STOCK MARKET AND FOREIGN DIRECT INVESTMENT: EMPIRICAL STUDY IN INDONESIA

ARKAN M ANANDYANTO, Prof. Dr. Eduardus Tandelilin, MBA

2022 | Tesis | Magister Manajemen

Penelitian ini bertujuan untuk mengetahui pengaruh penanaman modal asing langsung terhadap perkembangan pasar saham. Penelitian ini menggunakan data investasi asing langsung tahunan dan perkembangan pasar saham dari tahun 1995 hingga 2019. Pendekatan kuantitatif digunakan dalam penelitian ini. Ada dua hipotesis yang akan diteliti dalam penelitian ini untuk mencapai tujuan penelitian ini. Hipotesis pertama terdapat hubungan jangka panjang antara penanaman modal asing langsung dengan perkembangan pasar modal dan hipotesis kedua terdapat hubungan kointegrasi antara penanaman modal asing langsung dengan perkembangan pasar modal di Indonesia Studi ini menemukan bahwa ada hubungan jangka panjang antara investasi asing langsung dengan perkembangan pasar saham di Indonesia. Dan penelitian ini juga menemukan bahwa tidak ada hubungan kausalitas antara penanaman modal asing langsung dengan perkembangan pasar saham di Indonesia karena penelitian ini menemukan bahwa hanya ada satu arah, dari penanaman modal asing langsung terhadap perkembangan pasar modal.

This study aims to determine the impact of foreign direct investment on the stock market development. This study used annual foreign direct investment data and stock market development from 1995 to 2019. The quantitative approach is used in this study. There are two hypotheses to be investigated in this study to reach the objective of this study. The first hypothesis is there is a long term relationship between foreign direct investment and stock market development and the second hypothesis is there is cointegration relationship between foreign direct investment and stock market development in Indonesia This study found out that there is a long term relationship between foreign direct investment and stock market development in Indonesia. And this study also found that there is no causality between foreign direct investment and stock market development in Indonesia because this study found that there is only one direction from, foreign direct investment to stock market development .

Kata Kunci : Foreign Direct Investment. Stock Market Development, Cointegration Test, Causality Relationship.