Analisis pengaruh return pasar modal internasional dan regional serta kurs dollar terhadap return saham

CHRISTIAWAN, Andreas, Prof.Dr. Jogiyanto Hartono, MBA

2005 | Tesis | Magister Manajemen

Penelitian di pasar modal khususnya mengenai diversifikasi internasional telah banyak dilakukan terhadap pasar modal negara-negara maju seperti Amerika, Eropa, Asia. Sebagian besar menyimpulkan bahwa perdagangan saham di pasar modal luar negeri dapat mempengaruhi perdagangan saham di dalam negeri. Hal ini mengindikasikan bahwa pasar modal tersebut tergolong pasar modal yang terintegrasi. Selain itu, sebagian besar penelitian mengenai pengaruh nilai tukar mata uang terhadap harga saham juga menyimpulkan bahwa nilai tukar mata uang berpengaruh terhadap harga saham dalam jangka pendek. Penelitian di pasar modal Indonesia menyimpulkan hal yang berbeda. Beberapa penelitian terhadap pasar modal Indonesia menyimpulkan bahwa perdagangan saham di Indonesia tidak terpengaruh faktor interna tional, karena pasar modal Indonesia masih tersegmentasi. Perbedaan hasil tersebut mendorong peneliti untuk meneliti pengaruh return pasar modal international, regional, serta kurs khususnya mata uang Dollar (USD) terhadap return saham yang dimiliki pemodal asing di Bursa Efek Jakarta.

Many capital market researches about International Diversification held in other countries such as United States, Europe, and Asia. Most of researches found that stock trading at international market effected trading at domestic capital market. It indicates that the capital market is categorized as Integrated Market. Beside that, many researches about the impact of exchange rate to stock prices also stated that exchange rate impacted to the stock prices at the short term. Some researches in Indonesian capital market stated the different statement. They found that stock trading at Indonesia Capital Market (BEJ) was not effected by other countries stock trading. It indicates that Indonesian Capital Market was segmented market. That different findings interest researcher to make research of the effect of international market return, regional market return and exchange rate of the dollar to stock return that is owned by foreign investor in Jakarta Stock Exchange.

Kata Kunci : Pasar Modal,Return Saham Internasional dan Regional, International Diversification, International Market Return, Regional Market Return, Exchange Rate, Stock Return