Dinamika Hubungan Antara Perilaku Pemberian Kredit oleh Perbankan dengan Harga Saham: studi empiris Indonesia 1992:7-2006:12

Setiastuti, Sekar Utami, Dr. Sri Adiningsih, M.Sc.

2008 | Skripsi | S1 Economics

N.A.

One severe event destructing Indonesian economy was the Asian financial crisis in 1997-1998. Rupiah, Indonesian currency, was immediately destroyed by the surge of regional currency such as Thailand's baht. After the massive depreciation on rupiah, Indonesia's stock market began to trembling down in November 1997. The surge of rupiah was also followed by deteriorations in banks' balance sheet and contractions on bank loans. Most banks suffered from severe exchange rate risk and credit risk-many debtors bankrupted, mostly because inflation and prices of imported input raised a lot. This research aims to shed light on the relationship between stock price and bank loans by examining historical data in this country. This research simulates a six-variables VECM model and run Granger Causality test, IRF (Impulse Response Function), and FEDV (Forecast Error Decomposition of Variance) to find dynamic interactions between bank loans and stock price. The evidence-similar with researches conducted before by Kim and Moreno (1994) and Ibrahim (2004)-proofs bank loans react positively to increase of stock price. A positive relationship between stock price and national currency was also found-clearly showing the currency's depreciation contributes to the slump of stock market. FEDV indicates, although the relationship between stock price and bank loans wasn't big, but it raised considerably-stock market condition has gained bigger concern from banks. Keywords: bank loans, stock price, Granger Causality test, VECM; impulse response function, forecast error decomposition of variance

Kata Kunci : Perilaku Pemberian Kredit; Kredit Bank; Perbankan; Harga Saham