurusan Manajemen
Location: 150205
Depositing User: Imam Rohmanu
Date Deposited: 07 Jun 2016 13:15
Last Modified: 07 Jun 2016 13:15
URI: http://etheses.uin-malang.ac.id/id/eprint/2563

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