Interaksi Dinamis Indeks Produksi Industri, Jumlah Uang Beredar, Tingkat Suku Bunga dan Nilai Tukar Terhadap Return Saham Di bursa Efek Indonesia Periode 1999:01-2007:12
WULANDARI (Adv.: Samsubar Saleh, prof., Dr., M.Soc.Sc.), Samsubar Saleh, prof., Dr., M.Soc.Sc.
Penelitian ini bertujuan untuk menganalisis bagaimana pengaruh variabel-variabel makroekonomi terhadap return saham di Indonesia. Return saham dalam penelitian ini menggunakan dua pendekatan yaitu IHSG dan LQ45. Pemilihan variabel-variabel makroekonomi dalam penelitian ini merupakan adaptasi dari penelitian (Majid dan Yusof, 2007) yaitu, menggunakan variabel indeks produksi industri, jumlah uang beredar (M2), tingkat diskonto SBI dan nilai tukar rupiah terhadap dollar untuk mengetahui risiko makroekonomi dari dalam negeri dan menggunakan variabel federal fund rate untuk mengetahui risiko makroekonomi dari luar negeri yang berupa kejutan kebijakan moneter Amerika Serikat. Teknik analisis dalam penelitian ini menggunakan metode time series VAR (Vector Autoregresive) sesuai dengan penelitian yang dilakukan oleh (Chen, et al., 1986) dan (Maysami, R.C. dan Koh, T.S., 2000). Data yang digunakan dalam penelitian ini merupakan data runtun waktu bulanan dengan periode 1999:01 – 2007:12.
Hasil dari penelitian ini menunjukkan bahwa secara keseluruhan sektor moneter lebih memiliki pengaruh langsung terhadap pergerakan harga saham di Indonesia dibandingkan dengan aktivitas riil yang ditunjukkan oleh tidak adanya pengaruh langsung dari perubahan indeks produksi industri terhadap pergerakan indeks harga saham baik IHSG maupun LQ45. Penelitian ini juga menunjukkan saham-saham yang bersifat likuid memiliki risiko makroekonomi yang lebih tinggi relatif terhadap saham-saham secara keseluruhan. Penelitian ini juga menunjukkan kejutan kebijakan moneter Amerika Serikat berpengaruh langsung terhadap return saham di Bursa Efek Indonesia (BEI).
This study aims to analyze how the effect of macroeconomic variables on stock returns in Indonesia. Stock returns in this study using two approaches, JCI and LQ45. The selection of macroeconomic variables in this study is an adaptation of the research (Majid and Yusof, 2007) which, using a variable index of industrial production, money supply (M2), SBI rate and the exchange rate against the dollar to determine the risk of the domestic macroeconomic and using the federal funds rate variable to determine the risk of macroeconomic abroad in the form of U.S. monetary policy shocks. Techniques of analysis in this study using time series VAR (Vector Autoregresive) according to research conducted by (Chen, et al., 1986) and (Maysami, RC and Koh, TS, 2000). The data used in this study are monthly time series data to the period 1999:01 - 2007:12.
The results of this study indicate that monetary sector has a direct impact on stock price movements in Indonesia compared to the real activity indicated by the absence of a direct effect of changes in the industrial production index for the stock price index movement either JCI nor LQ45. The study also shows stocks that are liquid has a higher macroeconomic risk relative to the overall stock. This study also indicate the U.S. monetary policy shock directly affects stock returns in Indonesia Stock Exchange (IDX).
This study aims to analyze how the effect of macroeconomic variables on stock returns in Indonesia. Stock returns in this study using two approaches, JCI and LQ45. The selection of macroeconomic variables in this study is an adaptation of the research (Majid and Yusof, 2007) which, using a variable index of industrial production, money supply (M2), SBI rate and the exchange rate against the dollar to determine the risk of the domestic macroeconomic and using the federal funds rate variable to determine the risk of macroeconomic abroad in the form of U.S. monetary policy shocks. Techniques of analysis in this study using time series VAR (Vector Autoregresive) according to research conducted by (Chen, et al., 1986) and (Maysami, RC and Koh, TS, 2000). The data used in this study are monthly time series data to the period 1999:01 - 2007:12.
The results of this study indicate that monetary sector has a direct impact on stock price movements in Indonesia compared to the real activity indicated by the absence of a direct effect of changes in the industrial production index for the stock price index movement either JCI nor LQ45. The study also shows stocks that are liquid has a higher macroeconomic risk relative to the overall stock. This study also indicate the U.S. monetary policy shock directly affects stock returns in Indonesia Stock Exchange (IDX).
Kata Kunci : variabel makroekonomi, return saham, Indonesia, VAR, macroeconomic variables, stock return, Indonesia, VAR
