BibTex Citation Data :
@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} }
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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.
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