ANALISIS PENGARUH INFLASI, NILAI TUKAR, BI RATE, HARGA MINYAK DUNIA, HARGA EMAS DUNIA, DAN INDEK STRAITS TIMES TERHADAP RETURN INDEKS LQ 45 PADA BURSA EFEK INDONESIA TAHUN 2003-2013

TOMMY SUWANDY

doi:10.14710/jbs.23.1.43-58

@article{JBS14371, author = {TOMMY SUWANDY}, title = {ANALISIS PENGARUH INFLASI, NILAI TUKAR, BI RATE, HARGA MINYAK DUNIA, HARGA EMAS DUNIA, DAN INDEK STRAITS TIMES TERHADAP RETURN INDEKS LQ 45 PADA BURSA EFEK INDONESIA TAHUN 2003-2013}, journal = {JURNAL BISNIS STRATEGI}, volume = {23}, number = {1}, year = {2014}, keywords = {Kata Kunci : Indeks LQ 45, ARCH/GARCH, Model Multifaktor TARCH}, abstract = { Abstrak Penelitian ini bertujuan untuk menguji pengaruh variabel makro ekonomi dan variabel kointegrasi indeks pasar saham internasional dengan pergerakan pasar saham Indonesia yang diwakili oleh indeks LQ 45. Variabel makro ekonomi diwakili oleh inflasi, nilai tukar, BI rate, harga minyak dunia, dan harga emas dunia. Variabel kointegrasi dari indeks pasar saham internasional diwakili oleh indeks Straits Times. Pergerakan pasar saham Indonesia diwakili oleh indeks LQ 45. Model penelitian yang dikembangkan adalah penggabungan pendekatan perilaku time series dan model multifaktor. Gabungan kedua model ini menghasilkan model multifaktor GARCH. Populasi dalam penelitian ini adalah indeks LQ 45 yang diterbitkan oleh Bursa Efek Indonesia (BEI). Sampel penelitian ini adalah data indeks LQ 45 periode bulanan dari bulan Juli 2003 sampai bulan Juni 2013. Hasil temuan penelitian ini adalah : (1) Return indeks LQ 45 mengikuti proses volatility clustering pada model GARCH; (2) Hasil evaluasi model menggunakan koefisien R2, Adjusted R2, Log Likelihood, Akaike Information Criterion (AIC), dan Schwarz Criterion (SC) menyimpulkan bahwa model multifaktor kedua TARCH (2,1) adalah model yang terbaik; (3) Variabel makro ekonomi seperti inflasi, nilai tukar, BI rate, harga minyak dunia, dan harga emas dunia memiliki pengaruh signifikan tetapi memiliki koefisien yang sangat kecil; (4) Variabel kointegrasi dari indeks pasar saham internasional yang diwakili oleh indeks Straits Times memiliki pengaruh signifikan tetapi memiliki koefisien yang sangat kecil. }, issn = {2580-1171}, pages = {43--58} doi = {10.14710/jbs.23.1.43-58}, url = {https://ejournal.undip.ac.id/index.php/jbs/article/view/14371} }

To have their manuscript accepted and published by Jurnal Bisnis Strategi, authors must complete the review process. Articles in Jurnal Bisnis Strategi are published under the Creative Commons Attribution-ShareAlike 4.0 International License (CC BY-SA 4.0), allowing readers to view, share, and adapt the material, including for commercial purposes, under the following conditions:

Attribution: Proper credit must be given to the authors, a link to the license must be provided, and any changes made must be indicated. This must be done in a reasonable way, but not in a manner that suggests the original author or licensor endorses your use.
ShareAlike: If you remix, transform, or build upon the work, your contributions must be distributed under the same license as the original.
No Additional Restrictions: You cannot impose legal terms or technological measures that restrict others from using the material as permitted by the license.

The copyright of the articles is assigned to the author(s), and they retain rights to the published work. Both the Editorial Team of Jurnal Bisnis Strategi and the author(s) work together to ensure that no errors, either in data or statements, are present in the published articles. Authors submitting to this journal agree to the following terms:

Authors retain copyright and grant the journal the right of first publication, with the work being licensed under the Creative Commons Attribution-ShareAlike 4.0 International License (CC BY-SA 4.0), which allows others to share the work, provided the authorship and initial publication in the journal are acknowledged.
The journal permits authors to maintain copyright and publishing rights without restrictions.
Authors are free to enter into separate agreements for the non-exclusive distribution of the journal's published version, such as posting it in an institutional repository or publishing it in a book, as long as the initial publication in the journal is acknowledged.
Authors are encouraged to share their work online (e.g., on personal websites or institutional repositories) before and during the submission process, as this can foster academic exchange and increase citation opportunities.